CME Group Petroleum Index

What format is the file delivered in?

Data is provided in .csv format (comma separated values).

Are files compressed?

No, the files are not compressed into zip files.

Where can I find additional information about the CME Group Petroleum Index?

We have several resources you can access to learn more about the Petroleum Index: CME Group Benchmark Administration

How many files are available per day?

There is 1 File per day for the CME Petroleum Index Indicative Value and 1 file per day for the Petroleum Index Value.

How far back do you maintain these records?

The CME Group Petroleum Index was launched 3^rd August 2020. Once the historical daily data since launch are uploaded, the daily update will only include the two daily values.

Do you have sample files available?

Yes, see Sample Files section above.

Will Petroleum Index be available for licensing?

CME will offer a variety of direct licensing options including redistribution, historical usage, derived usage, and other common customer data licensing needs.  Please contact CMData Sales to discuss your specific licensing needs. benchmark@cmegroup.com.

What time of day are Petroleum Index values available?

Each official daily Index and Market values will published same-day:

What is the calculation methodology for the CME Group Petroleum Index?

The Index calculation is based on the official exchange futures settlement prices of the first nearby contract
month, except during a roll period.

To ensure the consistency of calculation, the underlying components are represented in USD per barrel.

Therefore, RB and HO contracts are converted from “cents/gallon” to “USD/barrel” using a standard conversion factor of 1 barrel = 42 US gallons.

The data are calculated in ZE Power, using NYMEX settlement prices as input. An algorithm will then weight the inputs and calculate the index.

What is the average file size?

The average file size is approximately 2KB 

Are there any anomalies in the files?

The Petroleum Indices are calculated according to the CME Settlement date calendar, comprising 11 holidays.

Which CME Group products impact the CME Group Petroleum Index?

The percentage weight of each futures contract within the Index is based on the respective average open interest volumes for the last quarter of the calendar year, from October 1st to December 31st inclusive. The Administrator reviews the weights of each component at the end of the calendar year and makes a recommendation to the Oversight Committee.

In the event that weightings have changed by more than 3% (three percent) versus the previous year, the weights must be adjusted accordingly. Changes to the weights will be advised to stakeholders and applied on the first day of the second quarter of the following year.

At launch, the weights of each component within the CME Group Petroleum Index are set as follows:

• NYMEX WTI Crude Oil 72%
• NYMEX RBOB Gasoline 13%
• NYMEX NY Harbor ULSD 15%

How is the data structured?

There are no Headers for the data format.