Chicago Mercantile Exchange Hurricane Index

The Chicago Mercantile Exchange Hurricane Index (CMEHI) is an index which describes the potential for damage from an Atlantic hurricane in the United States. The CMEHI is used as the basis for trading hurricane futures and options on the Chicago Mercantile Exchange (CME).

Index calculation

The CMEHI takes as input two variables: the maximum sustained wind speed of a hurricane in miles per hour and the radius to hurricane-force winds of a hurricane in miles (i.e. how far from the center of the hurricane winds of 74 mph or greater are experienced). If the maximum sustained wind speed is denoted by V and the radius to hurricane-force winds is denoted by R then the CMEHI is calculated as follows:

{\text{CMEHI}}=\left({\frac {V}{V_{0}}}\right)^{3}+{\frac {3}{2}}\left({\frac {R}{R_{0}}}\right)\left({\frac {V}{V_{0}}}\right)^{2}

where the subscript 0 denotes reference values. For use on the CME, the reference values of 74 mph and 60 miles are used for the maximum sustained wind speed and radius of hurricane-force winds respectively.

Index history and data

The development of the CMEHI was based on work published by Lakshmi Kantha at the Department of Aerospace Studies at the University of Colorado in Boulder, Colorado. Kantha's paper[1] in Eos developed a number of indices based on various characteristics of hurricanes. The ReAdvisory team at the reinsurance broker RK Carvill[2] used the basics of the Kantha paper to develop an index which became the Carvill Hurricane Index (CHI). In 2009, the scale was renamed the Chicago Mercantile Exchange Hurricane Index (CMEHI).[3]

The data for the CMEHI comes from the public advisories issued for named storms by the National Hurricane Center. Specifically, to determine the maximum sustained wind speed, the following verbiage is looked for:

MAXIMUM SUSTAINED WINDS ARE NEAR XX MPH

To determine the radius to hurricane-force winds, the following phrase is looked for:

HURRICANE FORCE WINDS EXTEND OUTWARD UP TO XX MILES

For example, Advisory 23A[4] for Hurricane Katrina at 1pm Central daylight time on Sunday, August 28, 2005, gave the maximum sustained wind speed of 175 mph and the radius of hurricane-force winds of 105 miles resulting in a CMEHI value of 27.9.

Data

Public advisories from the National Hurricane Center are archived back to 1998. The table below lists the CMEHI values for all the landfalling hurricanes since 1998 based on the NHC Public Advisories.

*Table 1: Historical storms and the CMEHI (1998 to 2020)*
Name	Year	Landfall	NHC advisory number	V(mph)	R(miles)	Saffir–Simpson category	CMEHI	Ref(s)
Bonnie	1998	North Carolina	33	100	115	2	7.7	[5]
Earl	1998	Florida	11A	80	115	1	4.6	[6]
Georges	1998	Puerto Rico	26B	115	85	3	8.9	[7]
Georges	1998	Mississippi	52	105	45	2	5.1	[8]
Bret	1999	Texas	17A	125	40	3	7.7	[9]
Floyd	1999	North Carolina	34A	110	115	2	9.6	[10]
Irene	1999	Florida	10	75	45	1	2.1	[11]
Lili	2002	Louisiana	49	90	70	1	4.4	[12]
Claudette	2003	Texas	28A	80	30	1	2.1	[13]
Isabel	2003	North Carolina	49A	100	115	2	7.7	[14]
Charley	2004	Florida	18	145	30	4	10.4	[15]
Frances	2004	Florida	44A	105	75	2	6.6	[16]
Ivan	2004	Alabama	55B	130	105	4	13.5	[17]
Jeanne	2004	Florida	49B	115	70	3	8.0	[18]
Dennis	2005	Florida	25B	120	40	3	6.9	[19]
Katrina	2005	Florida	9	75	15	1	1.4	[20]
Katrina	2005	Louisiana	26A	145	120	4	19.0	[21]
Rita	2005	Texas	26B	120	85	3	9.9	[22]
Wilma	2005	Florida	36	125	90	3	11.2	[23]
Humberto	2007	Texas	4	80	15	1	1.7	[24]
Dolly	2008	Texas	13A	100	25	2	3.6	[25]
Gustav	2008	Louisiana	31B	110	70	2	7.2	[26]
Ike	2008	Texas	48B	110	120	2	9.9	[27]
Irene	2011	Puerto Rico	7	75	15	1	1.4	[28]
Irene	2011	North Carolina	28A	85	90	1	4.5	[29]
Isaac	2012	Louisiana	33	80	60	1	3.0	[30]
Arthur	2014	North Carolina	13	100	40	2	4.3	[31]
Hermine	2016	Florida	19A	80	45	1	2.6	[32]
Matthew	2016	South Carolina	42	75	25	1	1.6	[33]
Harvey	2017	Texas	23	130	40	4	8.5	[34]
Irma	2017	Florida	45A	130	80	4	11.6	[35]
Maria	2017	Puerto Rico	17	155	60	4	15.8	[36]
Nate	2017	Louisiana	14A	85	40	1	2.8	[37]
Florence	2018	North Carolina	61	80	70	1	3.3	[38]
Michael	2018	Florida	16A	155	45	4	14.1	[39]
Barry	2019	Louisiana	13	75	45	1	2.1	[40]
Dorian	2019	North Carolina	52A	90	45	1	3.5	[41]
Hanna	2020	Texas	12	90	30	1	2.9	[42]
Isaias	2020	North Carolina	28	85	25	1	2.3	[43]
Laura	2020	Louisiana	29A	150	60	4	14.5	[44]
Sally	2020	Alabama	21	105	40	2	4.9	[45]
Delta	2020	Louisiana	Update	100	40	2	4.3	[46]
Zeta	2020	Louisiana	17	110	35	2	5.2	[47]

Prior to 1998, the data becomes sparse. However, using data from the HURSAT[48] database at NOAA it is possible to construct a set of CMEHI values for storms back to 1983.

Modeled data is available from a number of sources:

Seasonal data, suitable for use in the insurance and reinsurance community, is provided by AIR Worldwide
Atmospheric and Environmental Research, Inc. provide CMEHI values for live storms through their hCast-SR product
MDA Federal provide a real-time CMEHI forecasting product

Notes

L. Kantha, "Time to Replace the Saffir-Simpson Hurricane Scale?", Eos, Vol. 87, No. 1, 3 January 2006
RK Carvill website
"CME Group Acquires & Renames Hurricane Index; Selects New Calculation Agent - CME Investor Relations". investor.cmegroup.com. Retrieved 2017-10-09.
Katrina Advisory 23A
Pasch, Richard. "Hurricane Bonnie Advisory Number 33". National Hurricane Center. Retrieved 30 August 2020.
Avila, Lixion. "Hurricane Earl Intermediate Advisory Number 11A". National Hurricane Center. Retrieved 30 August 2020.
Guiney, John L. "Hurricane Georges Intermediate Advisory Number 26B". National Hurricane Center. Retrieved 30 August 2020.
Avila, Lixion. "Hurricane Georges Advisory Number 52". National Hurricane Center. Retrieved 30 August 2020.
Guiney, John L. "Hurricane Bret Intermediate Advisory Number 17A". National Hurricane Center. Retrieved 30 August 2020.
Guiney, John L. "Hurricane Floyd Intermediate Advisory Number 34A". National Hurricane Center. Retrieved 30 August 2020.
Franklin, James. "Hurricane Irene Advisory Number 10". National Hurricane Center. Retrieved 30 August 2020.
Avila, Lixion. "Hurricane Lili Advisory Number 49". National Hurricane Center. Retrieved 30 August 2020.
Beven, Jack. "Hurricane Claudette Intermediate Advisory Number 28A". National Hurricane Center. Retrieved 30 August 2020.
Franklin, James. "Hurricane Isabel Intermediate Advisory Number 49A". National Hurricane Center. Retrieved 30 August 2020.
Lawrence, Miles B. "Hurricane Charley Special Advisory Number 18...Corrected". National Hurricane Center. Retrieved 30 August 2020.
Lawrence, Miles B. "Hurricane Frances Intermediate Advisory Number 44A". National Hurricane Center. Retrieved 30 August 2020.
Lixion, Avila. "Hurricane Ivan Intermediate Advisory Number 55B". National Hurricane Center. Retrieved 30 August 2020.
Pasch, Richard. "Hurricane Jeanne Intermediate Advisory Number 49B". National Hurricane Center. Retrieved 30 August 2020.
Franklin, James. "Hurricane Dennis Intermediate Advisory Number 25B". National Hurricane Center. Retrieved 30 August 2020.
Stewart, Stacy. "Hurricane Katrina Advisory Number 9". National Hurricane Center. Retrieved 30 August 2020.
Stewart, Stacy. "Hurricane Katrina Intermediate Advisory Number 26A...Corrected". National Hurricane Center. Retrieved 30 August 2020.
Beven, Jack. "Hurricane Rita Intermediate Advisory Number 26B". National Hurricane Center. Retrieved 30 August 2020.
Pasch, Richard. "Hurricane Wilma Advisory Number 36". National Hurricane Center. Retrieved 30 August 2020.
Mainelli, Michelle; Lixion, Avila. "Hurricane Humberto Special Advisory Number 4". National Hurricane Center. Retrieved 30 August 2020.
Avila, Lixion. "Hurricane Dolly Intermediate Advisory Number 13A". National Hurricane Center. Retrieved 30 August 2020.
Beven, Jack. "Hurricane Gustav Intermediate Advisory Number 31B". National Hurricane Center. Retrieved 30 August 2020.
Beven, Jack; Rhome, Jamie. "Hurricane Ike Intermediate Advisory Number 48B". National Hurricane Center. Retrieved 30 August 2020.
Stewart, Stacy. "Hurricane Irene Advisory Number 7". National Hurricane Center. Retrieved 30 August 2020.
Brown, Daniel. "Hurricane Irene Intermediate Advisory Number 28A". National Hurricane Center. Retrieved 30 August 2020.
Pasch, Richard; Roberts, Dave. "Hurricane Isaac Advisory Number 33". National Hurricane Center. Retrieved 30 August 2020.
Beven, Jack. "Hurricane Arthur Advisory Number 13". National Hurricane Center. Retrieved 30 August 2020.
Avila, Lixion; Stewart, Stacy. "Hurricane Hermine Intermediate Advisory Number 19A". National Hurricane Center. Retrieved 30 August 2020.
Avila, Lixion. "Hurricane Matthew Advisory Number 42". National Hurricane Center. Retrieved 30 August 2020.
Beven, Jack. "Hurricane Harvey Advisory Number 23". National Hurricane Center. Retrieved 30 August 2020.
Pasch, Richard. "Hurricane Irma Intermediate Advisory Number 45A". National Hurricane Center. Retrieved 30 August 2020.
Pasch, Richard. "Hurricane Maria Advisory Number 17". National Hurricane Center. Retrieved 30 August 2020.
Berg, Robbie. "Hurricane Nate Intermediate Advisory Number 14A". National Hurricane Center. Retrieved 30 August 2020.
Stewart, Stacy. "Hurricane Florence Advisory Number 61". National Hurricane Center. Retrieved 30 August 2020.
Brown, Daniel. "Hurricane Michael Intermediate Advisory Number 16A...Corrected". National Hurricane Center. Retrieved 30 August 2020.
Beven, Jack. "Hurricane Barry Advisory Number 13". National Hurricane Center. Retrieved 30 August 2020.
Beven, Jack. "Hurricane Dorian Intermediate Advisory Number 52A". National Hurricane Center. Retrieved 30 August 2020.
Stewart, Stacy. "Hurricane Hanna Advisory Number 12". National Hurricane Center. Retrieved 30 August 2020.
Beven, Jack. "Hurricane Isaias Advisory Number 28". National Hurricane Center. Retrieved 30 August 2020.
Cangialosi, John; Blake, Eric; Zelinsky, David. "Hurricane Laura Intermediate Advisory Number 29A". National Hurricane Center. Retrieved 30 August 2020.
Stewart, Stacy. "Hurricane Sally Advisory Number 21". National Hurricane Center. Retrieved 30 August 2020.
Brown, Daniel. "Hurricane Delta Tropical Cyclone Update". National Hurricane Center. Retrieved 30 August 2020.
Pasch, Richard. "Hurricane Zeta Advisory Number 17". National Hurricane Center. Retrieved 30 August 2020.
Hurricane Satellite

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[Kantha-1] L. Kantha, "Time to Replace the Saffir-Simpson Hurricane Scale?", Eos, Vol. 87, No. 1, 3 January 2006

[RKC-2] RK Carvill website

[3] "CME Group Acquires & Renames Hurricane Index; Selects New Calculation Agent - CME Investor Relations". investor.cmegroup.com. Retrieved 2017-10-09.

[4] Katrina Advisory 23A

[5] Pasch, Richard. "Hurricane Bonnie Advisory Number 33". National Hurricane Center. Retrieved 30 August 2020.

[6] Avila, Lixion. "Hurricane Earl Intermediate Advisory Number 11A". National Hurricane Center. Retrieved 30 August 2020.

[7] Guiney, John L. "Hurricane Georges Intermediate Advisory Number 26B". National Hurricane Center. Retrieved 30 August 2020.

[8] Avila, Lixion. "Hurricane Georges Advisory Number 52". National Hurricane Center. Retrieved 30 August 2020.

[9] Guiney, John L. "Hurricane Bret Intermediate Advisory Number 17A". National Hurricane Center. Retrieved 30 August 2020.

[10] Guiney, John L. "Hurricane Floyd Intermediate Advisory Number 34A". National Hurricane Center. Retrieved 30 August 2020.

[11] Franklin, James. "Hurricane Irene Advisory Number 10". National Hurricane Center. Retrieved 30 August 2020.

[12] Avila, Lixion. "Hurricane Lili Advisory Number 49". National Hurricane Center. Retrieved 30 August 2020.

[13] Beven, Jack. "Hurricane Claudette Intermediate Advisory Number 28A". National Hurricane Center. Retrieved 30 August 2020.

[14] Franklin, James. "Hurricane Isabel Intermediate Advisory Number 49A". National Hurricane Center. Retrieved 30 August 2020.

[15] Lawrence, Miles B. "Hurricane Charley Special Advisory Number 18...Corrected". National Hurricane Center. Retrieved 30 August 2020.

[16] Lawrence, Miles B. "Hurricane Frances Intermediate Advisory Number 44A". National Hurricane Center. Retrieved 30 August 2020.

[17] Lixion, Avila. "Hurricane Ivan Intermediate Advisory Number 55B". National Hurricane Center. Retrieved 30 August 2020.

[18] Pasch, Richard. "Hurricane Jeanne Intermediate Advisory Number 49B". National Hurricane Center. Retrieved 30 August 2020.

[19] Franklin, James. "Hurricane Dennis Intermediate Advisory Number 25B". National Hurricane Center. Retrieved 30 August 2020.

[20] Stewart, Stacy. "Hurricane Katrina Advisory Number 9". National Hurricane Center. Retrieved 30 August 2020.

[21] Stewart, Stacy. "Hurricane Katrina Intermediate Advisory Number 26A...Corrected". National Hurricane Center. Retrieved 30 August 2020.

[22] Beven, Jack. "Hurricane Rita Intermediate Advisory Number 26B". National Hurricane Center. Retrieved 30 August 2020.

[23] Pasch, Richard. "Hurricane Wilma Advisory Number 36". National Hurricane Center. Retrieved 30 August 2020.

[24] Mainelli, Michelle; Lixion, Avila. "Hurricane Humberto Special Advisory Number 4". National Hurricane Center. Retrieved 30 August 2020.

[25] Avila, Lixion. "Hurricane Dolly Intermediate Advisory Number 13A". National Hurricane Center. Retrieved 30 August 2020.

[26] Beven, Jack. "Hurricane Gustav Intermediate Advisory Number 31B". National Hurricane Center. Retrieved 30 August 2020.

[27] Beven, Jack; Rhome, Jamie. "Hurricane Ike Intermediate Advisory Number 48B". National Hurricane Center. Retrieved 30 August 2020.

[28] Stewart, Stacy. "Hurricane Irene Advisory Number 7". National Hurricane Center. Retrieved 30 August 2020.

[29] Brown, Daniel. "Hurricane Irene Intermediate Advisory Number 28A". National Hurricane Center. Retrieved 30 August 2020.

[30] Pasch, Richard; Roberts, Dave. "Hurricane Isaac Advisory Number 33". National Hurricane Center. Retrieved 30 August 2020.

[31] Beven, Jack. "Hurricane Arthur Advisory Number 13". National Hurricane Center. Retrieved 30 August 2020.

[32] Avila, Lixion; Stewart, Stacy. "Hurricane Hermine Intermediate Advisory Number 19A". National Hurricane Center. Retrieved 30 August 2020.

[33] Avila, Lixion. "Hurricane Matthew Advisory Number 42". National Hurricane Center. Retrieved 30 August 2020.

[34] Beven, Jack. "Hurricane Harvey Advisory Number 23". National Hurricane Center. Retrieved 30 August 2020.

[35] Pasch, Richard. "Hurricane Irma Intermediate Advisory Number 45A". National Hurricane Center. Retrieved 30 August 2020.

[36] Pasch, Richard. "Hurricane Maria Advisory Number 17". National Hurricane Center. Retrieved 30 August 2020.

[37] Berg, Robbie. "Hurricane Nate Intermediate Advisory Number 14A". National Hurricane Center. Retrieved 30 August 2020.

[38] Stewart, Stacy. "Hurricane Florence Advisory Number 61". National Hurricane Center. Retrieved 30 August 2020.

[39] Brown, Daniel. "Hurricane Michael Intermediate Advisory Number 16A...Corrected". National Hurricane Center. Retrieved 30 August 2020.

[40] Beven, Jack. "Hurricane Barry Advisory Number 13". National Hurricane Center. Retrieved 30 August 2020.

[41] Beven, Jack. "Hurricane Dorian Intermediate Advisory Number 52A". National Hurricane Center. Retrieved 30 August 2020.

[42] Stewart, Stacy. "Hurricane Hanna Advisory Number 12". National Hurricane Center. Retrieved 30 August 2020.

[43] Beven, Jack. "Hurricane Isaias Advisory Number 28". National Hurricane Center. Retrieved 30 August 2020.

[44] Cangialosi, John; Blake, Eric; Zelinsky, David. "Hurricane Laura Intermediate Advisory Number 29A". National Hurricane Center. Retrieved 30 August 2020.

[45] Stewart, Stacy. "Hurricane Sally Advisory Number 21". National Hurricane Center. Retrieved 30 August 2020.

[46] Brown, Daniel. "Hurricane Delta Tropical Cyclone Update". National Hurricane Center. Retrieved 30 August 2020.

[47] Pasch, Richard. "Hurricane Zeta Advisory Number 17". National Hurricane Center. Retrieved 30 August 2020.

[48] Hurricane Satellite