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). It is very similar to the Hurricane Severity Index, which also factors both size and intensity of a hurricane.

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 in Eos developed a number of indices based on various characteristics of hurricanes. The ReAdvisory team at the reinsurance broker RK Carvill 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).

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 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, and uses alternate sources for hurricanes between 1989 and 1998.

CMEHI indices of historical storms (1989 – present)
Name	Year	Landfall	NHC advisory number	Windspeed at/near landfall (operational)	Radius of hurricane–force winds at/near landfall	CMEHI index	Ref(s)
1  Jerry	1989	Texas	N/A			2.3
4  Hugo	1989	U.S. Virgin Islands	N/A			14.4
3  Hugo	1989	Puerto Rico	N/A			10.9
4  Hugo	1989	South Carolina	N/A			19.3
4  Andrew	1992	Florida	N/A			9.9
1  Erin	1995	Florida	N/A			2.7
2  Marilyn	1995	U.S. Virgin Islands	N/A			4.9
3  Opal	1995	Florida	N/A			7.4
2  Bertha	1996	North Carolina	N/A			8.6
3  Fran	1996	North Carolina	44			14.3
1  Hortense	1996	Puerto Rico	N/A			3.0
1  Danny	1997	Louisiana	N/A			1.5
2  Bonnie	1998	North Carolina	33			7.7
1  Earl	1998	Florida	11A			4.6
3  Georges	1998	Puerto Rico	26B			8.9
2  Georges	1998	Mississippi	52			5.1
3  Bret	1999	Texas	17A			7.7
2  Floyd	1999	North Carolina	34A			9.6
1  Irene	1999	Florida	10			2.1
1  Lili	2002	Louisiana	49			4.4
1  Claudette	2003	Texas	28A			2.1
2  Isabel	2003	North Carolina	49A			7.7
4  Charley	2004	Florida	18			10.4
2  Frances	2004	Florida	44A			6.6
4  Ivan	2004	Alabama	55B			13.5
3  Jeanne	2004	Florida	49B			8.0
3  Dennis	2005	Florida	25B			6.9
1  Katrina	2005	Florida	9			1.4
4  Katrina	2005	Louisiana	26A			19.0
3  Rita	2005	Texas	26B			9.9
3  Wilma	2005	Florida	36			11.2
1  Humberto	2007	Texas	4			1.7
2  Dolly	2008	Texas	13A			3.6
2  Gustav	2008	Louisiana	31B			7.2
2  Ike	2008	Texas	48B			9.9
1  Irene	2011	Puerto Rico	7			1.4
1  Irene	2011	North Carolina	28A			4.5
1  Isaac	2012	Louisiana	33			3.0
2  Arthur	2014	North Carolina	13			4.3
1  Hermine	2016	Florida	19A			2.6
1  Matthew	2016	South Carolina	42			1.6
4  Harvey	2017	Texas	23			8.5
4  Irma	2017	Florida	45A			11.6
4  Maria	2017	Puerto Rico	17			15.8
1  Nate	2017	Louisiana	14A			2.8
1  Florence	2018	North Carolina	61			3.3
4  Michael	2018	Florida	16A			14.1
1  Barry	2019	Louisiana	13			2.1
1  Dorian	2019	North Carolina	52A			3.5
1  Hanna	2020	Texas	12			2.9
1  Isaias	2020	North Carolina	28			2.3
4  Laura	2020	Louisiana	29A			14.5
2  Sally	2020	Alabama	21			4.9
2  Delta	2020	Louisiana	Update			4.3
2  Zeta	2020	Louisiana	17			5.2
4  Ida	2021	Louisiana	14			13.5
1  Nicholas	2021	Texas	8A			1.6
1  Fiona	2022	Puerto Rico	17A			2.5
4  Ian	2022	Florida	24A			14.1
1  Ian	2022	South Carolina	33			3.8
4  Idalia	2023	Florida	15			7.4
1  Beryl	2024	Texas	39			2.6
1  Debby	2024	Florida	12			2.0
2  Francine	2024	Louisiana	13			4.3
4  Helene	2024	Florida	15			12.1

Prior to 1998, the data becomes sparse. However, using data from the HURSAT 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