Nikkei 225 VI Futures

How to Use

Case 1

Nikkei 225 VI Futures contracts can be settled in cash by offset transaction before the expiration in the same way as other futures contracts.

Settle Nikkei 225 VI Futures December contract before the expiration (Dec. 14)

  Buyer
(Expect Nikkei 225 VI to rise)
Seller
(Expect Nikkei 225 VI to fall)
November 1
(New Transaction)
Buy 1 unit at 25.0 points.
The trading value is 250,000 yen
(25.0 × 10,000 ×1)
Sell 1 unit at 25.0 points.
The trading value is 250,000 yen
(25.0 × 10,000 ×1)
December 1
(Offset Transaction)
Resale before the expiration, when the contract price of Nikkei 225 VI Futures rises to 30.0 points. Repurchase before the expiration, when the contract price of Nikkei 225 VI Futures rises to 30.0 points.
Profit/Loss As expected, the price of Nikkei 225 VI Futures rises.
Profit: 5.0 × 10,000 × 1 = 50,000 yen
Contary to the expectation, the price of Nikkei 225 VI futures rises.
Loss: 5.0 × 10,000 × 1 = 50,000 yen

Case 2

It is expected to cover the risk that the value of the assets held (stocks etc.) declines by taking a long position of Nikkei 225 VI Futures, using the tendency for Nikkei 225 VI to sharply rise when the Nikkei Stock Average rapidly falls. Especially, institutional investors who hold a large amount of stocks are expected to trade Nikkei 225 VI Futures.

Hold Nikkei 225 VI Futures December contract for hedging the downside risk of Nikkei 225 ETF

  Nikkei 225 ETF Nikkei 225 VI Futures
November 1
(New Transaction)
Buy 100 units of Nikkei 225 ETF at 10,000 yen. Buy 1 unit of Nikkei 225 VI Futures at 20.0 points.
November 15
(Offset Transaction)
Markets decline sharply and the price of Nikkei 225 ETF falls. Resale the 100 units of Nikkei 225 ETF at 8,000 yen. Markets decline sharply and the price of Nikkei 225 VI Futures rises. Resale the 1 unit of Nikkei 225 VI Futures at 40.0 points.
Profit/Loss Loss occurs, whose amount is obtained by multiplying the difference of two contract prices by the purchased units (100 units).
Loss: 2,000 × 100=200,000 yen
Profit occurs, whose amount is obtained by multiplying the difference of two contract prices by the contract unit (10,000 yen).
Profit: 20.0 × 10,000=200,000 yen

The profit of Nikkei 225 VI Futures (200,000 yen) compensates for the loss of Nikkei 225 ETF (200,000 yen).