JPX-Nikkei Index 400 Options

Contract Specifications

Underlying Index

JPX-Nikkei Index 400

Opening Date

July 19, 2016

Trading hours

8:45-15:45, 17:00-6:00
(Note) An order acceptance period ("pre-closing") is established for 5 minutes before the Itayose on close.

Contract Months

Quarterly Contract Months(Available for a period up to 5 years)
- June and December: Nearest 10 contract months
- March and September: Nearest 3 contract months
Monthly Contract Months(Available for a period up to 9 months)
- Nearest 6 contract months

Strike Prices

For nearest 3 contract months
- +/- 8 strike prices with 250 points interval
For other contract months
- +/- 8 strike prices with 500 points interval
Others
- Application-based strike prices (on-demand strike prices) within certain price range
  On-demand strike prices

Last Trading Day

The business day preceding the second Friday of each expiration month (When the second Friday is a non-business day, it shall be the preceding business day.).
Trading in a new expiration month begins on the business day following the last trading day.

Exercise Type

European. The option may be exercised only at its expiration.

Contract Unit

Option Price × JPY 1,000

Tick Size

Option Price	Tick Size
50 points or less	1 points
Over 50 points	5 points

Price Limits

The price limit range shall be calculated by multiplying the base price for calculating the price limit range by the following rates. In principle, the price limit range will be recalculated on a quarterly basis (March, June, September and December).

Reference price	Normal
Less than 50 points	4%
50～200 points	6%
200～500 points	8%
500 points or more	11%

1st Expansion	Add 3% to Normal Price Limits
2nd Expansion	Add 3% to 1st Expansion Price Limits

(Note) The price limits will be expanded to the 1st expansion of price limits, and then to the 2nd expansion of price limits (Price limits in both directions, up and down, will be expanded.)
Current Price Limits
Price Limits/ Circuit Breaker Rule
(Note) OSE may review price limit temporarily.

Immediately Executable Price Range (DCB)：
As follows depending on the DCB reference price level

DCB Reference Price Level	DCB Price Range
Less than 50 pts	± 25 pts
50 pts or more, but less than 200 pts	± 50 pts
200 pts or more, but less than 500 pts	± 100 pts
500 pts or more, but less than 800 pts	± 125 pts
800 pts or more, but less than 1,000 pts	± 150 pts
1,000 pts or more, but less than 2,000 pts	± 200 pts
2,000 pts or more	± 250 pts

Immediately Executable Price Range Rule

Circuit Breaker Rule (SCB)

In the case where there was a trade, etc. in the central contract month at the upper or lower price limit range, trading in all contract months will be suspended for at least 10 minutes.
Price Limits/ Circuit Breaker Rule

Strategy Trades

Unavailable

J-NET Trading

Available (Tick size:0.0001 point, Minimum trading unit: 1 unit)
J-NET Trading

Flexible Options Trading

Available
Flexible Options Trading

Holiday Trading

Available
Holiday Trading

Settlement Price

Theoretical price
*If necessary, notwithstanding the above, the settlement price will be adjusted as deemed appropriate by JSCC.

Final Settlement Price

Special Quotation
(SQ calculation is based on the total opening prices of each component stock of JPX-Nikkei Index 400 on the business day following the last trading day.)

Margin

Calculated by VaR Method
Margin Calculation Method (VaR Method) for Futures and Options (JSCC)

Settlement method

resell or buy back
final settlement

Give-Up

Available
Give-Up System

Position-Transfer

Available
Position Transfer System（JSCC）

Derivatives

Products
- Japanese Indices

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