Options on JGB Futures

Contract Specifications

Contracts 10-year JGB Futures
Opening Date May 11, 1990
Trading Hours 8:45-11:02, 12:30-15:02, 15:30-6:00
(Note) An order acceptance period ("pre-closing") is established for 2 minutes(5 minutes in the Night Session) before the Itayose on close.
Trading Hours
Contract Months Two closest of March, June, September and December (quarterly months) plus one or two closest serial months (non-quarterly months)
Underlying JGB Futures Contract Month Contract month for underlying shall be:
March for January, February and March option contract months;
June for April, May and June option contract months;
September for July, August and September option contract months; and
December for October, November and December option contract months.
Strike Price 41 strikes with ¥0.25 intervals. Additional strikes will be set in conjunction with the underlying fluctuation.
Application-based strike prices (on-demand strike prices) can be set within certain price range.
on-demand strike prices
First Trading Day Quarterly Months:
The first business day of the sixth prior month of the option contract month
Non-quarterly Months:
The first business day of the second prior month of the respective option contract month
Last Trading Day The last business day of the month prior to the option contract month
Exercise Period American type option (the buyer of option may exercise the option at any time from the first trading day to the last trading day.)
All in-the-money options at the end of expiration date will be automatically exercised, unless otherwise instructed.
Contract Unit 1 option contract represents the right to buy or sell 10-year JGB futures of 100 million yen in face value.
Tick Size ¥0.01 per ¥100 in face value (¥10,000 per contract)
Price Limits
  1. The price limit range shall be the following
    Normal \2.10
    Expansion \3.00
    (Note) The price limits will be expanded to the expansion of price limits (Price limits in both direction, up and down, will be expanded.)
    Price Limits/ Circuit Breaker Rule
  2. Immediately Executable Price Range (DCB):LTP or BBO mid price ± following prices
    Opening Auction \0.30
    Normal \0.10
    Closing Auction \0.15
    Immediately Executable Price Range Rule
Circuit Breaker Rule(SCB) Trading is suspended while 10-year JGB Futures is in SCB state.
Price Limits/ Circuit Breaker Rule
Strategy Trades Unavailable
J-NET Trading Available (Tick size: \0.0001, Minimum trading unit: 1 unit)
J-NET Trading
Settlement Regarding Exercise Futures transactions will be done by closing (15:15) of exercise day.
Margin Calculated by VaR Method
Margin Calculation Method (VaR Method) for Futures and Options (JSCC)
Give-Up Available
Give-Up System
Position-Transfer Available
Position Transfer System(JSCC)
Reporting of Large Positions Contract month: the contract month of Options on JGB Futures whose underlying is the nearest month of JGB Futures

Target: Proprietaries and any customers whose positions calculated below (a) to (c) are no less than 1,000 contracts
(a) net position volume of put options
(b) net position volume of call options
(c) the total volume of (a) and (b) (unless both (a) and (b) are net buy or are net sell)

Measurement date: Every Friday
Outline of Specifications for Options on JGB Futuress