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1 Copyright©Osaka Exchange, Inc., Tokyo Commodity Exchange, Inc. and Nikkei Inc. All rights reserved Nikkei-JPX Leveraged Index Nikkei-JPX Inverse Index Index Guidebook July 2020 Osaka Exchange, Inc. (OSE) Tokyo Commodity Exchange, Inc. (TOCOM) Nikkei, Inc. (Nikkei) 2 Copyright©Osaka Exchange, Inc., Tokyo Commodity Exchange, Inc. and Nikkei Inc. All rights reserved 1. Concept The Nikkei-JPX Leveraged Indexes represent the doubled performance of the Nikkei- JPX Commodity Index and the Nikkei-JPX Commodity Sub Indexes (hereinafter“base index(es)”), and the Nikkei-JPX Inverse Indexes represent the inverse performance of the base indexes. For instance, if a base index rises by 5% from the base index calculated from the settlement price of each component (hereinafter“settlement base index(es)”) of the previous day, the corresponding Nikkei-JPX Leveraged Index rises by 10% over the same period and the corresponding Nikkei-JPX Inverse Index falls by 5%. Similarly, ...
June 22, 2020 Nikkei Inc. Japan Exchange Group, Inc. Osaka Exchange, Inc. Tokyo Commodity Exchange, Inc. Change of Calculation Method of Nikkei-JPX Leveraged Index and Nikkei-JPX Inverse Index Nikkei, Inc. (Nikkei), Japan Exchange Group, Inc. (JPX), Osaka Exchange, Inc. and Tokyo Commodity Exchange, Inc. will change the calculation method for“Nikkei-JPX Leveraged Index”i and“Nikkei-JPX Inverse Index”i from July 27, 2020. The Leveraged Index and the Inverse Index are designed to represent leveraged or inverse performance of commodity futures price index (base index). Recently the volatility of commodity futures price index tends to become higher due to the spread of the coronavirus. This may cause both of Leveraged and Inverse Index turning into negative values under the current calculation method if the base index fluctuates by more than a certain percentage.ii This would make it impossible to continue calculating the indices. In order ...
1 Copyright©Osaka Exchange, Inc., Tokyo Commodity Exchange, Inc. and Nikkei Inc. All rights reserved Nikkei-JPX Leveraged Index Nikkei-JPX Inverse Index Index Guidebook July 2020 Osaka Exchange, Inc. (OSE) Tokyo Commodity Exchange, Inc. (TOCOM) Nikkei, Inc. (Nikkei) 2 Copyright©Osaka Exchange, Inc., Tokyo Commodity Exchange, Inc. and Nikkei Inc. All rights reserved 1. Concept The Nikkei-JPX Leveraged Indexes represent the doubled performance of the Nikkei- JPX Commodity Index and the Nikkei-JPX Commodity Sub Indexes (hereinafter“base index(es)”), and the Nikkei-JPX Inverse Indexes represent the inverse performance of the base indexes. For instance, if a base index rises by 5% from the base index calculated from the settlement price of each component (hereinafter“settlement base index(es)”) of the previous day, the corresponding Nikkei-JPX Leveraged Index rises by 10% over the same period and the corresponding Nikkei-JPX Inverse Index falls by 5%. Similarly, ...
1 Copyright©Osaka Exchange, Inc., Tokyo Commodity Exchange, Inc. and Nikkei Inc. All rights reserved Attachment 1 (9.3 Component Weight Ratio) 1. Nikkei-JPX Commodity Index and Nikkei-JPX Nearby Month Commodity Index (Unit: percent) Gold Silver Platinum Palladium Aluminum Gasoline Kerosene Crude Oil Gas Oil Rubber Soy- bean Azuki Corn Raw Sugar 2002 9.34 0.81 11.51 1.40 5.06 27.33 15.97 26.45－2.13 －－－－ 2003 16.27 0.87 8.18 0.71 4.62 25.92 14.89 24.89－3.65－－－－ 2004 15.34 0.80 8.10 0.44 4.44 25.88 14.88 18.66 8.49 2.97－－－－ 2005-1 14.18 1.23 8.59 0.55 4.27 26.49 15.91 18.39 8.08 2.31－－－－ 2005-2 14.36 1.29 8.83 0.61 4.96 29.08 16....
1 Copyright©Osaka Exchange, Inc., Tokyo Commodity Exchange, Inc. and Nikkei Inc. All rights reserved Attachment 2 (9.4 Designated Contract Month) 1. Nikkei-JPX Commodity Index and Nikkei-JPX Sub Commodity Index (excluding Nikkei-JPX Nearby Month Commodity Index) Period Precious Metals・ Soybean Gasoline・ Kerosene Crude Oil・ Rubber・ Azuki Corn 06/01/2021‐06/04/2021 Apr2022 Nov2021 Oct2021 May2022 06/07/2021‐06/11/2021 (*1) Nov2021 Dec2021 Oct2021 Nov2021 06/14/2021‐07/06/2021 Dec2021 Nov2021 07/07/2021‐07/13/2021 (*1) Apr2022 Jun2022 Dec2021 Jan2022 Nov2021 Dec2021 May2022 Jul2022 07/14/2021‐08/05/2021 Jun2022 Jan2022 Dec2021 Jul2022 08/06/2021‐08/13/2021 (*1) Jan2022 Feb2022 Dec2021 Jan2022 08/16/2021‐09/06/2021 Feb2022 Jan2022 09/07/2021‐09/13/2021 (*1) Jun2022 Aug2022 Feb2022 Mar2022 Jan2022 Feb2022 Jul2022 Sep2022 09/14/2021‐10/06/2021 Aug2022 Mar2022 Feb2022 Sep2022 10/...
Comparison Table of Old and New Provisions of Nikkei-JPX Commodity Index Guidebook Page Item New Old Cover Year and Month June 2021 July 2020 9 3.2.5 Treatment of Cash-settled Oil Products Transactions 3.2.5 Treatment of Cash-settled Oil Products Transactions As the listing products for Cash-settled Oil Products Transactions are same as the existing physically delivered futures transactions of oil products (hereinafter“Existing Physically Delivered Futures Transactions”), they shall not be added to the index component as a new component but be treated together with the Existing Physically Delivered Futures Transactions as one component. When calculating weight ratios of components for Cash-settled Oil Products Transactions, the scale of each futures market shall be calculated by adding the end-of-month open interests of Cash-settled Oil Products Transactions (in value terms) to the end-of-month open interests of Existing Physically Delivered ...
1 Copyright©Osaka Exchange, Inc., Tokyo Commodity Exchange, Inc. and Nikkei Inc. All rights reserved Nikkei-JPX Leveraged Index Nikkei-JPX Inverse Index Index Guidebook June 2021 Osaka Exchange, Inc. (OSE) Tokyo Commodity Exchange, Inc. (TOCOM) Nikkei, Inc. (Nikkei) 2 Copyright©Osaka Exchange, Inc., Tokyo Commodity Exchange, Inc. and Nikkei Inc. All rights reserved 1. Concept The Nikkei-JPX Leveraged Indexes represent the doubled performance of the Nikkei- JPX Commodity Index and the Nikkei-JPX Commodity Sub Indexes (hereinafter“base index(es)”), and the Nikkei-JPX Inverse Indexes represent the inverse performance of the base indexes. For instance, if a base index rises by 5% from the base index calculated from the settlement price of each component (hereinafter“settlement base index(es)”) of the previous day, the corresponding Nikkei-JPX Leveraged Index rises by 10% over the same period and the corresponding Nikkei-JPX Inverse Index falls by 5%. Similarly, ...
Copyright©Osaka Exchange, Inc., Tokyo Commodity Exchange, Inc. and Nikkei Inc. All rights reserved Nikkei-JPX Commodity Index Guidebook June 2021 Osaka Exchange, Inc. (OSE) Tokyo Commodity Exchange, Inc. (TOCOM) Nikkei Inc. (Nikkei) Copyright©Osaka Exchange, Inc., Tokyo Commodity Exchange, Inc. and Nikkei Inc. All rights reserved - Contents - 1 INTRODUCTION ................................................................................................................... 1 1.1 BACKGROUND ......................................................................................................................... 1 1.2 INDEX MANAGEMENT SPECIAL COMMITTEE ............................................................................... 2 1.3 NIKKEI-JPX COMMODITY INDEX GUIDEBOOK ............................................................................ 2 1.4 PUBLICATION OF THE NIKKEI-JPX COMMODITY INDEX ................................................................ 2 1.5 COPYRIGHTS, ETC. ................................................................................................................... 3 1.6 LIMITED LIABILITY .................................................................................................................. 3 1.7 LICENSING .............................................................................................................................. 4 2 INDEX SPECIFICATIONS ..................................................................................................... 5 2.1 NAME ..................................................................................................................................... 5 2.2 COMPONENTS ......................................................................................................................... 5 2.3 DESIGNATED CONTRACT MONTH .............................................................................................. 5 2.4 ROLLING OF THE DESIGNATED CONTRACT MONTH ...................................................................... 5 2.5 CALCULATION METHODS ......................................................................................................... 6 2.6 COMPONENTS WEIGHT RATIO ................................................................................................... 6 2.7 REBALANCING COMPONENTS WEIGHT ....................................................................................... 6 2.8 BASE DATE ............................................................................................................................. 6 3 COMPONENTS ..................................................................................................................... 8 3.1 COMPONENTS ......................................................................................................................... 8...
