【Dear Investors】 Settlement Price Determination Method for 3rd and Subsequent Contract Month Contracts of N225 Futures will be Changed.
2019/09/17
This is to announce a change we will make to the Settlement Price determination method for 3rd and subsequent contract month contracts of Nikkei225 Futures effective as of Oct 15th, 2019 (Mon).
The Settlement Price for Nikkei 225 Futures (Large-sized Contract) at Osaka Exchange shall be, in principle, the last contract price, excluding Strategy Trade contracts, in the auction trading session. However, in light of recent trading status and level of Settlement Prices, from Oct 15th, 2019 (Mon) and for the time being, the Settlement Price for the 3rd and subsequent contract month contracts shall be either the theoretical price obtained by using theoretical price calculation formula prescribed by JSCC or the value JSCC determines based on the circumstances such as conditions of quotes placed at the close of the auction trading session on the relevant day.
【Reference: N225 Futures Settlement Price Determination Method after Change】
| 1st and 2nd Contract Month Contracts | 3rd to 19th Contract Month Contracts |
|---|---|
| (1) Last contract price at or after 3:00 p.m. in the auction trading session (2) In cases other than (1) or if JSCC deems it inappropriate to set the contract price prescribed in (1) as Settlement Price: The theoretical price JSCC calculates or the value JSCC determines based on the circumstances such as conditions of quotes placed at the close of the auction trading session on the relevant day |
The theoretical price JSCC calculates or the value JSCC determines based on the circumstances such as conditions of quotes placed at the close of the auction trading session on the relevant day |
* The Settlement Price at each quarter-end shall be the theoretical price for all contract month contracts (the same as current proceures)
| Method of Determining Settlement Prices of Options and Futures (revised in association with this change) |
|
