【To investors】Partial Revision to Method of Determining Settlement Prices for Futures and Options

JSCC will partially revise the method of determining settlement prices for futures and options scheduled for August 3, 2026 (Mon.).

The key revised points are as follows:

5-year JGB Futures, 20-year JGB Futures, 3-Month TONA Futures, Nikkei 225 VI Futures, Overseas Index Futures, Nikkei 225 Dividend Index Futures, FX Futures, Shanghai Natural Rubber Futures, Commodity Index Futures (CME Group Petroleum Index Futures)

For products where the Settlement Price is primarily determined using the mid price of the best quotes (best ask and best bid), the methodology will be revised to better reflect actual order conditions. Specifically, following the execution price determined by the Closing Auction (Itayose), the mid price of the best bid and ask quotes immediately before the end of continuous trading session (Zaraba) will be adopted, when determining the settlement price.

For example, for 20-year JGB Futures, the last contract price in the auction trading session after 2:50pm is adopted, following to the contract price at the close of the afternoon session by the Closing Auction (Itayose), however, after the revision, the said last contract price will be replaced by the mid price of the best bid and ask quotes immediately before the end of continuous trading session (Zaraba).

Options on JGB Futures, Index Options, Securities Options　and Options on Gold Futures

For all option products, in order to standardize the timing of volatility calculation, the volatility used for theoretical price calculation will be revised to be calculated from the mid price of the best quotes in auction trading session immediately before the volatility calculation.

Currently, we calculate volatility for each time using the mid price of best quotes or contract price in auction trading session on the trading day and use the latest one to calculate the Settlement Price. After the revision, we fix a timing to calculate volatility used for calculation of Settlement Price and use the mid price of the best quotes indicated at immediately before such timing.

As for Index Options and Securities Options, if data which could be referenced as actual value is obtained from market participants, JSCC will use such data for calculation, after processing.

To determine the last contract price adopted to the Settlement Price for 10-year JGB Futures, contracts concluded in the night trading session are currently excluded, however, these contracts will be included after the revision.

As in the same manner for Nikkei 225 Futures (Large), for all subsequent contract month contracts following the second contract month contracts for TOPIX Futures (Large), JPX Nikkei 400 Futures, Nikkei 225 mini and Nikkei 225 Options (for Nikkei 225 mini and Nikkei 225 Options, those with the same contract month as the second contract month contract of Nikkei 225 Futures(Large)), the Settlement Price will be uniformly the theoretical price, regardless of whether there are executions between 3:30 p.m. and the closing of the daytime auction trading session.

For more details about the changes, please refer to the documents below.