Published On: Mon, Nov 3rd, 2014

OSE Announced Important Matters Concerning The Introduction Of JPX-Nikkei Index 400 Futures

Atsushi Saito, JPX Group CEO -

Atsushi Saito, JPX Group CEO –

OSE have outlined important matters below concerning rules and market operations with regard to the introduction of JPX-Nikkei Index 400 Futures scheduled for November 25, 2014 (Tue.).

Contract Months and Strategy Trading to be set from the Launch Date

The contract months and strategy trading from the launch date will be set as below.
However, when trading is shifted to the next contract month, OSE will notify the change in advance.

Contract Months

Contract Month (9 digit code) Last Trading Day
December 2014 (169120022) December 11, 2014 (Thu.)
March 2015 (160030022) March 12, 2015 (Thu.)
June 2015 (160060022) June 11, 2015 (Thu.)
September 2015 (160090022) September 10, 2015 (Thu.)
December 2015 (160120022) December 10, 2015 (Thu.)

Strategy Trading (Calendar Spread)

From the day session of the launch date to the end of the day session of December 11, 2014 (Thu.), strategy trading will be available for combinations of the contract months below.

Near Contract Month Far Contract Month
December 2014 March 2015
December 2014 June 2015
December 2014 September 2015
December 2014 December 2015

Price Limits

Price Limits on Bids/Offers

The price limits applied from the launch date to the end of the day session of November 28, 2014 (Fri.) are as below.
Price limits are reviewed quarterly in principle and revised on the first trading days of March, June, September and December. OSE will notify the contents of the revision in advance.

Normal 1st expansion 2nd expansion
925 points 1,385 points 1,850 points

Base Prices for Price Limits on Bids/Offers

The base prices for price limits on bids/offers on the launch date shall be theoretical prices. The actual base prices will be notified separately on the business day before the launch date (November 21, 2014 (Fri.)).
The base prices for business days after the launch date (November 26, 2014 (Wed.) onward) will be the settlement prices of the previous trading day.

Temporary Revisions of the Price Limit Range

The price limit range shall be temporarily revised in cases where the ratio of the price limit range at the second expansion to the base price for price limits on bids/offer of the central contract month is either beyond 20% or below 12% for two straight days, or in other cases where OSE deems it necessary.

Central Contract Month as in Rules for Temporary Trading Suspension, etc.

The central contract month as in the rules on temporary trading suspension (circuit breaker rules) and the rules on price limits on bids/offers shall be, in principle, the nearest contract month.

Immediately Executable Price Range and Executable Price Range in Closing Auctions

The immediately executable price range and the executable price range in closing auctions is, in principle, 0.8% above and below the last mid-point price of the best bid and offer(*).

(*) Best bid and offer mean the bid and offer that have the highest priority in terms of price. The mid-point price also considers contract prices (excluding those resulting from strategy trading and J-NET trading). Also, in cases where there is no mid-point price, it will be the base price for price limits of the same trading day.

Price Limits for J-NET Trading

U±W×8%
U: Last reference price for immediately executable price range
W: Base price for price limits on bids/offers for the trading day

Order Size Limits

Auction Strategy J-NET
3,000 units 5,000 units 10,000 units

Determination of Settlement Price, etc.

(1) If a trade, excluding strategy trades, is executed during the period of time as specified by Japan Securities Clearing Corporation (hereinafter referred to as “JSCC”) (*1), the settlement price shall be the last traded price, excluding strategy trades, in the auction trading session.
(2) In cases other than (1), the settlement price shall be the theoretical price as calculated by the formula specified by JSCC (fractions less than the price tick size shall be rounded off to the nearest price tick, or rounded up if there are two nearest price ticks).
(3) In cases other than (2), the settlement price shall be a price as set by JSCC(*2) considering circumstances such as conditions of bids and offers placed at the close of the auction trading session of that day.

(*1) The period between 3 p.m. and the close of a regular daytime auction trading session (If intra-day margin is called, the intra-day settlement price shall be set in reference to trade prices between 10:45 a.m. and 11:00 a.m.).
(*2) Notwithstanding the calculation methods described in (1). and (2), theoretical prices shall be adopted as the settlement prices on the last business days of March, June, September or December.

Determination of Final Settlement Price

The final settlement price shall be calculated based on the contract price of each component issue of JPX-Nikkei 400 (or the price specified by OSE for issues without any trades on the day following the day on which the future’s last trading day ends) at the opening of the trading session on the financial instrument exchange market established by Tokyo Stock Exchange, Inc. on the day following the day on which the last trading day ends.

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