TSE Expands the Number of Strike Prices for Options on JGB Futures
TSE will partially revise the trading rules in the first half of fiscal year 2011 to expand the number of strike prices for options on JGB futures in order to respond to diverse trading needs. These revisions will include changing the strike price interval to 0.5 yen from the current 1 yen.
TSE will be accepting public comments regarding this matter from the current date until February 27, 2011.
TSE will set a base price at an interval of 0.5 yen (a price of an integral multiple of 0.5 yen that is closest to the settlement price of the underlying JGB futures contract month on the trading day; the same shall apply hereafter) on the trading day ending on the day immediately preceding the initial trading day of each contract month and 10 serial strike prices of an integral multiple of 0.5 yen set above and below the base price (a total of 21 strike prices).
New strike prices shall be set for each contract month at an interval of 0.5 yen starting from the existing strike prices until the number of strike prices both above and below the base price set at an interval of 0.5 yen on the trading day ending on the previous day becomes 10. (TSE will set a total of at least 21 strike prices set at an interval of 0.5 yen.)