RTS Exchange: Settlement Of Futures And Options In September 2011

On September 14, 2011 futures and options contracts will be settled through the unified settlement technology implemented on FORTS and RTS Standard.

Settlement schedule is the following:

September 14

The last trading day for single stock futures and options on single stock futures.

During the evening clearing session (6:45 -7:00 pm MSK), options on single stock futures are settled (if there is an exercise order, besides in-the-money options exceeding a limit which are settled automatically).
During the evening clearing session, single stock futures are settled through execution of trades on RTS Standard with settlement on September 21.

Additional evening session starts at 7:10 pm MSK.

September 15

The last trading day for options on the RTS Index futures and futures on RTS Indices (RTS Index, RTS Standard Index, Sectoral Indices). Over the period from 3:00 pm to 4:00 pm MSK settlement prices of futures contracts on the RTS Indices are calculated (on the basis of the average value of the relevant index for the above-noted period).

During the evening clearing session options on the RTS Index futures are settled (in-the-money options are settled automatically).
During the evening clearing session futures contracts on indices are settled.

Additional evening session starts at 7:10 pm MSK.

September 21

At 5:00 pm, MSK delivery for trades executed on RTS Standard on September 14 in order to settle single stock futures takes place.

Single stock futures will be settled through execution of trades with settlement on T+5 (after the clearing session the new trading day begins, and the trade’s settlement day is automatically changed to Т+4) at the futures’ settlement price. Trading in those instruments with settlement on T+4 will take place on the RTS Standard market anonymously, which will give the opportunity to manage trading positions gained after the single stock futures have been settled during the trading day on September 15.

As a result, market participants obtaining shares after the futures settlement will have an opportunity to influence the settlement prices of RTS Indices futures, due to the fact that prices of shares traded on the RTS Standard market are included in the RTS Index, RTS Standard Index and sectoral indices.