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TFX will add Packs and Bundles functions as trading strategies of Three-month Euroyen futures. While TFX currently offers a fee discount program for synthetic Packs and Bundles transactions executed via block trade facility (off-exchange), it will introduce another fee discount program Packs and Bundles executed on-exchange.
1.Contract Specification
(1) Outline
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Packs |
Bundles |
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Strategy purchase |
Execute one contract for simultaneously buying a series of four consecutive quarterly months in the same volume. The nearest contract month of each transaction shall be either the 5th, 9th, 13th or 17th contract month. |
Execute one contract for simultaneously buying four, eight, twelve, or sixteen consecutive contract months. |
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Strategy sale |
Execute one contract for simultaneously selling a series of four consecutive quarterly months in the same volume. The nearest contract month of each execution shall be either the 5th, 9th, 13th or 17th contract month. |
Execute one contract for simultaneously selling four, eight, twelve, sixteen consecutive contract months. |
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How to calculate strategy price |
A quoted price shall be an average change in the value of each contract month since the prior day’s settlement price. |
A quoted price shall be average change in the value of each contract month since the prior day’s settlement price. |
Note: A “quarterly month” means a contract month for which its final settlement date falls in any of March, June, September and December.
(2) Contract Series（Preliminary）
2.Launch Schedule（Preliminary）
End of November 2017
* For the current fee discount program, please see TFX news release on March 13, 2017 “Extension of Discount Program in Three-month Euroyen Futures”
(https://www.tfx.co.jp/en/newsfile/17/20170313_01info_e.html)
