The handling of rules concerning developing rules in connection with the derivatives market integration on March 24, 2014 (scheduled),etc. will be as follows.
1. Night session on the business day preceding the integration date
The night session (evening session at TSE) on March 20, 2014, which is a business day preceding the date of the derivatives market integration (hereinafter “integration date”), will not be held at TSE and will be held at OSE as usual.
2. Increments of bids/offers for individual securities options
Since the rules on increments of bids/offers for individual securities options will be based on the current TSE rules, they will be changed from the current OSE rules. Accordingly, make careful attention when placing bids/offers for individual securities options on the OSE markets.
3. Price limits for bids/offers
(1) Price limit range for securities index futures
The price limit range for futures and options based on a securities index is, in principle, revised on a quarterly basis. The price limit range applied from the integration date will be as set out in Schedule 1. Note that the range for RNP Index futures and Nikkei Average options described in Schedule 1 will be applied from the night session on the business day preceding the integration date.
(2) Base prices for price limits on bids/offers
The base prices for price limits on bids/offers on the integration date (20-year JGB futures will start trading on April 7, 2014.) will be as set out in Schedule 2.
(3) Temporary revisions of the price limit range
The price limit range for futures and options based on a securities index (excluding DJIA and CNX Nifty) will 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/offers is beyond 20% or below 12% for the two straight days or in other cases where OSE deems it necessary.
4. Central contract month as in rules for temporary trading suspension, etc.
The central contract month of futures contracts as in the rules on temporary trading suspension (circuit breaker rules) and the rules on price limits on bids/offers will be as set out in Schedule 3.
5. Reference price for Immediately Executable Price Range, etc.
The reference price for the Immediately Executable Price Range and Executable Price Range in closing auctions will be, in principle, as set out in Schedule 4.
6. Strategy trading
(1) Combination of contract months for calendar spread
Combination of contract months for calendar spread will be as set out in Schedule 5.
(2) Strategy trading with activated implied function
The type of strategy trading that will have implied function activated shall be strategy trading for options on JGB futures.
(3) Strategy price for options trading
The strategy price for options trading will be calculated by deducting the following (a) from the following (b). Refer to Schedule 6 for examples.
- (a) The value obtained by multiplying the price of each composite leg in which a sell trade is completed as a result of a strategy buy trade by the ratio (ratio, meaning the number of contracts units as a result of one unit of strategy sell trade or strategy buy trade ) of the leg
- (b) The value obtained by multiplying price of each composite leg in which a buy trade is completed as a result of a strategy buy trade by the ratio of the leg
7. J-NET trading
(1) Price limits for J-NET trading
Price limits for J-NET trading will be as set out in Schedule 7.
(2) Discontinuation of VWAP trading
J-NET trading at the volume weighted average price (VWAP) or the price calculated by deducting/adding a handling fee predetermined with a customer from/to the VWAP will be discontinued from the integration date.
8. Order size limits
As one of the measures to enhance market administration against erroneous orders, OSE does not accept an order with its size exceeding the units prescribed by OSE. Order size limits on and after the integration date will be as set out in Schedule 8.
9. Handling of reports concerning transactions
Trading participants will be allowed to send their customers the reports concerning futures and options transactions* for the month March 2014 as all transactions made on the OSE markets, even for transactions made on the TSE markets prior to the integration date.
(*) They mean the reports stipulated in Rule 55 of the Business Regulations (Special Regulations in TSE).
Please refer to the following file for the Schedules.
