As previously announced(*), OSE will change the trading methods in futures calendar spreads starting from the Day Session on Monday, November 26, 2012.
We ask that concerned personnel be notified about these matters as listed below.
1. Introduction of a call auctions
- Orders for calendar spreads can be placed during the opening auction in addition to during the regular session.
- In accordance to the above change, orders for the Day Session can be placed from 8 a.m. (4:15 p.m. for the Night Session) and a call auction will take place at 9 a.m. (4:30 p.m. for the Night Session).
- However, as for the closing auction (Day Session: 3:10 p.m. to 3:15 p.m. Night Session: 2:55 a.m. to 3 a.m.), orders cannot be placed as in the existing functionality.
2. Reduction of Tick Size
- The tick size for calendar spreads of Nikkei 225 Futures (large contracts) shall be reduced from 5 yen to 1 yen.
(Reference) Calendar Spread Tick Size
| From Nov. 26, 2012 | Present | |
|---|---|---|
| Nikkei 225 Futures (Large) | 1 yen | 5 yen |
| Nikkei 225 mini | 1 yen | Same as left |
| Nikkei 300 Futures | 0.1 points | Same as left |
| Russell/Nomura Prime Index Futures | 0.1 points | Same as left |
| Nikkei 225 VI Futures | 0.01 points | Same as left |
| OSE DJIA Futures | 1 point | Same as left |
- (*) Notice by Derivatives Business Development on June 27, 2012
