OSE will launch procedures for setting SPAN parameters for Nikkei Stock Average Volatility Index (Nikkei 225 VI) Futures to be launched on February 27, 2012 and for OSE Dow Jones Industrial Average (DJIA) Futures to be launched at a later date and revise procedures for setting SPAN parameters for existing commodities as follows.
1. SPAN Parameters for Nikkei 225 VI Combined Commodity
- (1) Price Scan Range
25% of the closing price of Nikkei 225 VI on the last business day of each week multiplied by 10,000 - (2) Intra-Commodity Spread Charge per Net Delta
40% of Price Scan Range
2. SPAN Parameters for DJIA Combined Commodity
- (1) Price Scan Range
The amount calculated by using the volatility index designated by OSE - (2) Intra-Commodity Spread Charge per Net Delta
The amount calculated by the existing method using the following values:- The fluctuation value between the day's and the previous business day's settlement price of the nearest contract month of OSE DJIA Futures for the past 24 weeks
- The fluctuation value between the day's and the previous business day's settlement price of the second nearest contract month of OSE DJIA Futures for the past 24 weeks
- (3) Delta per Spread Ratio (between DJIA Combined Commodity and Other Stock Index Combined Commodity)
The ratio calculated by the sum total of settlement prices of the nearest contract month of DJIA futures divided by the sum total of ones of the other commodity’s futures for the past 24 weeks - (4) Spread Credit Rate (between DJIA Combined Commodity and other stock index Combined Commodity)
The rate calculated by the existing method using settlement prices of each commodity's futures
- (*) OSE will determine suitable parameters for 24 weeks after the trading of OSE DJIA Futures starts.
3. Interim Update of SPAN Parameters for Newly-Listed Futures
The interim update of SPAN Parameters will be triggered if the following condition is fulfilled. In this case, OSE will apply new parameters based upon the latest value if each calculation result exceeds the value already scheduled to be applied.
- (1) Nikkei 225 VI Combined Commodity
The absolute value of the fluctuation between the day's and the previous business day's Nikkei 225 VI closing value becomes equal to or exceeds twice the day's Price Scan Range for Nikkei 225 VI Combined Commodity divided by 10,000 - (2) DJIA Combined Commodity
The absolute value of the fluctuation between the day's and the previous OSE’s business day's DJIA latest closing value becomes equal to or exceeds twice the day's Price Scan Range for DJIA Combined Commodity divided by 100
4. Revisions of Procedures for Setting Existing SPAN Parameters
- (1) Delta per Spread Ratio
The sum total of settlement prices of the nearest contract month of one commodity’s futures divided by the sum total of ones of the other commodity’s futures for the past 24 weeks (The underlying closing values are used if no futures are listed in one Combined Commodity.) - (2) Spread Credit Rate
The rate calculated by the existing method using settlement prices of each commodity’s futures for the past 24 weeks (The underlying closing values are used if no futures are listed in one Combined Commodity.)
5. Date of Applying the Above Procedures
- (1) SPAN Parameters for Nikkei 225 VI Combined Commodity
From the launch date of Nikkei 225 VI Futures (Monday, February 27, 2012) (scheduled to be announced on Monday, February 20, 2012) - (2) SPAN Parameters for DJIA Combined Commodity
OSE will separately announce the date when determined. - (3) Interim Update of SPAN Parameters for Newly-Listed Futures
February 27, 2012 - (4) Revisions of Procedures for Setting Existing SPAN Parameters
From the weekly update on Monday, February 27, 2012 (scheduled to be announced on Monday, February 20, 2012)
6. SPAN Parameters for Nikkei 225 VI Combined Commodity (trial calculation result)
The following are reference values of SPAN Parameters calculated based on the prices as of Friday, January 27, 2012.
| SPAN Parameters | Reference Values |
|---|---|
| Price Scan Range | 50,000 yen |
| Intra-Commodity Spread Charge per Net Delta | 20,000 yen |
Please note that the first real parameters calculated by using the new procedures will be published on Monday, February 20, 2012.
