According to the launch of DJIA (Dow Jones Industrial Average) Futures on May 28, 2012, OSE announces SPAN parameters for DJIA Combined Commodity as follows.
The following parameters will be applied from May 28, 2012 to June 1, 2012.
Please be advised that SPAN Parameter is subject to change during the above period upon market conditions.
Combined Commodity | Price Scan Range (yen) | Intra-Commodity Spread Charge per Net Delta (yen) |
---|---|---|
DJIA | 45,100 | 4,600 |
Inter-Commodity Spread Credit | Spread Credit Rate (%) | Delta per Spread Ratio |
---|---|---|
DJIA Combined Commodity/ Nikkei 225 Combined Commodity |
74.44 | DJIA Combined Commodity : Nikkei 225 Combined Commodity = 7.23 : 1 |
DJIA Combined Commodity/ Nikkei 300 Combined Commodity |
64.77 | DJIA Combined Commodity : Nikkei 300 Combined Commodity = 1.25 : 1 |
DJIA Combined Commodity/ RN Prime Combined Commodity |
64.05 | DJIA Combined Commodity : RN Prime Combined Commodity = 4.68 : 1 |