The Thailand Futures Exchange PCL (TFEX), under The Stock Exchange of Thailand (SET) group, has revised its calculation method of final settlement price for Stock Futures by using weighted average prices, instead of average prices, in order to reflect prices of the underlying stocks more efficiently.
The revised final settlement price will be calculated from the volume weighted average of the underlying share, rather than the average price, during the last 15 minutes of trading and the closing price of each stock, said TFEX Managing Director Kesara Manchusree.
The new calculation method is able to reflect the market condition and share prices of the underlying stocks more reliably and also helps investors using Stock Futures as a hedging tool to manage risks more efficiently. The new method will start with the Stock Futures maturing in December 2012 (Z12), or expiring on December 27, Kesara added.
Currently, there are 30 Stock Futures available to trade on TFEX, and the exchange expects to increase the number of underlying stocks to cover constituents on SET100 Index in order to boost tools for managing portfolios to meet investor demand. In the first 10 months of this year, Stock Futures have had a total trading volume of 1,635, 375 contracts, or an average of 7,977 contracts per day. The most actively traded Stock Futures are for KTB, BTS, TRUE, TMB, and IRPC, respectively.