- New algorithm of determining the final settlement price of single-stock futures contracts
- Amendment of the standard specification of WIG20 options: narrower range of exercise prices on the first expiry date
- As of 19 March 2012, new futures contracts on the stock of Boryszew S.A. and Kulczyk Oil Ventures Inc.
On 16 March 2012, the final settlement price of all series of single-stock future contracts which expire on that day will be determined for the first time according to a new algorithm. According to the new rules, the final settlement price will be determined as the price of the last transaction in the underlying stock at the trading session on the day of expiry of the futures contracts. Prior to the modification, the final settlement price was determined as the turnover-weighted arithmetic mean of prices of all transactions in the underlying stock concluded in the trading systems at the trading session.
The standard specification of options on the WIG20 index will also be amended. The amendment concerns the exercise price and the first trading day. The amended standard is effective as of 19 March 2012. The amendment of the standard specification changes the differences between the exercise prices of different option series:
a) For option series with the nearest exercise date, the differences between the exercise prices decrease as presented in Table 1.
Table 1. Differences between the exercise prices of option series with the nearest expiry date.
Before the amendment |
|
After the amendment |
||
Exercise price |
Differences between exercise prices |
|
Exercise price |
Differences between exercise prices |
(index points) |
|
(index points) |
||
at least 1000 |
100 |
|
at least 1000 |
50 |
from 500 to 950 |
50 |
|
from 480 to 980 |
20 |
from 25 to 475 |
25 |
|
from 10 to 470 |
10 |
b) For option series with subsequent expiry dates, the differences between the exercise prices decrease only for exercise prices below 960 index points as presented in Table 2.
Table 2. Differences between the exercise prices of option series with subsequent expiry dates.
Before the amendment |
|
After the amendment |
||
Exercise price |
Differences between exercise prices |
|
Exercise price |
Differences between exercise prices |
(index points) |
|
(index points) |
||
at least 1000 |
100 |
|
at least 1000 |
100 |
from 500 to 950 |
50 |
|
from 480 to 960 |
40 |
from 25 to 475 |
25 |
|
from 20 to 460 |
20 |
At the same time, with respect to option series with the nearest expiry date, the rule of introducing subsequent option series to trading changes. Subsequent series will be introduced on such dates and with such exercise prices that at least the following are in trading at the same time: eight option series with exercise prices higher than the last closing value of the underlying instrument and eight option series with exercise prices lower than the last closing value of the underlying instrument.
For option series with subsequent expiry dates, the rule of introducing subsequent option series to trading does not change. These series are introduced on such dates and with such exercise prices that at least the following are in trading at the same time: four option series with exercise prices higher than the last closing value of the underlying instrument and four option series with exercise prices lower than the last closing value of the underlying instrument.
The amendment of the standard specification of options concerning the first trading day results from the amendment of the exercise price.
On 19 March 2012, futures contracts on the stock of the following companies will be introduced to trading:
- Boryszew S.A.
- Kulczyk Oil Ventures Inc.
According to the standard specification of the instrument, contracts which expire on three different dates will be introduced to trading. The expiry dates are 15 June 2012, 21 September 2012, and 21 December 2012. The number of shares per contract (multiplier) is 1,000 for each of these contracts.