Options on JGB Futures
Contract specifications
Update : Mar. 08, 2012
| Options on 10-year JGB Futures | Options on 5-year JGB Futures* | |
|---|---|---|
| Contracts | Call and Put Options on 10-year JGB Futures | Call and Put Options on 5-year JGB Futures |
| Trading Hours | Pre-Open (Order Submit) : 8:30 Morning Open: 8:45-11:00 Pre-Open (Order Submit) : 12:05 Afternoon Open: 12:30-15:00 Evening Pre-Open (Order Submit) : 15:25 Evening Open : 15:30-23:25 |
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| Contract Month | Two closest of March,
June, September and December (quarterly months) plus one or
two closest serial months (non-quarterly months) |
|
| Underlying JGB Futures Contract Month | Contract month for underlying shall be: March for January,February and March option contract months; June for April, May and June option contract months; September for July, August and September option contract months; and December for October, November and December option contract months. |
|
| Strike Price | 21strikes with ¥0.50 intervals. Additional strikes will be set in conjunction with the underlying fluctuation. | |
| Trading Unit | 1 option contract represents the right to buy or sell 10-year JGB futures of 100 million yen in face value | 1 option contract represents the right to buy or sell 5-year JGB futures of 100 million yen in face value |
| Minimum Tick Size | ¥0.01 per ¥100 in face value (¥10,000 per contract) | |
| Dynamic Price Limit Range(DPR) | Nearest contract month: 20% of the Base Theoretical Price Other contract months: 30% of the Base Theoretical Price Maximum and minimum: Max: When calculated value exceeds¥0.90, DPR=¥0.90 Min: When calculated value is below ¥0.20, DPR=¥0.20 Buy orders exceeding above maximum or Sell orders below above minimum is unaccepted. * Base Theoretical Price is calculated by TSE from the subjected underlying futures' latest execution price. |
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| Daily Price Limit | Base price ± (¥3 +DPR) *Base price is the Theoretical Price calculated from the subjected underlying futures' base price. |
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| First Trading Day | Quarterly Months: The first business day of the sixth prior month of the option contract month Non-quarterly Months: The first business day of the second prior month of the respective option contract month |
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| Last Trading Day | The last business day of the month prior to the option contract month | |
| Exercise Period | American type option (the buyer of option may exercise the option at any time from the first trading day to the last trading day.) All in-the-money options at the end of expiration date will be automatically exercised, unless otherwise instructed. |
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| Circuit Brake | When Circuit Brake is executed for the underlying futures contract. | |
| Payment or Receipt of Option Premium | The business day following the transaction day (T+1) | |
| Settlement Regarding Exercise | Futures transactions will be done by Closing(15:15) of Exercise day. | |
| ToSTNeT Trading | Available |
|
| Give-up | Available | |
| Position Transfer | Available | |
| Reporting of Large Positions | Applicable |
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| Trading Regulations | TSE will take following measures when there is an unusual trade or apprehension of such: 1) Alteration of Daily Price Limit 2) Advance of margin deposit date 3) Raise of margin deposit or limitation of securities deposit 4) Decrease of securities' credit for margin deposit 5) Limitation or prohibition of Equity Options trading 6) Limitation of open interest |
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| Cancellation Policy | The TSE may apply the rules for canceling executed transactions in futures/options only when it deems that the market will be significantly disrupted due to smooth performance of settlement of executed transactions pertaining to the erroneous order being extremely difficult and/or other reasons. | |
| Date of Market Establishment | May 11, 1990 | Nov. 20, 2000 |