Derivatives

Function to Prevent Erroneous Order Placement

Update : Nov. 15, 2011

1. Introduction of Function to Prevent Erroneous Order Placement

Purpose of Dynamic Price Limit (Function to Prevent Erroneous Order Placement)

The dynamic price limit ("DPL") is meant to prevent (1) sharp price fluctuation and (2) the immediate execution of erroneous orders through the non-acceptance of orders which deviate greatly from the latest execution price.

With the implementation of the DPL, a buy order (or sell order) that is placed at a price significantly higher (or lower) price than the current price will not be executed. This allows us to prevent immediate execution of erroneous orders which are placed at inappropriate prices.

Image of DPL

(1) Dynamic Price Limit ("DPL")

(2) DPL Changes

In the case of an order which was initially accepted, even if it subsequently falls outside the price range where orders are not allowed to be placed (i.e., outside the DPL) due to changes in the DPL, such order will not be automatically canceled.

2. Dynamic Price Limit for Futures Trading

Reference Price of DPL for Futures Trading

	Central Contract Month
Pre-Open, Closing Auction	Latest reference price *The settlement price of the previous day is used during the pre-opening period of the morning session.
Open	Price based on the latest execution price, the best offer price and the best bid price.

	Inter-month Spread Trading	Other Contract Months
Pre-Open, Open, Closing Auction	Difference between the settlement prices of the central contract month and other contract months (*1)	Price obtained by adding or deducting the inter-month spread price from the reference price of the central contract month. (*2)

• (*1)In the case of a large deviation from the execution spread price, the price may be changed where necessary.
• (*2)Regardless of the execution price of the relevant contract month, this price changes in accordance with changes in the price of the central contract month.

DPL for Futures Trading

	JGB Futures	Stock Price Index Futures	Dividend Index Futures
Pre-Open	Reference price ±1 yen	Reference price ±75 points (*1)	Reference price ±50 yen (*2)
Open	Reference price ±0.20 yen	Reference price ±10 points (*1)	Reference price ±10 yen (*2)
Closing Auction	Reference price ±0.20 yen	Reference price ±10 points (*1)	Reference price ±10 yen (*2)

• (*1)The price range changes according to the price level. The above figures are indicated for a case where the price of the central contract is 750 points or more but 1,000 points or less.
  For other cases, please refer to the table below.
  
• (*2)Figures indicate the price range for Nikkei 225 Dividend Index Futures.
  (For TOPIX Dividend Index Futures and TOPIX Core30 Dividend Index Futures, the range shall be 5 points for Pre-Open, and 1 point for Open and Closing Auction.)
  

Details on DPL for Index Futures Trading

Reference price of Central Contract Month	DPL (Pre-Open)
Less than 750 points	50 points
750 points or more, but less than 1,000 points	75 points
1,000 points or more, but less than 1,250 points	100 points
1,250 points or more, but less than 1,750 points	150 points
1,750 points or more, but less than 2,250 points	200 points
2,250 points or more, but less than 2,750 points	250 points
2,750 points or more, but less than 3.250 points	300 points
3,250 points or more, but less than 3,750 points	350 points
3,750 points or more	400 points

Reference price of Central Contract Month	DPL （Open / Closing Auction）
Less than 1,250 points	10.0 points
1,250 points or more, but less than 1,750 points	15.0 points
1,750 points or more, but less than 2,250 points	20.0 points
2,250 points or more, but less than 2,750 points	25.0 points
2,750 points or more, but less than 3,250 points	30.0 points
3,250 points or more, but less than 3,750 points	35.0 points
3,750 points or more	40.0 points

3. Dynamic Price Limit for Options Trading

Reference Price of DPL for Options Trading

• The DPL is based on the theoretical price calculated by TSE.
• The theoretical price is calculated in real-time depending on the intraday price changes of the underlying asset.

DPL for Options Trading

	Options on JGB Futures	TOPIX Options
Basic Conditions of DPL	(1) Nearest contract month: ±20% of the theoretical price (2) Other contract months: ±30% of the theoretical price	(1) Nearest 4 contract months: ±20% of the theoretical price (2) Other contract months: ±30% of the theoretical price
Upper/Lower Limit of DPL	Upper: 0.90 yen if the calculated value exceeds 0.90 yen Lower: 0.20 yen if the calculated value is below 0.20 yen	Upper: 30 points if the calculated value exceeds 30 points Lower: 10 points if the calculated value is below 10 points

	Individual Securities Options
Basic Conditions of DPL	(1) Nearest 2 contract months: ±20% of the theoretical price (2) Other contract months: ±30% of the theoretical price
Upper/Lower Limit of DPL	When the calculated price range exceeds the upper limit or is less than the lower limit specified in the table according to the base price of the underlying asset below, the price range described in the table shall apply.

Base Price of Underlying Asset	Upper Limit	Lower Limit
Less than 500 yen	10 yen	20 yen
500 yen or more, but less than 1,000 yen	20 yen	40 yen
1,000 yen or more, but less than 3,000 yen	50 yen	100 yen
3,000 yen or more, but less than 5,000 yen	100 yen	200 yen
5,000 yen or more, but less than 10,000 yen	200 yen	400 yen
10,000 yen or more, but less than 30,000 yen	500 yen	1,000 yen
30,000 yen or more, but less than 50,000 yen	1,000 yen	2,000 yen
50,000 yen or more, but less than 100,000 yen	2,000 yen	4,000 yen
100,000 yen or more, but less than 300,000 yen	5,000 yen	10,000 yen
300,000 yen or more, but less than 500,000 yen	10,000 yen	20,000 yen
500,000 yen or more	20,000 yen	40,000 yen