Update : Nov. 17, 2011
Strategy trading will become available for futures contracts. With this change, inter-month spread trading will come under strategy trading (for inter-month spread trading prices, please refer to the table below).
All combinations of listed contract months of the respective products are available for inter-month spread trading.
|Product||Transaction Effected by Strategy Buy Order||Strategy Price|
|JGB Futures||Buy 1 unit of a nearer contract month and sell 1 unit of a farther contract month||
Price of the nearer contact month
- Price of the farther contract month
||Sell 1 unit of a nearer contract month and buy 1 unit of a farther contract month||
Price of the farther contract month
- Price of the nearer contract month
Strategy trading of options allows market users to combine transactions in multiple options and execute them simultaneously.
30 types of strategy trading offer market users an abundant choice of combinations which can be used in accordance with a variety of investment strategies.
For a list of available types of strategy trading, please refer to the file below.
|Types of Strategy Trading|
The implied function in options trading is very useful (currently not available for futures trading). This function increases the probability of order execution by utilizing the liquidity of both individual contracts and strategy trading issues. There are two types of implied functions: implied-in and implied-out.
Implied-in: A function that generates a specific strategy bid/offer from multiple bids/offers in individual issues
Implied-out: A function that, when triggered by a bid/offer in an individual issue, generates bids/offers in other individual issues from a strategy bid/offer
|Type of Strategy Trading||Implied-in||Implied-out|
|Call (or Put) Spread||Available||Available|
|Call (or Put) Calendar Spread||Available||Available|
|Call (or Put) Diagonal Calendar Spread||Available||Available|
|Call (or Put) Butterfly||Available||Not available|
|Call (or Put) Ladder||Available||Not available|
|2x1 Ratio Call (or Put) Spread||Available||Not available|
Delta neutral trading is a type of strategy trading which combines transactions in an option and its underlying asset.
When a delta neutral trade is executed, a transaction in the underlying asset is executed according to the pre-designated ratio (delta) with respect to the number of options contracts effected through strategy trading. This characteristic allows users to easily conduct hedge transactions or execute complex investment strategies.
For a list of available types of delta neutral trading, please refer to the files below.
|Types of Delta Neutral Strategy|
|Delta Neutral Strategy|
Select the issues. The example below illustrates a delta neutral trade which combines transactions in options on JGB futures and JGB futures.
A bid and offer for 50 contracts are placed at 0.03.
Full execution occurs. For the number of contracts executed for each issue, please refer to the tables below.
|Options on JGB Futures||TOPIX Options||Individual Securities Options|
|Underlying Asset||JGB futures
(excluding mini JGB futures)
(excluding mini TOPIX futures)
|Delta||Available values: 0.01-1.00 (1%-100%)
(The number of contracts to be executed are determined according to the delta value designated here.
E.g., When 100 contracts of delta neutral trading with delta value designated as 0.50 (50%) are executed:
50 units of the underlying asset (x trading unit) is executed.)
|Execution will be conducted at the underlying asset price designated when the order book was generated.
However, if the underlying asset price designated when the order book was generated greatly deviates from the actual price of the underlying asset at the time of order placement, the order will not be accepted.
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