Moscow Exchange Implements Additional Facilities
OREANDA-NEWS. September 3, 2012. From September 17, 2012 Moscow Exchange will increase twofold ticks and ticks" prices for the following Ѓ@derivatives on Russian indices (with settlement in December 2012 and later):
RTS Index futures contract
Futures-style option on the RTS Index futures contract
MICEX Index futures contract
Futures-style option on the MICEX Index futures contract
RTS Standard Index futures contract
Futures on RTS Consumer and Retail Index
Futures on RTS Oil and Gas Index
New parameters of the contracts will come into effect at the beginning of the evening trading session on September 17, 2012*.
In addition, in October 2012, upon the introduction of a new version of the FORTS trading system, the algorithm for calculating the variation margin for the following contracts quoted in point/US dollar will be corrected:
RTS Index futures contract
Futures-style option on the RTS Index futures contract
Futures on Russian Volatility Index
Futures on RTS Oil and Gas Index
Futures on RTS Consumer and Retail Index
Futures on IBOVESPA Index
Futures on SENSEX Index
Futures on Hang Seng Index
Futures on FTSE/JSE Top40 Index
Futures on EUR/USD exchange rate
Futures-style option on futures on EUR/USD exchange rate
Futures on GBP/USB exchange rate
Futures on AUD/USB exchange rate
Futures on Brent oil
Futures-style option on futures contract on Brent oil
Futures on Urals oil
Futures on gold
Futures-style option on futures on gold
Futures on silver
Futures-style option on futures on silver
Futures on platinum
Futures-style option on futures on platinum
Futures on palladium
In addition to the amendment of the algorithm for calculating the variation margin for the above-mentioned contracts, the time for calculating the USD/RUB exchange rate used to define tick prices and subsequently variation margin values, will also be changed as follows:
Ѓ@ |
Current timeЃ@ |
New time |
The USD/RUB exchange rate |
14:00:00 MSK |
13:45:00 MSK |
The USD/RUB exchange rate |
16:30:00 MSK |
18:30:00 MSK |
Thereby, the exchange rate will be calculated 15 minutes before the start of the clearing session.
Date of coming into force of the algorithm and new the USD/RUB exchange rate calculation time will be announced later.
The new version of the FORTS trading system implies an increase of the system"s productivity that will resulted in a considerable growth of the number of transactions and trades during a trading day.
The corrected algorithm for calculating the variation margin will allow elimination of a correlation between the duration of the evening clearing session and number of trades executed on the FORTS Derivatives market during the trading day.Ѓ@ New approach will bring an opportunity to calculate variation margin on positions closed during the trading day before the clearing session (after the USD/RUB exchange rate is fixed for calculation of the variation margin) and during the clearing session variation margin only on open positions will be calculated.
The above-mentioned steps were recommended by the Derivatives Market Committee. They are intended to boost liquidity of the derivatives market and enhance performance of the trading system.
* calendar day
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