TSE 10-year JGB futures
From MarketsWiki
TSE 10-year JGB futures and futures options trade on the Tokyo Stock Exchange (TSE). They have been trading since October 19, 1985 and May 11, 1990, respectively.
Officially, there are still two Japanese government bond (JGB) futures contracts, TSE 5-year JGB futures and TSE 10-year JGB futures, listed on the Tokyo Stock Exchange, but TSE 5-year JGB futures contract has not been traded since 2002[1] and today the term TSE JGB futures contract customarily refers to TSE 10-year JGB futures.
Each TSE 10-year JGB futures contract represents 100 million yen face value of standardized 6%, 10-year JGB, and deliverable grade bonds are defined as Interest-bearing 10-year JGBs with 7 years or more but less than 11 years[2].
Each TSE 10-year JGB futures contract is subject to a trading fee of 100 yen per contract (87.5 yen for exercise of JGB futures options and 15 yen for physical delivery) as well as a JSCC clearing fee of 50 yen (50 yen for exercise of JGB futures options and 135 yen for physical delivery), whereas each TSE 10-year JGB futures options contract is subject to a trading fee equivalent to trading value times 0.000075 per contract as well as a JSCC clearing fee of equivalent to trading value times 0.00005 (12.5yen for exercise) [3].
In 2007, TSE 10-year JGB futures traded 1,354,523 contracts (+12.4 percent YOY) and TSE 10-year JGB futures options traded 11,239 (-14.7 percent YOY).
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| TSE 10-year JGB futures | ||
|---|---|---|
| Exchange | Tokyo Stock Exchange | |
| Settlement | Physically delivered | |
| Trade Unit | 100 million yen face value | |
| Point Value | 10,000 yen per contract | |
| Tick Value | 10,000 yen per contract | |
| Contract Months | March, June, September, December cycle (three contract months traded at any one time) | |
| Last Trading Day | 7th business day prior to each delivery date. The trading day in a new contract month begins on the next business day following the last trading day | |
| Note: This contract is electronic ONLY -- no open outcry | ||
| No Open Outcry | No Electronic Market | |
| Trading Hours | N/A | 9:00 - 11:00 am, 12:30 - 3:00 pm, 3:30 - 6:00 pm |
| Ticker Symbol | N/A | N/A |
| Price Limits | N/A | ± 3 points (3 million yen per contract) |
| TSE 10-year JGB options | ||
| Trade Unit | One futures contract | |
| Point Value | 10,000 yen per contract (1/100 point per 100 points) | |
| Tick Value | 10,000 yen per contract (1/100 point per 100 points) | |
| Option Months | Two closest of March, June, September and December (quarterly months) plus one or two serial months (non-quarterly months) | |
| Strike Prices | Quarterly Months:11 strike prices at 1 yen intervals are set on the first trading day.
Strike prices are added on the 1st of the month prior to the last trading month so that 19 or more consecutive strike prices at 0.5 yen intervals are available. Additional strike prices are available according to the underlying JGB Futures' price movement.
| |
| Exercise Style | American type option | |
| Option Expiration Day | The buyer of option may exercise the option at any time from first trading day to last trading day, which is the last business day of the month prior to the option contract month (half-business days are excluded). All in-the-money options at the end of expiration date will be automatically exercised, unless otherwise instructed. | |
| No Open Outcry | Electronic | |
| Trading Hours | N/A | 9:00 - 11:00 am, 12:30 - 3:00 pm, 3:30 - 6:00 pm |
| Ticker Symbol | N/A | N/A |
| Price Limits | N/A | ± 3 points (3 million yen per contract) |
Notes
Resources
Tokyo Stock Exchange JGB Futures Contract Specifications
Tokyo Stock Exchange Options on JGB Futures Contract Specifications
References
- ↑ Tokyo Stock Exchange Fact Book 2003. Tokyo Stock Exchange Group, Inc.. Retrieved on July 7, 2008.
- ↑ JGB Futures JGB Futures. Tokyo Stock Exchange Group, Inc.. Retrieved on July 8, 2008.
- ↑ Trading fees for Futures and Options. Tokyo Stock Exchange Group, Inc.. Retrieved on July 8, 2008.
