TAIFEX GreTai Securities Market Stock Index Futures

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TAIFEX GreTai Securities Market Stock Index futures trade on the Taiwan Futures Exchange (TAIFEX). The underlying index, GreTai Securities Market Stock Index, is the index consisting of 529 stocks[1] traded on the GreTai Securities Market, an OTC securities market in Taiwan, established in 1994[2].

Over the first 60 trading days in 2007, TAIFEX GreTai Securities Market Stock Index futures and options traded 21,231 and 187,967 contracts, respectively[3].



TAIFEX GreTai Securities Market Stock Index futures
Exchange Taiwan Futures Exchange
Settlement Cash settled
Contract Size NT$4,000 x futures contract price.
Pricing Unit One index point (NT$4,000)
Tick Value 0.05 index points (NT$200)
Contract Months Spot month, the next calendar month, and the next three quarterly months.
Last Trading Day The third Wednesday of the delivery month.
Note: This contract is electronic ONLY -- no open outcry
  No Open Outcry Electronic
Trading Hours N/A 08:45AM-1:45PM Taiwan time Monday through Friday of the regular business days of the GreTai Securities Market.
Ticker Symbol N/A GTF
Price Limits N/A +/- 7% of previous day's settlement price.
 
TAIFEX GreTai Securities Market Stock Index options
Trade Unit One futures contract
Point Value NT$1000 per index point
Tick Value < 0.5points: 0.005 points (NT$5)

>=0.5 points,<2.5points: 0.025 points (NT$ 25)

>=2.5 points, <25 points: 0.05 points (NT$ 50)

>=25 points, <50 points: 0.25 points (NT$ 250)

>=50 points: 0.5 points (NT$ 500)

Option Months Spot month, the next two calendar months, and the next two quarterly months
Strike Prices
  • Strike price below 150 points: 2.5 index points in spot month and the next two calendar months, 5 index points in the two quarterly months.
  • Strike price between 150 points and 400 points: 5 index points in spot month and the next two calendar months, 10 index points in the two quarterly months.
  • Strike price between 400 points and 600 points: 10 index points in spot month and the next two calendar months, 20 index points in the two quarterly months.
  • Strike price above 600 points: 20 index points in spot month and the next two calendar months, 40 index points in the two quarterly months.
Exercise Style European
  No Open Outcry Electronic
Trading Hours N/A 8:45am-1:45pm on regular business days of the GreTai Securities Market
Ticker Symbol N/A GTO
Price Limits N/A +/- 7% of previous day's closing price of the underlying index

Notes

Resources

Taiwan Futures Exchange Products

References

  1. GTSM Constituent Stocks. GreTai Securities Market.
  2. History. GreTai Securities Market.
  3. Highlights of Annual Trading Volume. Taiwan Futures Exchange.