|
Foreign Exchange Derivatives |
|
|
| | | | What is the trading method for derivatives at TASE? |
| | - The derivatives market has only one continuous trading session. There are no auction sessions. For information regarding the derivatives market trading schedule >
- Price fluctuation is unlimited in the Derivatives market.
- The derivatives closing price is determined as the weighted average price of the last five transactions with a volume of at least 25 contracts.
| |
|
|
| | | | | | What is the trading schedule for the derivatives market? |
| |
|
| | | | | | How are option prices quoted and what is the minimum tick size? |
| | Option prices are quoted in NIS.
Orders are submitted in fixed increments as specified below:
Option Price (NIS) |
Price Increment (NIS) |
Up to 20 |
1 |
20+ and up to 100 |
2 |
100+ and up to 200 |
5 |
Over 200 |
10 |
| |
|
|
| | | | | | How are future prices quoted and what is the minimum tick size? |
| | Futures are quoted in NIS at intervals of 10 NIS. | |
|
|
| | | | | | What types of orders can be submitted for derivatives trading? |
| | In addition to the LMT order, there are two types of orders that can be submitted for immediate execution, which are suitable for derivatives trading:
• Fill Or Kill (FOK)
• Immediate or Cancel (IOC)
| |
|
|
| |
| | | | What is the life span of a monthly derivatives series? |
| | Dollar derivatives - a new series of derivatives for 3, 6 or 12 months is listed each month as follows: In the months of January, February, April, May, July, August, October and November, a new series of 3-month derivatives is listed. In March and September, a new series of 6-month derivatives is listed. In June and December a new series of 12-month derivatives is listed. New derivatives series start trading on the exercise date, In the event that this day is not a TASE trading day, the new derivatives will start trading on the following trading day.
Euro Derivatives - a new series of derivatives for 3 or 6 months is listed each month as follows: In the months of January, February, April, May, July, August, October and November, a new series of 3-month derivatives is listed. In March, June, September and December a new series of 6-month derivatives is listed. In June and December a new series of 6-month derivatives is listed.
New derivatives series start trading on the exercise date, In the event that this day is not a TASE trading day, the new derivatives will start trading on the following trading day. | |
|
|
| | | | | | What is the last trading day for monthly derivatives series? |
| | The last trading day for a monthly derivatives
series is the day in which the final settlement price is set.
In the event that this day is not a TASE
trading day, or in the event that the Bank of Israel does not publish
representative exchange rates that day, the last trading day moves backwards until
both conditions are met.
Example:
- The last Wednesday in August was August 31st, accordingly,
the last trading day for this month will be set to Tuesday, August 30th.
For information regarding the last trading days for weekly derivatives series > | |
|
|
| | | | | | On which day of the month is the final settlement price set? |
| | Final settlement prices for monthly FX derivatives are set on the Tuesday preceding the last Wednesday of the month.
In the event that this day is not a TASE trading day, or in the event that the Bank of Israel does not publish representative exchange rates that day, the final settlement day moves backwards until both conditions are met.
Example:
- The last Wednesday in August was August 31st, accordingly, the final settlement price was set to Tuesday, August 30th
| |
|
|
| | | | | | How is the final settlement price set? |
| |
|
| | | | | | What is the Underlying Asset Multiplier? |
| | The contract unit (multiplier) is used for determining the notional value of each contract. It is determined for each underlying asset and is consistent for futures and options. Same applies for monthlies and weeklies.
For a list of TASE's underlying multipliers > | |
|
|
| | | | | | What are the rules defining the setting of strike intervals for a new option series? |
| |
|
| | | | | | What are the rules defining the opening of additional strike prices for existing option series? |
| |
|
| | | | | | What are the open position limits? |
| |
The limit only applies to the three trading days preceding the expiration date and only to options and futures with the closest expiration date.
Examples:
- Two days prior to the next expiration date, an investor holds an open interest of 150,000 in a series pending expiration date - violation of the open position limits.
- Two days prior to the next expiration date, an investor holds an open interest of 100,000 in a series pending expiration and 50,000 open interest in a series scheduled to expire on the following expiration date – not a violation of the open position limits.
| |
|
|
| | | | | | What is the method of settling derivatives and when is the settlement date? |
| | TASE derivatives are cash-settled.
- Weekly derivatives are settled on Wednesdays.
- Monthly derivatives are settled on the last Wednesday of the month.
In the event that the settlement day is not a business day, settlement is postponed to the following business day.
| |
|
|
| | | | | | What is Mark to Market (MTM)? |
| | MTM (Mark to Market) is a method for calculating gains/losses in futures, commonly used by derivatives exchanges: gains/losses are assessed for trading parties at the end of each day.
Generally speaking, the amount credited/debited under MTM equals to the difference between the closing price of the future at the end of the trading day and the closing price of the future on the previous trading day.
- On the day a transaction is made, the MTM equals to the difference between the transaction price and the closing price of the contract on the transaction day.
- At expiry, the MTM equals to the difference between the settlement price multiplied by the contract multiplier and the closing price of the contract on the last trading day.
Example:
- Client A purchased 10 futures at the price of NIS 35,000 from client B. At the end of the day, the closing price of the future was NIS 36,000. Hence, client A was credited NIS (36,000-35,000) * 10 futures and client B was debited the same amount.
- On the next day, the closing price of the future decreased to NIS 34,000. This time, client A was debited NIS 20,000 while client B was credited NIS 20,000.
| |
|
|
| | | | | | Are TASE FX options European or American options? |
| | TASE FX options are European. | |
|
|
| |
| Weekly Derivatives Specifications |
| | | | What are weekly derivatives? |
| | Weekly derivatives are options or futures with a weekly expiry. Weekly options and futures on the Dollar exchange rate are traded on TASE. Except for their life span, the terms of weekly derivatives are similar to those of TASE’s monthly expiry derivatives. New series of weekly options are opened each Tuesday, other than on Tuesdays two weeks before the expiry date of monthly options. Usually, two weekly series will be traded each day.The same rules apply for the weekly futures. | |
|
|
| | | | | | What is the last trading day for a series of weekly derivatives? |
| | The last trading day for a series of weekly derivatives is Tuesday (excluding weeks in which monthly derivatives expire).
In the event that this day is not a TASE trading day, or in the event that the Bank of Israel does not publish representative exchange rates that day, the last trading day will move backwards until both conditions are met.
| |
|
|
| | | | | | How is the final settlement price set for weekly derivatives? |
| | The final settlement price is the last NIS/USD exchange rate published before the expiration date, on a TASE trading day in which the Bank of Israel publishes representative exchange rates; excluding the week in which monthly derivatives expire.
The price is in new Agorot (1/100 NIS).
| |
|
|
| | | | | | What is the difference between weekly and monthly derivatives? |
| | The differences are described in the comparison table: weekly vs. monthly derivatives
| |
|
|
| | |
|
|
|