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Equity Indices Derivatives - FAQ |
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| | | | What is the trading method for derivatives at TASE? |
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| | | | What is the life span of a monthly derivatives series? |
| | Three monthly derivatives series trade simultaneously.
A new derivatives series is opened each month for a period of three months. Hence, at any given point of time, three series are traded for the three upcoming months.
A new series is opened on the day on which the final settlement price is set. Monthly TA-35 index Futures series: In March, June, September and December, new series of 15-month futures will open. In the rest of the months, series of contracts will be opened for 3 months. Therefore, at each point in time, 7 monthly series will be traded - 3 series for each of the coming 3 months and 4 series for 6, 9, 12 and 15 months | |
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| | | | | | What is the last trading day for monthly derivatives series? |
| | The last trading day for a monthly derivatives series is the Wednesday preceding the last Friday of the month. In the event that this day is not a TASE trading day, the last trading day will be the first trading day preceding that Wednesday. Examples:
- The last Friday in May was May 25th. Accordingly, the settlement price was set on Thursday, May 24th, and the last trading day was Wednesday, May 23rd.
- The last Friday of April was April 27th. Since neither April 25th nor April 26th were trading days that year, the settlement price was set on Tuesday, April 24th and the last trading day was Monday, April 23rd.
For information regarding last trading days of weekly derivatives > | |
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| | | | | | On which day of the month is the final settlement price set? |
| | Final settlement prices for monthly derivatives are set on the Thursday preceding the last Friday of the month. In the event that this day is not a TASE trading day, the final settlement price will be set on the first trading day preceding that Thursday Examples:
- The last Friday in May was May 25th. Accordingly, the final settlement price was set on Thursday, May 24th (and the last trading day was Wednesday May 23rd).
- The last Friday of April was April 27th. Since neither April 25th nor April 26th were trading days that year, the final settlement price was set on Tuesday, April 24th (and the last trading day was April 23rd).
For information regarding the final settelemt price of weekly derivatives > | |
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| | | | | | How is the final settlement price set? |
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| | | | | | 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 > | |
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| | | | | | What are the rules defining the setting of strike intervals for a new option series? |
| | TASE sets strike prices for monthly options as follows:
- A Call and a Put equal to the index closing price.
- A variable number of strike prices are opened at intervals of 20% in either side of the index closing price.
- A call option with strike price equal to1 NIS, also called C(001).
The interval between strike prices is a function of the index level:
Strike price |
Interval between strike prices, in NIS |
Less than 150 |
5 |
150-1000 |
10 |
Over 1000 |
20 |
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| | | | | | What are the rules defining the opening of additional strike prices for existing option series? |
| | During the lifetime of an existing option series TASE opens strike prices as follows:
- When the difference in terms of absolute value between the index closing price and the highest or lowest strike price exceeds 20%, new strike prices are added on the following trading day. The interval between strike prices is a function of the index level:
Strike
price
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Interval between strike prices, in
NIS
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Less
than 150
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5
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150-1000
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10
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Over
1000
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20
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- In addition new strike prices are added to the two nearest monthly series. The interval between strike prices is a function of the index level:
Strike
price
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Interval between strike prices, in
NIS
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150-400
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5
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Over 400
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10
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For a detailed description of the rules regarding strike prices, in the Derivatives Profile > | |
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| | | | | | What are the open position limits? |
| | The open positions limit for each underlying asset can be found in the open position limits by underlying asset table. The limit applies to both derivative classes (options and futures) and to all expiration dates without differentiation.
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| | | | | | What is the method of settling derivatives and when is the settlement date? |
| | TASE derivatives are cash-settled.
- Weekly derivatives are settled on Fridays.
- Monthly derivatives are settled on the last Friday of the month.
In the event that the settlement day is not a business day, settlement is postponed to the following business day. | |
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| | | | | | What is 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 120,000 from client B.
At the end of the day, the closing price of the future was NIS 122,000. Hence, client A was credited NIS (122,000-120,000) * 10 futures and client B was debited the same amount.
- On the next day, the closing price of the future decreased to NIS 119,000. This time, client A was debited NIS 30,000 while client B was credited NIS 30,000.
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| | | | | | Are TASE index options European or American options? |
| | TASE index options are European. | |
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| Weekly Derivatives Specifications |
| | | | What are weekly derivatives? |
| | Weekly derivatives are options or futures with a weekly expiry. Weekly options and futures on the TA-35 Index 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 Thursday, other than on Thursdays 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. | |
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| | | | | | What is the last trading day for a series of weekly derivatives? |
| | The last trading day for a series of weekly derivatives is Wednesday (excluding weeks in which monthly derivatives expire).
If this day is not a TASE trading, day the last trading day will be set to the first trading day preceding that Wednesday. | |
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| | | | | | How is the final settlement price set for weekly derivatives? |
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| | | | | | What is the difference between weekly and monthly derivatives? |
| | The differences are described in the comparison table: weekly vs. monthly derivatives.
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