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ASX Index Futures contract specifications

 

ASX SPI 200™ Index Futures

ASX SPI 200™ Index Futures 
Contract unit Valued at A$25 per index point (e.g. A$150,000 at 6,000 index points)
Contract months March / June / September / December up to six quarter months ahead and the nearest two non-quarterly expiry months.
Commodity code AP
Listing date 02/05/2000
Minimum price movement One index point (A$25)
Last trading day All trading in expiring contracts ceases at 12.00pm on the third Thursday of the settlement month. Non-expiring contracts will continue to trade as per the stated trading hours.1
Cash settlement price The Special Opening Quotation of the underlying S&P/ASX 200 Index on the Last Trading Day. The Special Opening Quotation is calculated using the first traded price of each component stock in the S&P/ASX 200 Index on the Last Trading Day, irrespective of when those stocks first trade in the ASX trading day. This means that the first traded price of each component stock may occur at any time between ASX market open and ASX market close (including the Closing Single Price Auction) on the Last Trading Day.

Should any component stock not have traded by ASX market close on the Last Trading Day, the last traded price of that stock will be used to calculate the Special Opening Quotation.
Trading hours 5.10pm - 7.00am and 9.50am - 4.30pm1 (For period from second Sunday in March to first Sunday in November)
5.10pm - 8.00am and 9.50am - 4.30pm1 (For period from first Sunday in November to second Sunday in March)
Settlement day The first business day after expiry, ASX Clear (Futures) publishes the final settlement price of the contract. On the second business day after expiry, ASX Clear (Futures) settles cash flows as a result of the settlement price.
Position limit None
Daily price limit None
CFTC approved Yes

1. Unless otherwise indicated, all times are Sydney times.

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S&P/ASX 200 VIX Futures

S&P/ASX 200 VIX Index Futures
Contract unit Valued at A$1,000 per index point (e.g. A$20,000 at 20 index points)
Contract months Next two calendar months.
Commodity code VI
Minimum price movement 0.05 index points (A$50)
Last trading day Trading to cease in the expiring contract at 12:00pm on the Tuesday 30 days prior to the third Thursday of the following calendar month. For example, the February VIX will expire 30 days prior to the third Thursday in March. The non-expiring contract will continue to trade as per the stated trading hours.1
Cash settlement price The final settlement price will be the average value of the S&P/ASX 200 VIX between 11:30am and 12:00pm on the last trading day. The cash settlement price will be calculated to 2 decimal places (0.01 points or A$10).1
Trading hours 10:10am to 4:15pm Sydney time
Settlement day

Settlement Day is the business day after the last trading day.

S&P / ASX 200 VIX futures are cash settled on the business day after the settlement day.

Position limit None
Daily price limit None
CFTC approved No

 1. Unless otherwise indicated, all times are Sydney times.

 

S&P/ASX Sector Futures

Sector Futures: S&P/ASX 200 Resources Index Futures & S&P/ASX 200 Financials-x-A-REIT Index Futures
Contract unit Valued at A$25 per index point (e.g. A$100,000 at 4,000 index points)
Contract months March / June / September / December up to four quarter months ahead.
Commodity codes

S&P/ASX 200 Resources Index Futures = AR

S&P/ASX 200 Financials-x-A-REIT Futures = AF

Minimum price movement One index point (A$25)
Last trading day All trading in expiring contracts ceases at 12.00pm on the third Thursday of the settlement month. Non-expiring contracts will continue to trade as per the stated trading hours.1
Cash settlement price

The Special Opening Quotation of the respective underlying index on the Last Trading Day. The Special Opening Quotation is calculated using the first traded price of each component stock in the respective index on the Last Trading Day, irrespective of when    those stocks first trade in the ASX trading day. This means that the first traded price of each component stock may occur at any time between ASX market open and ASX market close (including the Closing Single Price Auction) on the Last Trading Day.

Should any component stock not have traded by ASX market close on the Last Trading Day, the last traded price of that stock will be used to calculate the Special Opening Quotation.

Trading hours 9.50am - 4.30pm1
Settlement day The first business day after expiry, ASX Clear (Futures) publishes the final settlement price of the contract. On the second business day after expiry, ASX Clear (Futures) settles cash flows as a result of the settlement price.
Position limit None
Daily price limit None
CFTC approved No

 

S&P/ASX 200 A-REIT Index Futures (XPJ)

S&P/ASX 200 A-REIT Index Futures 
Underlying index S&P/ASX 200 A-REIT Index (XPJ)
Contract code The futures contract code is a five character code. The first three letters are the ASX code of the underlying index, XPJ. The fourth character is a number designating the year of maturity and the fifth character represents the maturity month.
Contract multiplier Valued at AUD $10 per index point.
Quotation / Tick size Prices quoted as the number of points, with a minimum price movement of 1 index point = AUD $10.
Contract months March, June, September, December up to four quarter months ahead
Expiry day The third Thursday of the contract month, unless otherwise specified by ASX.
Last trading day Trading will cease at 12 noon on expiry Thursday.
Trading hours 9.50am to 5.00pm and 5.30pm to 7.00pm (Sydney time)
Cash settlement Cash settlement is based on the opening prices of the stocks in the Underlying Index on expiry morning. An index calculation (the Opening Price Index Calculation (OPIC)) is made using these opening prices. This means trading will continue after the settlement price has been determined.
Settlement method The cash settlement amount is calculated by the calculation agent (Standard & Poors) and forwarded to ACH. The settlement amount is then paid or received net of margins on the next business day.
Initial margin Initial margins for both buyers and sellers are determined by ACH according to the volatility of the underlying index and are reviewed regularly. Please refer to Futures initial margins for details.
Daily variation margin Futures positions for both buyers and sellers are settled to market each day and subject to variation margins. An intra-day margin call may also be made by ACH.
Margin cover Settlement to market margin obligations must be settled daily by the payment of cash. Initial margins can be cash or collateral covered. List of eligible collateral.

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S&P/ASX 200 and S&P/ASX 50 Index Futures (XJO and XFL)

S&P/ASX 200 and S&P/ASX 50 Index Futures
Underlying index Contracts are over the S&P/ASX 200 Index (XJO) and the S&P/ASX 50 Index (XFL)
Contract code The futures contract code is a five character code. The first three letters are the ASX code of the underlying index. The fourth character is a number designating the year of maturity and the fifth character represents the maturity month.
Contract multiplier Valued at AUD $10 per index point.
Quotation / Tick size Prices quoted as the number of points, with a minimum price movement of 1 index point = AUD $10.
Contract months S&P/ASX 200 Index Futures - March, June, September and December up to six quarter months ahead with serial contracts up to two non-financial quarter months ahead.
S&P/ASX 50 Index Futures - March, June, September and December up to four quarter months ahead.
Expiry day The third Thursday of the contract month, unless otherwise specified by ASX.
Last trading day Trading will cease at 12 noon on expiry Thursday.
Trading hours 9.50am to 5.00pm and 5.30pm to 7.00pm (Sydney time)
Cash settlement Cash settlement is based on the opening prices of the stocks in the Underlying Index on expiry morning. An index calculation (the Opening Price Index Calculation (OPIC)) is made using these opening prices. This means trading will continue after the settlement price has been determined.
Settlement method The cash settlement amount is calculated by the calculation agent (Standard & Poors) and forwarded to ACH. The settlement amount is then paid or received net of margins on the next business day.
Initial margin Initial margins for both buyers and sellers are determined by ACH according to the volatility of the underlying index and are reviewed regularly. Please refer to Futures initial margins for details.
Daily variation margin Futures positions for both buyers and sellers are settled to market each day and subject to variation margins. An intra-day margin call may also be made by ACH.
Margin cover Settlement to market margin obligations must be settled daily by the payment of cash. Initial margins can be cash or collateral covered. List of eligible collateral.

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