- Trading hours
- Minimum thresholds
- Trade execution
- Required information
- Trade approval process
- Trade publication
- Conditions of trading
- Existing trading rules
- ASX Trade24 market
All block trades to be executed within normal contract session hours for that product, plus an additional 10 minutes at the end of that ASX Trade24 session. The additional 10 minutes is a practical consideration to enable orders dependent upon a closing futures price to be transacted. For the night session block trade facility, block trades can only be executed between 5:10pm and 7:00am (7:30am during non-US Daylight Saving Time)
For most eligible futures and options contracts, block trades is available on all contract months. However, for some futures contracts, block trades will only be available for the “spot” contract and will not be permitted in a contract with five or less business days to expiry/delivery. As a result, upon five days to expiry, the “spot” contract will become the next expiry month, thereby facilitating continuous use of the facility.
Minimum thresholds are set for the BTF to:
- Protect the existing ASX Trade24 market by encouraging all but genuine “large” orders to be transacted in the central market and
- Define in advance which orders are considered of sufficient size to potentially qualify as a Block Trade.
Minimum thresholds are determined by ASX investigation plus consultation with participants and other market users as applicable to each contract. Minimum volume thresholds will be set on an individual contract basis and monitored with a view to maintaining a desirable balance between block trade business and that executed through ASX Trade24 for any given contract.
Participants may not aggregate separate orders to meet threshold requirements. However, participants may aggregate any orders individually greater than or equal to the minimum threshold for that contract. For example, if the minimum threshold is 300 lots, a buy order of 1200 lots may be satisfied on the sell side by four 300 lot orders.
A client (such as a fund manager) may place a block trade order with a participant that amalgamates volume from more than one account to achieve the applicable minimum volume threshold.
A participant to participant transaction (or a cross transaction for a single participant on behalf of a client(s)) must be submitted to the Exchange via the ASX Trade24 message facility immediately after the agreement of all details of the proposed block trade. For block trades executed during the day session, each participant to the transaction must register the block trade over ASX TradeAccept within 5 minutes of the text message, ensuring all relevant details are included. For night session block trades each participant to the transaction must notify the Exchange of the block trade via the ASX Trade24 message facility and via phone within 5 minutes after the block trade is agreed. Each participant to the transaction must register the block trade within ASX TradeAccept between 8.30am and 9.30am the following morning.
Participant(s) mnemonic (buyer and seller), contract, contract month(s)/year(s), price (of individual legs), number of lots (each leg), time of trade agreement and name of individual authorised by the participant(s) to submit block trades.
Upon registration of the trade, ASX staff will validate the following:
- whether the trade meets the minimum size threshold requirements for the prescribed contract(s);
- the trading rights of the participant(s);
- the price of the contract(s)
Subject to validation, the Exchange will disseminate block trade information from 9:30am on the following business morning for ASX SPI200 Index Futures block trades. Validated block trades will be published to the market via the ASX Trade24 message facility.
For the night session block trades, the Exchange will publish block trade information by no later that 12pm on the day of registration, via the ASX Trade24 message facility.
Information disseminated by the Exchange will be in the form of contract, expiry month(s)/year(s), price, volume, participant(s) and time of trade.
There are no explicit price limits attached to block trades. Block trades may legitimately occur at prices different to the ASX Trade24 market price for the relevant contract at the time of trade agreement. Volume-weighted-average-price (VWAP) trading is therefore permitted via the BTF.
The prohibitions under the ASIC/ASX 24 Market Integrity Rules relating to witholding of an order to cross (3.1.8) and disclosing information (3.1.7) will not apply to transactions executed to the Operating Rules for block trades.
ASX Trade24 Market
The BTF will not interact with the ASX Trade24 market. Block trades will not affect any open/high/low/close/volume information in the ASX Trade24 market nor will block trade prices be used for settlement purposes. However, block trade volumes will be included in all ASX 24 market data reporting.