The FTSE Russia IOB is comprised of the largest fifteen Russian Depository
Receipts (DRs) listed on the London Stock Exchange´s International Order Book and available
for trading on Turquoise´s cash market. The index provides a market-trusted track of the
Russian economy and close correlation with the Russian domestic index. Additionally it provides
the added benefits of clearing through LCH.Clearnet, simpler design for ease of hedging
(fifteen constituents as opposed to over fifty on the domestic index), availability to
international members through London and a significant and growing use amongst asset
managers and investment bank clients.
First two serial months and next four quarterly months of the "March, June, September and December" expiry cycle.
FTSE RIOB Index Futures
Contract Underlying
The FTSE Russia IOB Index (FTSE RIOB Index).
Type of Contract
Cash settled Futures Contracts with Daily Cash Settlement.
Central Counterparty
LCH.Clearnet.
Trading Hours
08:15 - 16:00 London time for Orderbook trading.
08:15 - 15:30 London time for Orderbook trading of Expiration Day.
07:30 - 17:30 London time for Trade Reporting.
Multiplier
USD 50 per Index point.
Currency
USD, United States Dollar, $.
Quotation display
Future Price in Index points.
Tick Size and Tick Value
Tick Size
Tick Value
0.25 points
USD 12.5
Settlement style
Cash Settlement on Expiration with Daily Cash Settlement throughout the lifetime of the Contract.
Listing Day
The Monday preceding the Expiration Day each month.
Where this is not a normal Trading Day, the preceding Trading Day shall be used.
Expiration Day
The third Friday in the Expiration Month.
Where this is not a normal Trading Day, the preceding Trading Day shall be used.
Contract lifetimes and Expiration Months
First two serial months and next four quarterly months of the "March, June, September and December" expiry cycle.
Daily Settlement Price
The official closing price of the FTSE RIOB Index on the London Stock Exchange IOB each day adjusted for Fair Value.
Daily Cash Settlement
One Bank Day after the Trade Day/ calculation of Daily Settlement Price for cash movements of Daily Settlement Amounts.
Expiration Settlement Price
The official closing price of the FTSE RIOB Index on the London Stock Exchange IOB on Expiration Day.
Expiration Settlement
One Bank Day after Expiration for payment of Expiration Settlement Amount.
Tailor-made FTSE Russia IOB Index Derivatives: Flexible Parameters
Such contracts are available in accordance with Part 5 of the Rulebook allowing Members to specify specific parameters
Members may specify;
Expiration Day (any Trading Day out to Five years)
Future Price (to two decimal places)
FTSE RIOB Index Options
Contract Underlying
The FTSE Russia IOB Index (FTSE RIOB Index).
Type of Contract
European Style, cash settled DR Call and Put Options Contracts.
Central Counterparty
LCH.Clearnet.
Trading Hours
08:15 - 15:30 London time for Orderbook trading.
07:30 - 17:30 London time for Trade Reporting.
Exercise Window
18:10 - 18:40 London time on Expiration Day.
Multiplier
USD 50 per Index point.
Currency
USD, United States Dollar, $.
Option Premium in Index points.
Tick Size and Tick Value
Premium
Tick Size
Tick Value
0.0 points - 0.10 points
0.01 points
USD 0.5
0.1 points - 3.95 points
0.05 points
USD 2.5
4.0 points - 9.90 points
0.10 points
USD 5.0
10 points+
0.25 points
USD 12.5
Settlement style
Cash Settlement.
Option style
European Style.
Listing Day
The Monday preceding the Expiration Day each month.
Where this is not a normal Trading Day, the preceding Trading Day shall be used.
Expiration Day
The third Friday in the Expiration Month.
Where this is not a normal Trading Day, the preceding Trading Day shall be used.
Contract lifetimes and Expiration Months
First two serial months and next four quarterly months of the "March, June, September and December" expiry cycle.
End of Day Price
Used for margining purposes, based on the volatility surface, itself dependent on; quotes
per series, Underlying spot price, applicable interest rate, dividend amount (if applicable),
ex-dividend date (if applicable), the second order interpolation and the arbitrage free surface.
Exercise Settlement Price
The official closing price of the FTSE RIOB as calculated by FTSE on Expiration Day following the closing auction on the IOB.
Exercise Settlement
One Bank Day after Expiration Day for payment of Exercise Settlement Amount.
Premium Settlement
One Bank Day after the Trade Day.
Tailor-made FTSE Russia IOB Index Derivatives: Flexible Parameters
Such contracts are available in accordance with Part 5 of the Rulebook allowing Members to specify specific parameters
Members may specify;
Expiration Day (any Trading Day out to Five years)
