| IOB DRs | Open | Close |
| Trading | 08:15 | 15:30 |
| Trade reporting | 07:30 | 17:30 |
All times shown are London times
Download Trading calendar: IOB derivatives 2011-2012
IOB DR derivative expiries
|
Front 3 months |
Out to 12 months |
| All IOB DRs |
First two non quarterly months |
First bi-annual Contracts of
"March and September" cycle |
|
|
Next two annual Contracts of
"June and December" cycle |
|
IOB DR Futures
|
|
Contract Underlying
|
Depositary Receipts (DRs) on International Companies listed on the London Stock Exchange´s (LSE) International
Order Book (IOB) and listed in the
|
|
Type of Contract
|
Physically settled Futures Contracts with Daily Cash Settlement.
|
|
Central Counterparty
|
LCH.Clearnet.
|
|
Trading Hours
|
08:15 - 15:30 London time for Orderbook trading.
07:30 - 17:30 London time for Trade Reporting.
|
|
Multiplier
|
100 DRs.
This may change in specific cases in accordance with the Recalculation Rules.
|
|
Currency
|
USD, United States Dollar, $.
|
|
Quotation display
|
Future Price in USD.
|
|
Tick Size and Tick Value
|
Tick Size Tick Value
USD 0.10 USD 10
|
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Settlement style
|
Physical Settlement by Delivery of the Underlying DR on Expiration with Daily Cash Settlement throughout the lifetime of the Contract.
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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
|
Out to a maximum of 12 months:
First bi-annual Contract of "March, September" cycle;
Next two annual Contracts in the "June, December" cycle.
|
|
Daily Settlement Price
|
The official closing price of the Underlying DR on the London Stock Exchange IOB on each day adjusted for Fair Value.
|
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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 Underlying DR on the London Stock Exchange IOB on Expiration Day. Turquoise
shall take this value and round up to the nearest two decimal places to establish the Expiration Settlement Price.
|
|
Expiration Settlement
|
Three Trading Days after Expiration for Physical Delivery of DRs against payment of Expiration Settlement Amount.
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Tailor-made IOB DR Future Contracts: Flexible Parameters
|
|
|
Such contracts are available in accordance with the Turquoise Rulebook Rule 6.14 Allowing Members to specify specific parameters.
|
|
Members may specify;
|
|
Expiration Day (any Trading Day out to Five years)
|
|
Future Price (to four decimal places)
|
|
IOB DR Options
|
|
Contract Underlying
|
Depositary Receipts (DRs) on International Companies listed on the London Stock Exchange (LSE) International
Order Book (IOB) and listed in the
|
|
Type of Contract
|
European Style, physically settled DR Call and Put Option 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
|
100 DRs.
This may change in specific cases in accordance with the Recalculation Rules.
|
|
Currency
|
USD, United States Dollar, $.
|
|
Quotation display
|
Option Premium in USD.
|
|
Tick Size and Tick Value
|
| Premium | Tick Size | Tick Value |
| USD 0.01 - USD 0.25 | USD 0.01 | USD 1 |
| USD 0.25 - USD 3.95 | USD 0.05 | USD 5 |
| USD 4.0 - USD 9.90 | USD 0.10 | USD 10 |
| USD 10.0 - infinity | USD 0.25 | USD 25 |
|
|
Settlement style
|
Physical 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
|
Out to a maximum of 12 months:
First two non quarterly months;
First bi-annual Contract of "March, September" cycle;
Next two annual Contracts in the "June, December" 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 Underlying DR on the London Stock Exchange IOB on Expiration Day.
Turquoise shall take this value and round up to the nearest two decimal places to establish the Expiration Settlement Price.
|
|
Exercise Settlement
|
Three Bank Days after Exercise for Physical Delivery of DR against payment of Exercise Settlement Amount.
|
|
Premium Settlement
|
One Bank Day after the Trade Day.
|
|
Tailor-made IOB DR Option Contracts: Flexible Parameters
|
|
|
Such contracts are available in accordance with the Turquoise Rulebook Rule 6.14 Allowing Members to specify specific parameters.
|
|
Members may specify;
|
|
Expiration Day (any Trading Day out to Five years)
|
|
Premium (to four decimal places)
|
|
Strike Price (to two decimal places)
|
