Stock Markets Steering Committee of Hellenic Exchanges - Athens Stock Exchange
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April 24th, 2023
Contract Type | Standardized Futures Contracts that are settled in cash only |
Underlying Asset | MSCI Greece Rebased Index |
Contract Size | 2 EUR per Index point (multiplier) |
Contract Price | The buy/sell price of the Contract, which is expressed in Index points. |
Tick size | 0.25 Index point |
Trading Hours | 10.15 to 17.20 |
Series | At any given time, there are six (6) series trading, and more specifically:
Three (3) series of the nearest-term months of the monthly cycle and
Three (3) series for the nearest-term months of the quarterly cycle, i.e. March, June, September and December, not including those months for which there is a series admitted to trading based on the monthly cycle. The number of series that can be traded may be increased or decreased according to the relevant procedure laid down by ATHEX.
In addition, there are series of standard combinations in continuous trading between the first and second, and the second and third expiration months. |
Expiration Day | The Expiration Day is the third (3rd) Friday of the Expiration Month. If this day is not a trading day, the Expiration Day is the preceding trading day. |
Expiration Time | Expiration Time: 17:20
The Expiration Time may be changed if ATHEX deems this necessary in order to safeguard the smooth operation of the market and investors' interests. |
Starting Price | The starting price, according also to the relevant provisions of the Rulebook, for each trading series is the clearing price of the immediately preceding session. In the event that, for a particular trading series, there is no clearing price for the immediately preceding session, the starting price shall be the theoretical price of the product, taking into consideration risk management parameters such as, by way of indication, the risk-free interest rate, as well as parameters relating to the calculation of the clearing price such as dividend yield. |
Daily Price Fluctuation Limits | The maximum daily price fluctuation limit is set at +35% or -35% of the starting price (reference price). |
Minimum block tradesize | Number of contracts corresponding to the Value of transactions that result from the doubling of the respective minimum threshold (Pre-LIS Threshold) as published by the European Securities and Markets Authority (ESMA), on the business day preceding the announcement. |
Daily Cash Settlement | Contracts are subject to Daily Cash Settlement based on the Daily Settlement Price. The payment and collection of Daily Cash Settlement Amounts takes place on the next trading day. |
Daily Settlement Price | The price resulting on the basis of the relevant calculation method stipulated by ATHEX for the Contract, rounded to the nearest valid tick size, as follows:
Liquidity Series:
In the case of liquidity series for which there is a Daily Settlement Price in the immediately preceding session, Daily Settlement Price is defined as:
1) The Weighted Average (WA) of trades concluded in the respective series during the last ten minutes (10') before the end of the final period of trading with Method 1 in the Securities Market with a contract volume higher than or equal to ten (10) contracts, which for the purpose hereof is defined as the Minimum Contract Number.
2) If no trades were concluded during the aforesaid period in conformity with the Minimum Contract Number, the Daily Settlement Price of the respective series in the immediately preceding session of the Derivatives Market increased by the percentage variation of the underlying asset.
In the case of series for which there is no Daily Settlement Price in the immediately preceding session, Daily Settlement Price is defined as:
1) The WA of trades concluded in the respective series during the last ten minutes (10') before the end of the final period of trading with Method 1 in the Securities Market with a contract volume higher than or equal to the Minimum Contract Number.
2) If no trades were concluded during the stipulated period in conformity with the Minimum Contract Number, the WA of trades concluded every ten minutes (10') until the time of commencement of the Derivatives Market session, beginning before the end of the final period of trading with Method 1 in the Securities Market.
3) If no trades were concluded during the period stipulated in the preceding paragraph, the WA of trades concluded during the period from the end of the final period of trading with Method 1 in the Securities Market until the close of the Derivatives Market session.
In the case of series for which there is no Daily Settlement Price in the immediately preceding session of the Derivatives Market and no trades were concluded during the period stipulated in the preceding paragraph, the Daily Settlement Price is zero.
Other series:
In the case of series, other than Liquidity Series, for which there is a Daily Settlement Price in the immediately preceding session, Daily Settlement Price is defined as:
1) The WA of trades concluded in the respective series during the last ten minutes (10') before the end of the final trading period with Method 1 in the Securities Market with a contract volume higher than or equal to the Minimum Contract Number.
2) If no trades were concluded during the period stipulated in the preceding subparagraph but trades were conducted during the session, Daily Settlement Price is defined as the algebraic sum of the Daily Settlement Price of the Liquidity Series and the calculated price deviation of the respective series from the liquidity series, based on the algorithm for calculating the deviation from the liquidity series which is stipulated in the Annex "Calculation of Deviation from Liquidity Series", which is attached hereto and forms an integral part hereof.
3) If it is not possible to calculate the deviation from the Liquidity Series for transactions carried out in the respective series or no trade was concluded in the respective series during the session, the Daily Settlement Price of the immediately preceding day increased by the percentage variation of the Liquidity Series.
In the case of series, other than Liquidity Series, for which there is no Daily Settlement Price in the immediately preceding session, Daily Settlement Price is defined as:
1) The WA of trades concluded in the respective series during the last ten minutes (10') before the end of the final period of trading with Method 1 in the Securities Market with a contract volume higher than or equal to the Minimum Contract Number.
2) If no trades were concluded during the aforesaid period in conformity with the Minimum Contract Number as per the preceding subparagraph but trades were conducted during the session, the algebraic sum of the Daily Settlement Price of the Liquidity Series and the calculated price deviation of the respective series from the liquidity series, based on the algorithm for calculating the deviation from the liquidity series which is stipulated in the Annex "Calculation of Deviation from Liquidity Series", which is attached hereto and forms an integral part hereof.
3) If it is not possible to calculate the deviation from the Liquidity Series for transactions carried out in the respective series or no trades were concluded in accordance with the preceding subparagraph, the WA of trades concluded every ten minutes (10') until the time of commencement of the Derivatives Market session, beginning before the end of the final period of trading with Method 1 in the Securities Market.
4) If no trades were concluded during the period stipulated in the preceding paragraph, the WA of trades concluded during the period from the end of the final period of trading with Method 1 in the underlying market of ATHEX until the close of the Derivatives Market session.
In the case of series for which there is no Daily Settlement Price in the immediately preceding session and no trades were concluded during the period stipulated in the preceding paragraph, the Daily Settlement Price is zero.
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Final Settlement | Final Settlement is cash settlement. |
Final Settlement Day | Expiration Day plus one business day (T+1). |
Final Settlement Price | The Final Settlement Price is defined as the price of the Underlying Index on the Expiration Day and Time. |
In addition, modifications of the Resolutions 22 and 24 Related to the Regulation of ATHEX are approved, regarding the technical matters of trading and the pricing policy of the product.
Finally, the acquisition of Market Maker license on the product is approved for the Members of Derivatives Market PIRAEUS SECURITIES, ALPHA FINANCE και EUROBANK EQUITIES, and set the start date of the Market Making obligations as the start of trading day of the product, that is on Wednesday 10/05/2023.
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About Athens Exchange Group
The Athens Stock Exchange since its establishment in 1876, consistently participate in the financial and business developments in the country.
Athens Exchange Group (ATHEX Group), provides support to the Greek Capital Market. ATHEX Group operates the organized Equities and Derivatves markets, the alternative market and performs clearing and settlement of trades.
The Athens Stock Exchange, through its markets, offers solutions and financing tools to businesses, expands investor choice by providing a safe, stable and easy environment in full alignment with international practices and the European regulatory framework. It has held the ISO 22301:2012 international standard for Business Continuity, for all its companies, including all its operations as well as the products & services it provides.
In a period that the role of stock markets in exploring alternative ways of financing business, at a European level, is significantly enhanced, the Athens Exchange Group has taken a series of initiatives to highlight the attractiveness of the Greek Capital Market and the Greek companies to the international investment community and expand the variety of investment opportunities.
Its shares are traded on the Main Market of the Athens Stock Exchange (Symbol: EXAE).
The profiles of the ATHEX Group and its markets can be downloaded from the link. More information can be found in the website www.athexgroup.gr.