In order to execute transactions in the Derivatives Market, the acquisition of membership from ATHEX is required. Membership enables access to the OASIS system-DTS for the purposes of order entry either on behalf of clients (investors) or members via specialized applications which are provided by ATHEX. ATHEX accepts as members of the Derivatives Market Investment Firms (IFs) based in Greece or another member state of the European Union, subject to conditions.
There are two types of trading memberships at ATHEX's derivatives market:
Trading members, which can execute trades on behalf of their clients or for their own account or
Market makers, who through an own account are committed to introduce bid and ask quotes on one or more products that are traded on the Derivatives Market of ATHEX in order to enhance liquidity and market depth. The status of a market maker (MM) at the derivatives market is defined per product.
Derivatives traded on the ATHEX market are standardized. Each contract has a specific underlying asset, contract size (multiplier), price tick / tick size, tick value, cycle class and delivery-settlement arrangement. Derivatives products traded on the derivatives market of the ATHEX are the following:
- Stock and Index Futures
- Stock and Index Options
- Repos and Stock Reverse Repos contracts and Standardized Repurchase Agreements on:
- Shares belonging to the Main Market category and constitute underlying values of derivatives products.
- Shares participating in an index that constitutes underlying value of derivatives products.
- ETFs (Exchange Traded Funds)
- Shares participating in ETFs
The trading unit for all derivatives products of the derivatives market of ATHEX is one (1) contract.
Trading of each derivative product is realized in series, which are defined into the Trading System. The characteristics of each series are: underlying asset, type of product (futures, options, Repos), expiration date and price and type of exercise.
The orders entered into the trading system must comprise the following characteristics:
- The derivative's series
- The type of order (buy/sell)
- The contract size
- The price, unless it is a market order
- The duration of the order, if required by the order type
- The Member ID which enters the order
- The investor's (trading) code or the Transitory Account (for group orders)
Once the above conditions are fulfilled, the orders are accepted for execution by the system. They are then assigned a timestamp and are sent to the Central Order Book for execution.
Orders entered in the system are prioritized first by Price and then by the Time of Entry. Hence, the Price/Time priority criterion is applied as follows:
- Price: For buy orders the priority is descending (the orders with the highest price get higher priority) in contrast with the sell orders that the priority is ascending (the orders with the lowest price get higher priority)
- Entry time: For orders that have the same price, the priority is defined by the time of entry (timestamp).
The orders according to their price are divided into the following:
- Limit Orders (LMT) which state a certain value as the maximum price, if it is a buy order, or minimum price, if it is a sell order, at which the client intends to realize the transaction.
- Market Orders (MKT) which are entered in the System without a defined price so as to indicate the intension to carry out the transaction at the best market prices at the time of the order entry.
The Price of the order can be expressed in three ways:
- In Euros (or other currency) ? Stock Derivatives products
- In index units ? Index Derivatives products
- Percentage of the Nominal value ? Stock Repos, Stock Reverse Repos, STRA's.
The orders according to their quantity are divided into the following:
- Single Orders which refer to a quantity of one (1) or more contracts.
- Block Orders which refer to a quantity of one (1) or more block of contracts.
*The block is a number of contracts, as determined each time from ATHEX. One (1) block = one hundred (100) contracts
The orders are divided into the following according to their duration:
- Rest of Day Orders (DAY) which remain active until the end of the trading session of the day that they have been entered.
- Until Expiration Orders (UE) which remain active until the end of the trading session of the expiration date of the corresponding derivatives series.
- Until Date Orders which remain active until the end of the trading session of the day before the declared date.
Note that after the expiration of the validity period of the orders, they are automatically cancelled and deleted from the Order Book.
Orders with a condition are divided into:
- Fill and Store Orders (FAS) which if not executed, even partially, their unexecuted part is placed in the order book.
- Fill or Kill Orders (FOK) which, if not executed immediately and wholly, are cancelled.
- Fill and Kill Orders (FAK) which, if not executed immediately and wholly, their unexecuted part is cancelled
The orders are divided into the following according to the number of series that they refer to:
- Simple Order which refers to a single series.
- Combination Order which consists of two or more individual orders in different derivatives series, the execution of which involves the simultaneous execution of all individual orders. The combination orders are divided into:
- Standard Combination Orders which have been entered on the basis of a defined combination standardized by ATHEX.
- Non ?Standard Combination Orders which have been entered on the basis of a combination defined by the client.
The orders are divided into the following according to the number of clients:
- Investor's orders which are entered by the member on behalf of a single investor or for the member acting on their own account.
- Orders of more than one investors or Group Orders which are entered by the member on behalf of more than one (1) investor. In order to execute group transactions the member must keep:
- A unique transitory account under its name which will be used exclusively for entering Group Orders and the execution of the corresponding transactions.
- Accounts for the investors on behalf of whom the member conducts the relevant transactions. The account is unique for each investor of a member. The member must register in each investor's account the transactions corresponding to the investor, which the member conducts trough the transitory account.
In order for the market makers to fulfill their obligations, they enter quotes in the system, whose main characteristic is that when they are entered, they replace the corresponding previous active orders of the Market Maker. As a Market Making order can be defined the buy or sell order which constitutes a leg of the quote order (buy/sell). The Market Makers' orders are supervised by the Surveillance Department of ATHEX and are usually daily orders. The handling of these orders regarding rectifications or cancellations is performed in the same manner as simple orders.
In the Trading System of ATHEX Derivatives market the following trading boards exist, depending on the method of trading and their respective orders:
- Main board. This board functions as the Order Book per Derivative or standard combination of derivatives. The orders in the main board are displayed per price level, after the volumes of the orders that have the same price are summed up (price depth).
- Pre-agreed board. In this board the pre-agreed exchanges of Method 7 and the Repurchase Agreements (STRA's) are carried on.
- Repos board. In the Repos Board are conducted the stock repos with ATHEXClear using the Method 8-1.
- Reverse Repos Board. In the Reverse Repos Board are conducted the stock reverse repos from ATHEXClear using the Method 8-2.
The Trading Methods that according to the Rules and Decisions of the board of ATHEX are supported by OASIS for transactions of derivatives in the market are as follows:
- Method 1: Continuous Automatic Matching Method (CAMM) which takes place through the system due to matching opposite orders using the Price/Time Priority criterion.
- Method 7: Pre-Agreed Price Trading Method. As Pre-Agreed is defined the bilateral transaction that is executed with a prior agreement between the two parties.
- Method 8: Stock Repos (Method 8-1), Stock Reverse Repos (Method 8-2) and STRAs (Method 8-3).
More information about the features of the model, products and methods of derivatives trading market can be found in the related ATHEX BoD resolutions.
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