london stock exchange derivatives · pdf filegeneral information 02 london stock exchange...

The gateway to international derivatives

London Stock Exchange Derivatives Market

Contents IntroductionRegions covered 01

General information 02

Norwegian products 03

Russian International Order 04 Book Derivatives

Russian IOB Dividend Futures 05

Turkish products 06

UK Derivatives 07

FTSE 100 Weekly Options 08

London Stock Exchange Derivatives Market (LSEDM) offers member firms innovative products alongside its leading international marketplace for trading Russian Depositary Receipt derivatives.

In partnership with Oslo Børs, LSEDM operates the linked order book for Norwegian derivatives products.

LSEDM also offers FTSE100 futures and options, FTSE100 weekly options, and options and futures on UK single stocks.

Members can gain exposure to Turkey by trading BIST30 futures and options.

UK

— FTSE 100 futures and options, including weekly options

— UK single stock options

— Smaller size “mini” contract (100 shs) for contracts on stocks above £20

— Fee caps available for on and off book trades.

Norway

— Linked order book with Oslo Børs

— Norwegian single stock options and futures

— OBX Index options and futures

— OBOSX Index futures.

Russia

— Futures and options on Russian DRs

— Dividend and Dividend Neutral Stock Futures

— Leading international market place for trading Russian derivatives.

Turkey

— BIST 30 Index futures and options

— Initial margin in USD, GBP or EUR

— Variation margin in TRY

— Listed in partnership with Borsa Istanbul.

01 London Stock Exchange Derivatives Market

All contracts traded on LSEDM benefit from central counterparty clearing at award winning clearing house LCH, where members can also benefit from cross margining.

Clearing at LCH

General information


cost for membership to LSEDM

cost for market data for LSEDM

Trades matched using

technology

All trades cleared via

LSEDM is connected to Arqa Technologies, CQG, FFastFill, Fidessa, Gatelab, Horizon, ION Trading,

Itiviti, Orc Group, Patsystems, RTS Realtime Systems Ltd, TT and Vectalis.

SOLA

0

LCH

0

Norwegian productsLSEDM continues to operate the highly successful linked orderbook partnership with Oslo Børs. This is based on a fully linked trading and clearing model which enables international customers of LSEDM to trade Norwegian equity derivatives products with the Nordic customer base of Oslo Børs.

Product offering — Benchmark OBX Index: futures and options

— Single stock options and futures

— OBOSX Index futures.

Through its shared product offering clients are able to gain exposure to the energy, gas and maritime sectors where Norway ranks amongst the top 3 of the world’s producers and distributors. Together, LSEDM and Oslo Børs account for the majority of the listed Norwegian equity derivatives market. The OBOSX Index is Europe’s first oil service sector index future.

Key features and benefits — Shared order book: customers of LSEDM and Oslo Børs have access to one central pool of liquidity, making all trades fully fungible

— On screen liquidity: dedicated market makers from both LSEDM and Oslo Børs provide a transparent on screen price picture

— Trade reporting facility: LSEDM and Oslo Børs will accept bilaterally negotiated trades from members and brokers.

The link operates centralised order books for each of its shared products, all fully backed by central counterparty clearing through LCH Ltd and Six x-clear Ltd respectively.


+14%OBX index futures volume in 2016

Russian International Order Book Derivatives

Contract specifications

IOB DR options IOB DR futures

Multiplier 100 100

Currency USD USD

Expiry day 3rd Friday at 15:30 London time 3rd Friday at 15:30 London time

LSEDM's service allows international counterparties to trade in derivatives on the International Order Book (IOB): Single stock options, futures and dividend futures, plus RIOB index options and futures.

Participants benefit from the on-screen order book and the flexibility offered by our trade-reported only service, all backed by the security of Central Counterparty Clearing with LCH Ltd. The most liquid names are available to trade on-screen and for trade reporting.

On-screen tradingClients benefit from a consistent on-screen price picture from market makers and liquidity providers.

— Further option strike prices can be added on-screen intraday

— Option premiums can be trade reported to any 4 decimal places, regardless of tick sizes.

Trade-reported onlyThe most popular IOB DR options and futures can be trade reported.

— Strike prices and premiums can be reported with 4 decimal places

— Any IOB trading day as the expiration day up to 5 years

— Tailor-made positions will convert into standard positions, and keep the same ISIN.


Futures and options on DRs from India, Kazakhstan and Korea are also available for trade-reporting, including Samsung.

+66%single stock futures trading in 2016

Russian names available include Gazprom, Lukoil and Sberbank.


Dividend futuresStandardised dividend futures are available on seven IOB Depositary Receipts. These contracts enable members to hedge dividend exposure. In the event that there is an announced dividend or part of an announced dividend whose payment is deferred until after January expiry, a ‘late dividend’ contract will be listed. This additional contract on the late dividend is completely separate and distinct from ‘normal’ dividend contracts. Positions in a dividend futures contract at expiry are rolled into the corresponding late dividend futures contract automatically if all of announced dividends have not yet been paid.

Contract specifications

Multiplier 100 DR dividends

Contract size Futures price × multiplier

Quotation USD

Expires First two contracts of January, out for two years

Expiry day Third Friday in each January

Settlement price Cash settled against gross ordinary dividends

Availability

Dividend Stock Futures

Dividend Neutral Stock Futures

Gazprom Y Y

Lukoil Y Y

MMC Norilsk Y Y

Rosneft Y Y

Sberbank Y Y

VTB Bank Y Y

Surgetneftegaz Y N

Russian IOB Dividend Futures

Dividend Neutral Stock FuturesDividend Neutral Stock Futures (DNSF) are adjusted in the case of both ordinary and extraordinary, cash, stock or scrip dividends announced in the underlying.

DNSF are trade reported only, with any expiration date out to two years, and a trade price of upto four decimal places accepted.

In the case of both ordinary and extraordinary cash, stock or script dividends, the lot size and daily settlement prices will be adjusted.

2expiries available for trading on book


Turkish productsLSEG signed a partnership agreement with Borsa Istanbul to foster development of Turkish capital markets and give international exposure to Turkish derivatives products via London Stock Exchange Derivatives Market (LSEDM).

BIST 30 INDEX

FUTURES BIST 30 INDEX

OPTIONSTrading in:

Turkish Lira

* within the spread

Trade Reporting

No minimum block trade quantity*

Reduced cost of capital

Position netting

Initial contract margin in:

€£$USD GBP EUR

Cleared by LCH

Trading hours to overlap more of US market

The give-up of trades is permitted between LSEDM members

Futures calendar rolls available

Cost efficient margining

Order book and tailor-made contracts available

Trading hours for order book & trade reporting

07:10–17:30London time

10:10–20:30*Istanbul time * as of GMT


UK DerivativesUK Single Stock Options and Futures

— UK Single Stock Options are available on order book and for trade reporting, with UK single stock futures available for trade reporting.

— Underlying instruments represent the most liquid shares on London Stock Exchange

— Flexible parameters permitted with expiry date out to 5 years.

100 share contracts are for underlyings with a share price more than £20 at time of listing:

AB Foods

Astra Zeneca

BATS

Carnival

Imperial Brands

Intercontinental Hotels

Next

Randgold Resources

Rio Tinto

Shire Unilever

Wolseley

70underlyings available to trade

FTSE 100 Index Futures and Options

— Margin offsets available between options and futures for positions held at LCH.

— Futures listed with quarterly expiries available out to one year

— Options listed out to two years

— Contract multiplier £10, with minimum tick size 0.50.

Flexible parameters for options trade reporting

— Expiration day any trading day out to five years

— Premium to four decimal places

— Strike price to two decimal places

— American or European style.

Flexible parameters for futures trade reporting

— Expiry out to five years

— Futures price to two decimal places.


FTSE 100 Weekly OptionsWeekly options on the FTSE 100 Index listed on LSEDM are the first short-dated options on a UK based underlying, listed on a UK exchange.

Key featuresAlthough weekly options can be considered just as options with very short-term maturities, the fact that they are made available on a weekly basis allows investors to take advantage of some specific characteristics that differentiate them from the standard monthly maturity cycle.

The benefits of weekly options are more pronounced when traded along with contracts covering the mid and long-term maturities as they allow investors to take positions with more precision.

Margins on weekly options can be off-set versus other FTSE 100 derivative positions held at LCH.

1stshort-dated options on a UK-based underlying, listed on a UK exchange

Expiry cycle

Week of Month*

W1 W2 Monthly W4 W5 (if listed)

W1 W2 Monthly W4

First Y Y Y Y Y N N Y N

Second expired Y Y Y Y Y N Y N

Third expired expired Y Y Y Y Y Y N

Fourth expired expired expired Y Y Y Y Y N

Fifth expired expired expired expired Y Y Y Y Y

FRONT MONTH

WHICH LISTED WEEKLY CONTRACTS AVAILABLE

* with a Friday in it

BACK MONTH

12:02expiration time every Friday after London

Stock Exchange midday auction uncross

LISTED OUT TO

1 MONTH

Contract codes

Product LSEDM Bloomberg code Reuters code

BIST 30 Index Futures BIST30 BFLA 0#BIST30ll:

BIST 30 Index Options BIST30 XU030XF 0#BIST30*.LL

OBX Index Futures OBX OI 0#RIOBll:

OBX Index Options OBX OBX 0#RIOB*.LL

OBOSX Index Futures OBOSX OBS 0#OBX:

FTSE 100 Index Futures FI100 FQT 0#OBX*.OL

FTSE 100 Index Options FI100 UKXTQ 0#OBOSX:

FTSE 100 Week 1 Options W1UKX WUKXA 0#F100ll:

FTSE 100 Week 2 Options W2UKX WUKXB 0#F100*.LL

FTSE 100 Week 4 Options W4UKX WUKXD 0#F1001W*.LL

FTSE 100 Week 5 Options W5UKX WUKXE 0#F1002W*.LL

FTSE RIOB Index Futures RIOB DRI 0#F1004W*.LL

FTSE RIOB Index Options RIOB RIOB 0#F1005W*.LL

Gazprom Dividend Futures D*OGZD DOGZD 0#DOGZDtq:

Lukoil Dividend Futures D*LKOD DLKOD 0#DLKODtq:

MMC Norilsk Dividend Futures D*MNOD DMNOD 0#DMNODtq:

Rosneft Dividend Futures D*ROSN DROSN 0#DROSNtq:

Sberbank Dividend Futures D*SBER DSBER 0#DSBERtq:

Surgutneftegas Dividend Futures D*SGGD DSGGD 0#DSGGDtq:

VTB Dividend futures D*VTBR DVTB 0#DVTBRtq:

Appendix

London Stock Exchange 10 Paternoster SquareLondon EC4M 7LSTelephone +44 (0)20 7797 1000www.lseg.com

London Stock Exchange Derivatives TeamTelephone +44 (0)20 7797 [email protected]/derivatives/lsedm

London Stock Exchange plc (“LSE plc”) received registration from the U.S. Commodity Futures Trading Commission (CFTC) as a Foreign Board of Trade (FBOT) on 31 October 20161. This status allows London Stock Exchange Derivatives Market (LSEDM), as a business segment of LSE plc, to provide US based participants with direct access to its electronic order book in the FTSE 100 UK Index Futures contract the BIST 30 Index Futures contract. LSE plc may choose to make additional contracts available for trading by participants located in the United States with direct access to its electronic trading and order matching system at a later date, subject to the new product filing requirements of the CFTC.1 http://www.cftc.gov/idc/groups/public/@otherif/documents/ifdocs/orgfobotlseord161031.pdf

The publication of this document does not represent solicitation by London Stock Exchange plc of public saving and is not to be considered as a recommendation as to the suitability of the investment, if any, herein described. This document is not to be considered complete and it is meant for information and discussion purposes only. Information in this brochure is not offered as advice on any particular matter and must not be treated as a substitute for specific advice. In particular the information provided does not constitute professional, financial or investment advice and must not be used as a basis for making investment decisions and is in no way intended, directly or indirectly, as an attempt to market or sell any type of financial instrument. Advice from a suitably qualified professional should always be sought in relation to any particular matter or circumstances. The contents of this brochure do not constitute an invitation to invest in shares or subscribe for any securities or other financial instruments, nor should it or any part of it form the basis of, or be relied upon in any connection with, any contract or commitment whatsoever. London Stock Exchange does not conduct investment business in the United Kingdom with private customers and accordingly services and products mentioned or referred to in this brochure are not available to such persons directly via London Stock Exchange. London Stock Exchange accepts no liability, arising, without limitation to the generality of the forgoing, from inaccuracies and/or mistakes, for decisions and/or actions taken by any party based on this document.

© January 2017 London Stock Exchange plc. Registered in England & Wales No 02075721. London Stock Exchange Group plc, 10 Paternoster Square, London, EC4M 7LS

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