OCT - Dollar Futures


CER Index futures trading specifications


Underlying asset

Coefficient for real value stabilization (CER)

Trading hours

10:00 am to 3:00 pm / Second trading session: 5 minutes

Contract size

100,000 index units

Minimum trading unit

1 contract and multiples thereof

1 contract

Quotation

CER Index to 4 decimal places

Minimum price fluctuation

0,0001

Tick value

$ 10.- (100.000 x 0.0001)

Closing price determination (art. 13.2 and 39.2)

Art. 39.2 of the Operational Regulation and amendments. The minimum amount to determine closing price is 3 contracts (300,000. CER units)

Final settlement (fixing)

CER Index disclosed by the BCRA in the respective communication, or whichever replaces it

Daily MTM calculation

First day:

MTM (t) = MO x [PN – PC (t)]

Following days:

MTM (t) = MO x [PC(t-1) – PC (t)]

Where

MO: Number of contracts x Contract size

PN: strike price

PC (t): closing price corresponding to day "t" reported by MAE for OCT Trades

PC (t-1) : closing price corresponding to day "t-1" reported by MAE for OCT Trades

Final Settlement Price Calculation

Fixing = MO x [PC(t-1) – PF]

Where

MO: Number of contracts x Contract size

PF: Fixing price

Trade valuation

CC x VC x PN

Where

CC: Number of contracts

VC: Contract size

PN: Traded price

Impact on credit lines

(set in dollars)

Valuation x (PA /100) / TC

Where

Valuation: see previous

PA: Utilization percentage

TC: Exchange rate

Impact on credit lines

(set in pesos)

Valuation x (PA /100)

Where

Valuation: see previous

PA: Utilization percentage

Impact on guarantees

Valuation x PG

Where

Valuation: see above

PG: Guarantees percentage



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