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OCT - Dollar Futures
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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 |
© 1997-2014 Mercado Abierto Electrónico S.A.
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