| Contracts and minimum size thresholds |
Please refer to the "Eligible Contracts and Minimum Size Thresholds" section". |
| Trading hours |
Trades to be organised and reported within normal contract trading hours with the exception of certain contracts which may be reported up to 15 minutes after such contracts' close.* |
| Reporting |
Block Trades should be reported to NYSE Liffe as soon as practicable. In any event, they should be reported within five minutes if they are not dependant on the execution of a transaction in another instrument. They may be reported within fifteen minutes of organisation if they are dependant on the execution of a transaction in another instrument or if market conditions are exceptional. (Please see the NYSE Liffe Trading Procedures, Part One, Trading Procedure 4.5 for further details).
Block Trades in specified contracts may be organised during normal trading hours, but subject to Trading Procedure 4.5.19-4.5.21, may be reported up to 15 minutes after the Central Order Book in the relevant Exchange Contract has closed (except on the Last Trading Day when the Block Trade Facility will continue to close at the same time as the Central Order Book in relation to expiring contracts).*
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| Required trade information |
Member mnemonic, contract, contract month(s), exercise price(s), strategy, price (of individual legs), number of lots (each leg), time of trade, name of individual authorised by the member to submit Block Trades. |
| Publication |
NYSE Liffe will publish details of the Block Trade as soon as the trade has been authorised.
Block Trades are distinguished from other trades by an additional trade type "K". External publication will be contract details (delivery / expiry month), price and volume. For relevant contracts, the Block Trade details will also be published on LIFFE CONNECT® via broadcast message.
Daily information sheets will provide totals of block trading volume per contract.
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| Restrictions |
Minimum volume thresholds apply for each applicable contract. In respect of futures contracts, members must not aggregate separate orders to meet minimum threshold requirements. In respect of options only, where a member receives a Block Trade order which meets or exceeds the relevant minimum threshold, he may aggregate orders on the matching side only, in order to facilitate execution of the Block Trade.
The member must clarify to a member or non-member client where a quote the client is being given is a Block Trade price rather than the prevailing central order book price. There are no explicit price limits attached to Block Trades other than that they should satisfy "fair value" criteria. The Exchange reserves the right not to authorise the trade if it is deemed to fall outside agreed tolerance levels. No Block Trades will be permitted in contract months two business days prior to expiry / delivery.
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* Please refer to London Notice No. 3204, issued on 14 October 2009 for more information.
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