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OPTIONS ON LONG GILT FUTURES
 


Codes et classification
Mnemo R Marché NYSE Liffe London Vol. 900 19/11/09
Type d'exercice Américain Devise £ P.O. 78,973
 Options on Long Gilt Futures
Taille du contrat One Long Gilt Futures contract
Mois d'échéance March, June, September, December (nearest two available for trading) plus two additional serial months, such that four expiry months are available for trading, which include the nearest three consecutive calendar months
Cotation Multiples of 0.01
Echelon minimum de cotation 0.01 (£10)
Jour d'exercice Exercise by 17:00 on any business day, brought forward to 10:45 on the Last Trading Day.
Dernier jour de négociation Six business days prior to the first day of the expiry month. On the Last Trading Day, trading in the expiring month will cease at 10:00
Date d'échéance Exercise by 10.45 on the Last Trading Day.
Date de livraison The first business day after the exercise day
Heures de cotation 08:02 - 18:00
Documentation
Options On Short Term Interest Rate, Swapnote® And Government Bond Contracts (No. 901)
Mis à jour 22/07/09

Market: London.

Trading Platform: LIFFE CONNECT®.

Algorithm: Central order book applies a pro-rata trading algorithm, but with priority given to the first order at the best price subject to a minimum order volume and limited to maximum volume cap.

Wholesale Services: Block Trading.

Contract Standard: Assignment of one Long Gilt futures contract for the expiry month at the exercise price. The futures delivery month associated with each option expiry month shall be:

  • March in respect of January, February and March expiry months;
  • June in respect of April, May and June expiry months;
  • September in respect of July, August and September expiry months; and
  • December in respect of October, November and December expiry months.

Exercise Price Intervals: £0.50 e.g. £102.00, £102.50 etc.

Introduction of New Exercise Prices: Thirteen exercise prices will be listed for each new series. Additional exercise prices will be listed when the Long Gilt futures contract settlement price is within £0.50 of the sixth highest or lowest existing exercise price, or as deemed necessary by the Exchange.

Option Premium: The contract price is not paid at the time of purchase. Option positions, as with futures positions, are marked-to-market daily giving rise to positive or negative variation margin flows. When the Buyer exercises/abandons an option, the Buyer is required to pay the original contract price to the Clearing House and the Clearing House will pay the original option price to the Seller on the following business day. Such payments will be netted against the variation margin balances of Buyer and Seller by the Clearing House.

Clearing: LCH.Clearnet Ltd.

Unless otherwise indicated, all times are London times.
 
 

For further information, please contact bonds@liffe.com or alternatively telephone Euronext.liffe's Interest Rate Product Management Team on + 44 (0)20 7379 2222.