FUTURES AND OPTIONS ON IBEX 35
MARÍA TRICAS MARQUÉS
ROLL NUBER: 56EX
DERIVATES AND RISK MANAGEMENT
The Official Market of Futures and Financial Options in Spain is MEFF.
MEFF is an official secondary market regulated by Spanish laws and integrated in the Spanish Stock Exchange Market. MEFF is under the supervision of the Spanish National Securities MarketCommission.
MEFF offers trading and central counterparty services for:
* Futures and Options on IBEX-35.
* Futures and Options on Stocks.
* Repos on Spanish Public Debt.
On March 21st 2011 a new group of energy derivatives was launched in MEFF’s central counterparty. Additionally, MEFF renders other services related to its main activity to different types of entities through itssubsidiary companies.
FINANCIAL DERIVATIVES: PRODUCTS
2. INDEX FUTURES
The IBEX35 (Spanish Exchange Index) is the benchmark stock market index of the Spanish Stock Exchange.
It is a market capitalization weighted index comprising the 35 most liquid Spanish stocks traded in the four Spanish Stock Exchange Markets (Madrid, Barcelona, Bilbao and Valencia).
In the following graphic we can see theevolution of the IBEX 35 in the last years; with a maximum of 15,890.5 at the end of 2007, and a minimum of 5,956.3 in July of 2012:
And this pie shows the distribution of the components of IBEX 35 by importance:
Trading on options and futures contracts on the IBEX 35 is provided by MEFF.
In Spain the most important Index Futures Contracts are:
* IBEX 35 Future Contract (in its twomultipliers versions: the normal and mini).
* IBEX 35 DIV IMPACT.
These Futures Contracts form part of the Underlying Financial Assets Contract Group. The Underlying Asset is, depending on the contract class, the IBEX 35 Index or the IBEX 35 DIV IMPACT.
So there are two futures contracts on the IBEX35: the normal (the bigger), with a multiplier of 10 Euros; and the Mini with a multiplier of 1Euro.
3.1. IBEX 35 Future
In the IBEX 35 Future the underlying asset is the IBEX 35; which is a capitalization weighted index comprising the 35 most liquid Spanish stocks traded in the Continuous Market.
MULTIPLIER | 10 Euros. The IBEX 35 Index must be multiplied by 10 Euros in order to obtain the contract size. Therefore each index point is worth 10 Euros.|
CONTRACT SIZE | The IBEX 35 Index times the Multiplier.The nominal value of the contract will be obtained by multiplying the price of the IBEX 35 Future times the multiplier. Therefore an IBEX 35 Future contract at a price of 10.000 points would have a nominal value of: 10.000 x 10 = 100.000 Euros. |
PRICE QUOTATION | In whole Index points with a minimum fluctuation set according to thequotation of the underlying asset and/or the Market practice, which will be established by Circular. |
MAXIMUM PRICE FLUCTUTATION | None. |
EXPIRATIONS | Expirations available for trading, clearing and settlement will be the following:- The ten nearest quarterly expiries of the March-June-September-December cycle.- The two nearest calendar months apart from the first expiry of the quarterlycycle. - The expiries of the June-December cycle, not included in the above criteria, to complete expiries with a maximum life of 5 years. |
EXPIRATION DATE | The third Friday of the expiration month. |
LAST TRADING DAY | The Expiration Date. |
DAILY SETTLEMENT PRICE | Arithmetic average between the best buy and best sale prices at the Market close. |
SETTLEMENT PRICE AT EXPIRATION | Arithmeticaverage index value between 16:15 and 16:45 hours on the Expiration Date, taking a value per minute. |
DAILY SETTLEMENT OF GAINS AND LOSSES ("variation margin") | Before the start of trading on the business day following the date of the trade by means of cash transfer of the difference with the Daily Settlement Price.For example, buying 30 IBEX 35 Future Contracts at a Price of 10.000 with a...
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