Participants and end users were previously advised via notice 0905.20.08 that before market open (9.50am) on Monday 31 August 2020, ASX will change the Anomalous Order Threshold (AOT) calculation methodology for the SPI 200 futures contracts. The AOT methodology change is to reduce the calculation frequency and dissemination of the reference price from 30 seconds to 15 seconds. Please note there is no change to the 50bpts range or the 30 second VWAP period currently used.

The ASX 24 Operating Rules Procedures reflecting this change are below:

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Procedure 3200.10 – Reference Price, Anomalous Order Threshold, Regulatory Halts and Cancellation Ranges for Futures Contracts subject to the ASIC Competition MIRs

Reference Price for futures contracts subject to the ASIC Competition Market Integrity Rules (ASIC Competition MIRs)

For the

• SPI 200,
• Mini SPI 200,
• S&P/ASX 200 Gross Total Return Index
• S&P/ASX 200 Resources Index,
• S&P/ASX 200 Financials-x-A-REIT Index Futures Contracts, and

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• S&P/ASX 200 A-REIT Index Futures Contracts

there will be one VWAP (calculated over 30 seconds) Reference Price for each Contract dynamically updated every 15 seconds for the SPI 200 and 30 seconds for all other Contracts.

Pursuant to an ASIC waiver from ASIC Competition MIR 2.2.2(1) the ETR Reference Price is the same as the dynamic Anomalous Order Threshold (AOT)/NCR Reference Price.

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Determination of the AOT/NCR Reference Price on a discretionary early close or halt of the eligible Contract where the eligible Contract will open again

Where the eligible Contract is halted or closed, the AOT/NCR Reference Price will be generated by the next Contract that meets the eligible Contract conditions.  The next VWAP calculation will commence 15 seconds for the SPI 200 and 30 seconds for all other Contracts after the old eligible Contract is closed or halted.

If the original eligible Contract is re-opened, then the original eligible Contract will resume the AOT/NCR Reference Price from that point in time and the next VWAP calculation will commence 15 seconds for the SPI 200 and 30 seconds for all other Contracts after it has re-opened.

What do I need to do by when?

Participant are advised to make sure they are ready for the SPI AOT modification.

Need more information?

Issued by

Gregory Pill – Head of Equity Derivative Products

Contact information

Gregory Pill
Phone: +61 (02) 9227 0696
Email: greg.pill@asx.com.au

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