With immediate effect there will be a change to the Anomalous Order Threshold / No Cancellation Range (AOT/NCR) table in the ASX 24 Procedures (specifically 3200.10) on the S&P/ASX 200 Gross Total Return (AT) Futures for the 5th and 6th contracts. The changes are shown below in bold & underlined. The purpose of the change is to have a suitable AOT/NCR framework in place for the contract in the event of an error if liquidity were to build in the distant months.
S&P/ASX 200 Gross Total Return Index Futures – Anomalous Order Threshold/No Cancellation Range changes – Procedure 3200.10
Futures Contracts | Spot AOT/NCR |
Spot+1 AOT/NCR |
Spot+2 AOT/NCR |
Spot+3 AOT/NCR |
Spot+4 AOT/NCR |
Spot+5 AOT/NCR |
Spot+6 AOT/NCR |
Spot+7 AOT/NCR |
---|---|---|---|---|---|---|---|---|
SPI 200 | 0.50% | 0.50% | 0.50% | 0.50% | 0.90% | 0.90% | 1.00% | 1.00% |
Adjustment Factor Basis Points | 25 | 25 | 25 | 25 | 45 | 45 | 50 | 50 |
Mini SPI 200 | 1.00% | 1.00% | 1.00% | 1.00% | - | - | - | - |
Adjustment Factor Basis Points | 25 | 25 | 25 | 25 | - | - | - | - |
S&P/ASX 200 Gross Total Return Index Futures Contract | 0.50% | 0.50% | 0.50% | 0.50% | 0.90% | 0.90% | - | - |
Adjustment Factor Basis Points | 25 | 25 | 25 | 25 | 45 | 45 | - | - |
Participants and vendors should take note of the change and update any applicable systems if required.
Gregory Pill – Head of Equity Derivative Products
Gregory Pill
+61 (02) 9227 0696
greg.pill@asx.com.au