- Trading Screen Product Name
- Long Gilt Future
- Trading Screen Hub Name
- ICEU
- Contract Symbol
R
- Unit of Trading
One Long Gilt Futures contract
- Contract Series
March, June, September, December, and two serial months, such that
4 delivery months are available for trading, with the nearest three
delivery months being consecutive calendar months
- 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.
- Last Trading Day
The last Friday prior to the first calendar day of the expiry month
which is followed by at least two business days in the month
preceding the expiry month. On the Last Trading Day, trading in the
expiring month will cease at 15:15.
- Exercise Procedure
Exercise by 17:00 on any business day, brought forward to 16:00 on
the Last Trading Day.
Exercise Price Intervals £0.50 e.g. £102.00,
£102.50 etc.
For all contract months:
A minimum of 7 Strike Prices in increments of 0.50 above and below
the at-the-money Strike Price. The “at-the-money”
strike price is the closest interval nearest to the previous
business day’s settlement price of the corresponding
underlying future. Strike Price boundaries are adjusted according
to futures price movements. User-defined Strike Prices are allowed
in 0.50 increments.
- Delivery Date
The first business day after the exercise day
- Quotation
Multiples of 0.01
- Minimum Price Fluctuation
0.01 (£10)
- Algorithm
Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with a time-weighting of 1 (ie the algorithm is effectively a priority pro-rata matching algorithm) with priority given to the first order at the best price subject to a minimum order size (collar) and limited to a maximum order size (cap).
- Wholesale Trade Types
Block Trading, Asset Allocation
Minimum Volume Thresholds can be found
here
- Option Premium
The contract price is not paid at the time of purchase. Option positions, as with futures position, are settled-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 Exchange's Clearing Houser (CH) and the CH 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 CH.
- Additional Information
Potential users of the Options on Government Bond Contracts should familiarise themselves with the terms of these contracts and with the terms of the Underlying Futures Contract.
- MIC Code
- IFLL
- Clearing Venues
- ICEU