Options On Long Gilt Future

Options On Long Gilt Future37650338

Description

Physically settled options contract on Long Gilt futures

Market Specifications

Trading Screen Product Name
Long Gilt Future
Trading Screen Hub Name
ICEU
Symbol
R
Unit of Trading
One Long Gilt Futures contract
Expiry Months
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
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
Exercise Deadline
Exercise by 17:00 on any business day, brought forward to 10:45 on the Last Trading Day.
Delivery Date
The first business day after the exercise day
Quotation
Multiples of 0.01
Minimum Price Movement
0.01 (£10)
Exercise Price Intervals
£0.50 e.g. £102.00, £102.50 etc.
Introduction of New Exercise Prices
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.
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).
Block Trades
Block Trading, Guaranteed Cross
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.
Other 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
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Trading Hours

CityTradingPre-Open
New York3:00 AM - 1:00 PM
03:00 - 13:00

London8:00 AM - 6:00 PM
08:00 - 18:00

Singapore4:00 PM - 2:00 AM
16:00 - 02:00

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Codes

Clearing Admin Name
Gilt Bond Fut
Physical
R
Logical
R
GMI(FC)
R&N A.C.N.