Bursa Malaysia Derivatives Berhad

Transcription

1 Bursa Malaysia Derivatives Berhad Date : 18 September 2013 Trading Participant Circular : 16/2013 AMENDMENTS TO THE RULES OF BURSA MALAYSIA DERIVATIVES BERHAD ( RULES OF BURSA DERIVATIVES ) FOR THE INTRODUCTION OF GOLD FUTURES CONTRACT 1. INTRODUCTION 1.1 Bursa Malaysia Derivatives Bhd ( the Exchange ) is adding Gold Futures ( FGLD ) Contract to its suite of Commodity Contracts. The FGLD Contract is a Ringgit based cash-settled Futures Contract, with its final settlement based on The London Gold AM Fixing of The London Gold Market Fixing Limited. 1.2 Pursuant to the introduction of the FGLD Contract, the Exchange has amended the Rules of Bursa Derivatives and the Trading Manual. The rule amendments and the amendments made to the Trading Manual are further explained below in paragraphs 2 and RULE AMENDMENTS 2.1 The salient changes to the Rules of Bursa Derivatives are set out below. 2.2 New Rule 1900 and Schedule 23 have been inserted to set out the contract specifications. The salient amendments are as follows: (a) (b) (c) (d) Rule 1901 read together with Schedule 23 (Underlying Instrument and Contract Unit) The underlying instrument for the FGLD contract is gold assayed to a minimum of 995 fineness and each Contract will be valued at 100 grams times by the price of the corresponding Contract traded on the Exchange. Rule 1902 read together with Schedule 23 (Minimum Price Fluctuation) The minimum price fluctuation will be quoted in Ringgit Malaysia per gram with a minimum price fluctuation of RM0.05 per gram. Rule 1903 read together with Schedule 23 (Contract Months) The contract months will be determined by the Exchange and will not exceed 72 months forward. The detailed contract months for the FGLD Contract are set out in Schedule 23 (Contract Months). Rule 1904 read together with Schedule 23 (Final Trading Day) The Final Trading Day and Maturity Date for the FGLD Contract will be the last Business Day of the contract month and trading in the Contract will cease at the close of the trading (i.e. at 19:00 hours (Malaysia time)) on the Final Trading Day. If that day is a holiday in London, the Final Trading Day will be the first business day common to both Kuala Lumpur and London before that day. The Exchange may change the Bursa Malaysia Berhad P 15th Floor, Exchange Square Tel : , (GL) Bukit Kewangan Fax : Kuala Lumpur, Malaysia Website :

2 Final Trading Day and Maturity Date if the action is required in the public interest or to meet unusual conditions. (e) (f) Rules 1905 and 1906 read together with Schedule 23 (Final Settlement and Final Settlement Value) The FGLD Contract will be settled in cash in accordance with the rules of Bursa Malaysia Derivatives Clearing Bhd. The methodology to calculate the final settlement value is set out in Schedule 23 (Final Settlement Value). If for any reason the ability of the Exchange to compute the final settlement value based on the predetermined methodology is affected, the Exchange may use any other methodology it deems fit. Rule 1907 read together with Schedule 23 (Price Limits) Trading in the FGLD Contracts is subject to daily price limits and the details of the price limits are set out in Schedule 23 (Price Limits). 2.3 A new Schedule has been inserted to set out the position limit that is applicable for the FGLD Contract. The maximum number of net long or net short positions which a person may hold or control in all months combined is 25,000 Contracts. 2.4 Guidelines and have been amended to set out the trading fee and the Negotiated Large Trade facility charge payable in respect of the FGLD Contract. 2.5 The detailed amendments to the Rules of Bursa Derivatives are set out in Annexure 1. These amendments have been approved by the Securities Commission. 3. AMENDMENTS 3.1 The key amendments to the Trading Manual are updates that have been made for the introduction of the FGLD Contracts in respect of Market Integrity Controls, Static Thresholds, Exchange for Related Positions, Trading Phases and States and Negotiated Large Trades. 3.2 The amendments are at chapters 6, 7, 11, 12 and 16. The updated version is attached here as Annexure EFFECTIVE DATE 4.1 The amendments to the Rules of Bursa Derivatives and the Trading Manual as set out in paragraphs 2 and 3 take effect on 7 October 2013 ( Effective Date ). 4.2 All rules, directives or circulars in force which make references to or contain provisions relating to the above matters shall have effect from the Effective Date as if such reference or provisions relate to the amended provisions aforesaid. Bursa Malaysia Berhad P 15th Floor, Exchange Square Tel : , (GL) Bukit Kewangan Fax : Kuala Lumpur, Malaysia Website :

3 5. CONTACT PERSONS In the event of any queries in relation to the above matter, kindly contact the following persons: Name Elmery Yap Moriazi Mohamed Tan Siew Siew (Rules) Siow Kiat Foei (Trading Manual) Edmund Koh Yee Loong (Trading Manual) Contact Details This Circular is available at Regulation Bursa Malaysia Berhad P 15th Floor, Exchange Square Tel : , (GL) Bukit Kewangan Fax : Kuala Lumpur, Malaysia Website :

4 ANNEXURE 1 RULE AMENDMENTS in relation to Gold Futures ( FGLD ) Contract RULES OF BURSA MALAYSIA DERIVATIVES BHD RULE AMENDMENTS IN RELATION TO GOLD FUTURES ( FGLD ) CONTRACT EXISTING PROVISIONS AMENDED PROVISIONS Rule 201 Definition Final Settlement Day means the Business Day following the Final Trading Day when all Open Positions are cash settled, or settled by delivery in accordance with the rules of the Clearing House; Definition Final Settlement Day means the Business Day following the Final Trading Day whenby which all Open Positions are cash settled, or settled by delivery in accordance with the rules of the Clearing House; RULE 1900 New Provision GOLD FUTURES CONTRACT Rule 1901 New Provision Contract Unit and Contract Value Rule 1902 New Provision Minimum Price Fluctuation Rule 1903 New Provision Contract Months Each contract shall be valued at 100 grams times the price of the corresponding Contract traded on the Exchange, in Ringgit Malaysia per gram. The Contract will be quoted in Ringgit Malaysia per gram with minimum price fluctuation of RM0.05 per gram or such other minimum price fluctuation as may be determined by the Exchange from time to time. The contract months are the designated months when the Contract matures. The contract months will be determined by the Exchange and may be varied from time to time but will not at any time exceed 72 months forward. Annexure 1 Page 1 of 9

5 ANNEXURE 1 RULE AMENDMENTS in relation to Gold Futures ( FGLD ) Contract EXISTING PROVISIONS AMENDED PROVISIONS Rule 1904 New Provision Final Trading Day and Maturity Date Rule New Provision The Final Trading Day and Maturity Date is the last Business Day of the contract month unless such a day is a holiday in London, in which case the Final Trading Day and Maturity Date will be the first preceding Business Day that is not a holiday in London. Rule New Provision The Exchange may in its absolute discretion change any Final Trading Day and Maturity Date whenever such action is required in the public interest or to meet unusual conditions. Rule New Provision Trading in the expiring month Contract will cease at the close of trading on the Final Trading Day or at such other time as the Exchange may determine. Rule 1905 New Provision Final Settlement Day Rule New Provision The Contract will be settled in cash by the Final Settlement Day and in accordance with the rules of the Clearing House. Rule New Provision The Exchange may in its absolute discretion change any Final Settlement Day whenever such action is required in the public interest or to meet unusual conditions. Rule 1906 New Provision Final Settlement Value Rule New Provision On the Final Trading Day for the Contract, all Open Positions will be marked to the final settlement value which is announced by the Exchange. Rule New Provision The final settlement value for each Final Settlement Day will be calculated based on the methodology set by the Exchange and is final and binding. Rule New Provision If for any reason the ability of Exchange to compute the final settlement Annexure 1 Page 2 of 9

6 ANNEXURE 1 RULE AMENDMENTS in relation to Gold Futures ( FGLD ) Contract EXISTING PROVISIONS AMENDED PROVISIONS Rule 1907 New Provision Price Limits value based on the methodology set by the Exchange is affected, the Exchange may use any other methodology it deems fit to compute and declare the final settlement value. Any decision made by the Exchange in this regard is final and binding. Orders must not exceed the daily price limits as may be prescribed in these Rules. Orders that are matched beyond this limit will be treated as null and void and will be reversed out by the Exchange. Notwithstanding the above, there is no price limit for the spot month Contracts on the Final Trading Day. Schedule SCHEDULE 23 (Title) New Provision New Provision Gold Futures Contract The maximum number of net long or net short positions which a Client or a Participant may hold or control in all months combined is 25,000 Contracts. GOLD FUTURES CONTRACT Schedule 23 (Contract) New Provision CONTRACT GOLD FUTURES CONTRACT Schedule 23 (Contract Code) New Provision CONTRACT CODE FGLD Annexure 1 Page 3 of 9

7 ANNEXURE 1 RULE AMENDMENTS in relation to Gold Futures ( FGLD ) Contract EXISTING PROVISIONS AMENDED PROVISIONS Schedule 23 (Underlying Instrument) New Provision UNDERLYING INSTRUMENT Gold assayed to a minimum of 995 fineness or such other technical specification of gold underlying The London Gold AM Fixing from time to time, Schedule 23 (Contract Unit) New Provision CONTRACT UNIT 100 grams Schedule 23 (Minimum Price Fluctuation) New Provision MINIMUM PRICE FLUCTUATION RM0.05 per gram Schedule 23 (Price Limits) New Provision PRICE LIMITS There must be no trading at a price more than 10% above or below the settlement prices of the preceding Business Day ( the 10% Limit ) except as provided below: (a) If spot month Contract trades at the 10% Limit, the Exchange will announce a 10- minute cooling off period ( the Cooling Off Period ) for Contracts of all contract months (including the spot month) during which trading may only take place within the 10% Limit for Contracts of all contract months (including the spot month). (b) After the Cooling Off Period, Contracts of Annexure 1 Page 4 of 9

8 ANNEXURE 1 RULE AMENDMENTS in relation to Gold Futures ( FGLD ) Contract EXISTING PROVISIONS AMENDED PROVISIONS all contract months (including the spot month) will be specified as interrupted for a period of 5 minutes, after which the price limit will be expanded to 20%. The prices traded for Contracts of all contract months (including the spot month) must then not vary more than 20% above or below the settlement prices of the preceding Business Day ( the 20% Limit ). (c) If spot month Contract trades at the 10% Limit less than 30 minutes before the end of the first trading session, the 10% Limit will apply to Contracts of all contract months (including the spot month) for the rest of the first trading session, and the 20% Limit will apply to Contracts of all contract months (including the spot month) during the second trading session. (d) If spot month Contract trades at the 10% Limit less than 30 minutes before the end of the second trading session, the 10% Limit will apply to Contracts of all contract months (including the spot month) for the rest of the Business Day. (e) On any Business Day other than the Final Trading Day, the price limits in the above paragraphs apply to trades in Contracts of all contract months including the spot month. On the Final Trading Day, the price limits in the above paragraphs do not apply Annexure 1 Page 5 of 9

9 ANNEXURE 1 RULE AMENDMENTS in relation to Gold Futures ( FGLD ) Contract EXISTING PROVISIONS AMENDED PROVISIONS to trades in spot month Contracts. Schedule 23 (Contract Months) New Provision CONTRACT MONTHS Spot month, the next 3 calendar months and any February, April, June, August October and December falling within a 12 month period beginning with the spot month Schedule 23 (Trading Hours) New Provision TRADING HOURS First Trading Session: 09:00 hours to 12:30 hours (Malaysia time); and Second Trading Session: Malaysia 14:30 hours to 19:00 hours (Malaysia time) Schedule 23 (Final Trading Day) New Provision FINAL TRADING DAY 1. The last Business Day of the contract month unless such a day is a holiday in London, in which case the Final Trading Day will be the first preceding Business Day that is not a holiday in London. 2. Trading in the expiring month Contract ceases at 19:00 hours (Malaysia time) on the Final Trading Day. Schedule 23 (Final Settlement) New Provision FINAL SETTLEMENT Cash Settlement based on the final settlement value Schedule 23 New Provision FINAL SETTLEMENT 1. The London Gold AM Fixing of The London Annexure 1 Page 6 of 9

10 ANNEXURE 1 RULE AMENDMENTS in relation to Gold Futures ( FGLD ) Contract EXISTING PROVISIONS AMENDED PROVISIONS (Final Settlement Value) VALUE Gold Market Fixing Limited (quoted in USD/troy oz) on the Final Trading Day will be the reference price for the purpose of calculating the final settlement value. 2. For the calculation of the final settlement value, the following will apply: Conversion from USD to RM (a) The London Gold AM Fixing will be converted to Ringgit Malaysia and rounded to the nearest RM0.05 using the mid exchange rate of USD/MYR as at hours (Malaysia time) on the Final Trading Day taken from Bank Negara Malaysia. In the event the final settlement value is equidistant between two minimum price fluctuations, the value will be rounded upwards. Conversion from Troy Ounce to Grams (b) 1 troy oz = grams Schedule 23 (Attribution / Disclaimer) New Provision ATTRIBUTION / DISCLAIMER All references to The London Gold AM Fixing prices are used with the permission of The London Gold Market Fixing Limited. The London Gold Market Fixing Limited and Bursa Malaysia Derivatives Bhd accept no liability or responsibility for the accuracy of the prices or the underlying product to which Annexure 1 Page 7 of 9

11 ANNEXURE 1 RULE AMENDMENTS in relation to Gold Futures ( FGLD ) Contract EXISTING PROVISIONS AMENDED PROVISIONS Guideline New Provision the prices may be referenced. Trading Fees Applicable to Outright Trades Fee Items Gold Futures Contract Ringgit Malaysia (RM) a. General Trading Fees RM0.50 b. Trading Fees for market makers As determined by the Exchange from time to time c. Trading Fees for Local Participants RM0.50 Annexure 1 Page 8 of 9

12 ANNEXURE 1 RULE AMENDMENTS in relation to Gold Futures ( FGLD ) Contract Guideline EXISTING PROVISIONS Facility Charges applicable to Negotiated Large Trade Transactions Type of Contract Facility Charge per Contract a. FTSE Bursa Malaysia KLCI Futures Contract RM 0.20 b. Ringgit Malaysia Denominated Crude Palm RM 0.20 Oil Futures Contract c. Three-Month KLIBOR Contract RM 0.20 d. 5-Year MGS Futures Contract RM 0.20 e. Option on FTSE Bursa Malaysia KLCI RM 0.20 Futures f. Option on Ringgit Malaysia Denominated RM 0.20 Crude Palm Oil Futures Maximum Facility Charge per transaction up to twice the minimum volume threshold referred in Rule 700C.1(1)(b) For the purpose of guideline 3.2.3, the facility charge is calculated ad valorem per contract and are applicable to every contract bought or sold. AMENDED PROVISIONS Facility Charges applicable to Negotiated Large Trade Transactions Type of Contract per Contract a. FTSE Bursa Malaysia KLCI Futures Contract RM 0.20 b. Ringgit Malaysia Denominated Crude Palm RM 0.20 Oil Futures Contract c. Three-Month KLIBOR Contract RM 0.20 d. 5-Year MGS Futures Contract RM 0.20 e. Option on FTSE Bursa Malaysia KLCI Futures RM 0.20 f. Option on Ringgit Malaysia Denominated RM 0.20 Crude Palm Oil Futures g. Gold Futures Contract RM0.20 Facility Charge Maximum Facility Charge per transaction up to twice the minimum volume threshold referred in Rule 700C.1(1)(b) For the purpose of guideline 3.2.3, the facility charge is calculated ad valorem per contract and are applicable to every contract bought or sold. [End of Rule Amendments] Annexure 1 Page 9 of 9

13 BURSA MALAYSIA DERIVATIVES BHD This manual is the intellectual property of BURSA MALAYSIA. No part of the manual is to be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopying, recording or any information storage and retrieval system, without permission in writing from Head of BMD Exchange Operations. Annexure 2 10

14 Version History Version Date Author Comments V Aug 2010 BMDB Initial Version ANNEXURE 2 V Aug 2010 BMDB Updated # Review of Trades Price Adjustments and Cancellations V1.2 6 Sep 2010 BMDB Inserted 15. Operator ID ( Tag 50 ID ) Required for All BMD orders traded on CME Globex V1.3 9 Sep 2010 BMDB Update 1. Introduction 1.6 TPs compliance in relation to access, connectivity, specification or use of CME Globex V Sep 2010 BMDB Updated 13. Messaging And Market Performance Protection Policy V1.5 9 Nov 2011 BMDB Inserted 16 Negotiated Large Trade V Nov 2011 BMDB Amended section 16 for typo errors, consistency and clarity. V Nov 2011 BMDB Amended section 16 - Extended NLT cut-off time for FKLI, FKB3 and FMG5 to 4.00pm and for FCPO to 5.00pm. -Amended the NLT Facility Trade Registration form. V Feb 2012 BMDB Updated section 11 EFP to EFRP V Mar 2012 BMDB Amended sections 11 and 16 (forms and processes) V2.0 5 Apr 2012 BMDB Renamed to Trading Manual V May 2012 BMDB Updated Section 6 for OKLI and to align with CME practice V May 2012 BMDB i) Updated for OCPO ii) Change of terminology to be consistent with CME iii) Updated Sections 7.7 & 14.1 for consistency with Rules iv) Updated Sections 12.3 & 12.4 for accuracy V Feb 2013 BMDB Updated Section 16 NLT v) Updated Section 3.1 on options naming convention V2.4 3 Apr 2013 BMDB Updated Section 9 Circuit Breaker on timing V2.5 2 Jul 2013 BMDB Updated FGLD. Sections 6, 7, 11, 12 & 16 Annexure 2 11

15 Contents 1. Introduction 2. Orders Fut ures an d Op t io n s Ord er t yp es Lim it Ord ers Market -lim it Ord ers Market Ord ers w it h Pro t ect io n Fut ures Ord er Typ es St o p -lim it Ord ers St o p Ord ers w it h Pro t ect io n Op t io n s Ord er Typ es Cab in et Ord ers Ord er Qualif iers Day Goo d -Till-Can celled (GTC) Goo d -Till-Dat e (GTD) Fill-an d -Kill (FAK) Fill-or-Kill (FOK) Disp lay Quan t it y Min im um Quan t it y Ad d it io n al Inf o rm at ion St o p Sp ike Lo gic GTC/GTD Out sid e Daily Price Lim it s Ord er St at us 3. Options and Options Spreads Op t io n s Nam in g Con ven t io n s Op t io n s Sp read s Nam in g Co nven t ion s CME Glo b ex Exch an ge Reco gn ized Sp read CME Glo b ex Un reco gn ized Sp read Typ e Exch an ge Reco gn ized Op t io n s Sp read Co n st ruct io n Op t io n s Sp read Descrip t io n Calen d ar (Ho rizon t al o r Diago nal) St rad d le St ran gle Vert ical Bo x But t erf ly Con d it io n al Curve Con d o r Do ub le Ho rizon t al St rad d le Iro n Con d o r Rat io 1x2 Rat io 1x3 Rat io 2x3 St rip Risk Reversal St rad d le St rip s Annexure 2 12

16 Xm as Tree 3-Way Iro n But t erf ly (IB) Jelly Roll ( JR ) Gut s (GT) 3-w ay: St rad d le versus Call (3C) 3-w ay: St rad d le versus Put (3P) 4. Futures Spreads Sp read Typ e Co m p at ib ilit y Fut ures Sp read Co n st ruct io n Fut ures Sp read Descrip t io n Calen d ar (Ho rizon t al o r Diago nal) St rip 5. Indicative Opening Price (IOP) And First-In, First-Out (FIFO) Matching Algorithm Calculat ing/ Det erm in in g t h e IOP St o p Ord ers in IOP Det erm in in g Cum ulat ive Quan t it y Exam in in g f o r IOP Ap p lyin g t h e Rules t o Est ab lish t h e In d icat ive Op en in g Price St o p s in IOP Disp lay Quan t it y Ord ers in IOP First -In, First -Out (FIFO) Mat ch in g Algo rit h m 6. Market Integrity Controls Ord er Act ivit y Rest rict io n s Daily Price (Trad in g) Lim it s Price Ban d in g Price Ban d in g w it h Market Lim it o rd ers Price Ban d in g w it h St o p o rd ers Price Ban d Variat io n (PBV) Reserve Price Ban d Mult ip lier Fut ures Ban d in g Op t io n s Ban d ing Trad e Can cellat ion GCC Trad e Can cellat io n Policy Non -Review able Ran ge - Trad e Can cellat ion Review o f Trad es GCC Trad e Can cellat io n St o p Sp ike Lo gic Market Is Op en Market Is Reserved Market Reserved Act ivit ies Market Reo p en s e-st o p Trad in g Co n t rols Set t in gs 7. Static Thresholds And Invalid Trade 8. Unplanned Holiday Annexure 2 13

17 9. Circuit Breaker 10. Market Emergency 11. Exchange For Related Positions (EFRPs) 12. Trading Phases, Timing And Status 13. Messaging And Market Performance Protection Policy 14. Error Maker Liability Claim 15. Operator ID ( Tag 50 ID ) Required For All BMD Orders Traded On CME Globex 16. Negotiated Large Trade Annexure 2 14

18 1. Introduction 1.1 Scope of Coverage Th is m an ual is issued p ursuan t t o Rule 702A.7 of t h e Rules of Bursa Malaysia Derivat ives Berh ad ( BMD / t h e Exch an ge ). It p ro vid es p ert in en t in f o rm at ion an d guid elin es relat in g t o execut in g t ran sact ion s an d p ro ced ures o n d ealin g w it h t h e Exch an ge: Th e guid elin es an d p ro ced ures in t h is m an ual are in t en d ed f o r gen eral usage. Wh ere excep t io n s are t o b e m ad e, Trad in g Part icip an t s sh o uld exercise d iscret io n an d goo d jud gm en t acco rd in gly. In case of d o ub t, Trad in g Part icip an t s sh o uld ch eck w it h t h e Exch an ge Op erat io n s Divisio n of BMD. 1.2 Intended Audience Th is m an ual is in t en d ed f o r t h e use o f all p erso n s in volved in t h e execut io n of t ran sact io n s on t h e Exch an ge. 1.3 Ownership and Custody of Manual Th e o w n er of t h is m an ual is BMD. BMD m ay, f ro m t im e t o t im e, in co rp o rat e in t o t h is m an ual ch an ges o r am en d m en t s in lin e w it h p o licy an d p ro ced ure ch an ges No p art o f t h is m an ual is t o b e rep ro d uced o r t ran sm it t ed in an y f o rm o r b y an y m ean s, elect ro n ic o r m ech an ical, in clud ing p h o t o co pyin g, reco rd in g o r an y in f o rm at ion st o rage an d ret rieval syst em, w it h o ut t h e p erm issio n in w rit in g f ro m t h e Head o f BMD Exch ange Op erat io n s. 1.4 Customer Support On 17 th Sep t em b er 2009, BMD en t ered in t o t he Glo b ex Services Agreem en t ( GSA ) w it h t h e Ch icago Mercan t ile Exch ange Gro up ( CME ). Th e agreem en t is t o h o st all exist in g BMD p ro d uct s o n CME s Glo b ex elect ro n ic t rad e execut io n syst em via an Ap p licat io n Services Pro vid er ( ASP ) m o d el. Fo r cust o m er sup p o rt, CME Glo b al Co m m an d Cen t er ( GCC ) is t h e co n t act p o in t. Th e GCC p rovid es Glo b ex cust o m er sup p o rt an d p ro b lem m anagem en t on ly t o m em b ers, clearin g m em b ers an d cust o m ers d esign at ed by clearing m em b ers. In o rd er t o b e eligib le f o r GCC sup p o rt, such p erso n s m ust regist er w it h t h e GCC ( Regist ered Co n t act s ). Th e GCC p ro vid es cust o m er sup p o rt via a sp ecif ied t elep h on e n um b er an d d urin g sp ecif ied h o urs. GCC em p lo yees m ay n o t alw ays b e availab le t o assist Regist ered Co n t act s. Perso n s o t h er t h an Regist ered Co n t act s, in clud in g n on -m em b ers w it h Glo b ex access m ust co n t act t h eir clearing m em b ers t o m ake sup p o rt req uest s. Fo r cust o m er sup p o rt an d p ro b lem m an agem en t, Trad in g Part icip an t s are t o call t h e GCC at t elep h on e num b er: (+ 603) f o r Trad e can cellat ion o r Ord er st at us/can cellat ion an d m o d if icat io n. Annexure 2 15

19 1.5 Compliance in relation to access, connectivity, specifications or use of CME Globex Trading Participants must ensure compliance with all requirements in relation to access, connectivity, specification or use of CME Globex as may be prescribed by the Exchange or CME whether via directives or otherwise and whether issued to the Trading Participants or to their agents as the case may be. Annexure 2 16

20 2. Orders Th is sect io n d escrib es t h e o rd er t yp es an d q ualif iers t h at are co m p at ib le w it h CME Glo b ex. Order Types Futures Options Lim it X X Market Ord ers w it h Pro t ect io n X X Market -lim it X X ANNEXURE 2 St o p -lim it St o p Ord ers w it h Pro t ect io n X X Hid d en Quan t it y X X Min im um Quan t it y X X 2.1 Futures and Options Order Types Th e f o llow in g o rd er t yp es are sup p o rt ed b y CME Glo b ex f o r b o t h f ut ures an d o p t ion s: Lim it Or d ers Market -lim it Ord er s Market Ord ers w it h Pro t ect io n Limit Orders Lim it o rd ers allo w t h e b uyer t o d ef in e t h e m axim um p urch ase p rice f o r b uyin g an in st rum en t an d t h e seller t o d ef in e t h e m in im um sale p rice f o r sellin g an in st rum en t. An y p o rt io n o f t h e o rd er t h at can b e m at ch ed is im m ed iat ely execut ed. Lim it o rd er s sub m it t ed f o r b uyin g an in st rum en t are execut ed at o r b elow t h e lim it p rice. Lim it o rd e rs sub m it t ed f o r selling an in st rum en t are execut ed at o r ab o ve t h e lim it p rice. A lim it o rd er r em ain s o n t h e b o o k un t il t h e o rd er is eit h er execut ed, can celled, o r exp ires Market-limit Orders Market -lim it o rd ers are execut ed at t h e b est p rice avai lab le in t h e m arket. If t h e m arket -lim it o rd er can on ly b e p art ially f illed, t h e o rd er b eco m es a lim it o rd er an d t h e rem ain in g q uan t it y rem ain s o n t h e o rd er b o o k at t h e sp ecif ied lim it p rice. Exam p le: Market -lim it Ord er (Bid ) 1. Th e clien t sen d s a New Ord er t o CME Glo b ex. - Bid, FKLIZ8, Market -Lim it. 2. CME Glo b ex resp o n d s w it h an Execut io n Repo rt - Ord er Co nf irm at io n. 3. Th e m arket -lim it o rd er b eco m es a lim it o rd er at t h e b est availab le m arket p rice (900). Annexure 2 17

21 4. CME Glo b ex sen d s an Execut io n Rep o rt - Part ial Fill. - 2-Lo Th e rem ain in g q uan t it y rest s o n t h e b o o k at Market Orders with Protection Market o rd ers w it h p ro t ect io n are in t en d ed t o avo id cascad in g m arket o rd ers b ein g f illed at ext rem e p rices. Market o rd ers w it h p ro t ect io n are f illed w it h in a p re-d ef in ed ran ge o f p rices ref erred t o as t h e p ro t ect ed ran ge. Fo r b id o rd ers, p ro t ect io n p o in t s are ad d ed t o t h e curren t b est o f f er p rice t o calculat e t h e p ro t ect io n p rice lim it. Fo r o f f er o rd ers, p ro t ect io n p o in t s are sub t ract ed f ro m t h e curren t b est b id p rice. CME Glo b ex m at ch es t h e o rd er at t h e b est availab le p rice level w it ho ut exceed in g t h e p ro t ect io n p rice lim it. If t h e en t ire o rd er can n o t b e f illed w it h in t h e p ro t ect ed ran ge im m ed iat ely, t h e u n f illed q uan t it y rem ain s in t h e o rd er b o o k as a lim it o rd er at t h e lim it o f t h e p ro t ect ed ran ge. Th e p ro t ect ed ran ge is 50% o f t h e "n o b ust " ranges f o r p ro d uct s Example: Market Order with Protection Bid Th e f ollo w in g exam p le illust rat es h o w t h e clien t in t eract s w it h CME Glo b ex t o p ro cess a m arket o rd er w it h p ro t ect io n b id. 1. Th e clien t sen d s a Market Ord er t o CME Glo b ex. - Bid, FKLIZ8, Market Ord er. - Best Of f er = 900 an d Pro t ect io n Po in t s = Pro t ect io n Price Lim it = = CME Glo b ex sen d s an Execut io n Rep o rt - Part ial Fill. 2-Lo CME Glo b ex sen d s an Execut io n Rep o rt - Part ial Fill. 3-Lo CME Glo b ex sen d s an Execut io n Rep o rt - Part ial Fill. 3-Lo Next Best Of f er = 967. Th is value exceed s t h e p ro t ect io n p rice lim it. CME Glo b ex p l aces t h e rem ain in g q uan t it y on t h e o rd er b o o k at a p rot ect io n p rice lim it o f Example: Market Order with Protection Offer Th e f ollo w in g exam p le illust rat es h o w t h e clien t in t eract s w it h CME Glo b ex t o p ro cess a m arket o rd er w it h p ro t ect io n o f f er. 1. Th e clien t sen d s a Market Ord er t o CME Glo b ex. - Of f er, FKLIZ8, Market Ord er. - Best Bid = 900 an d Pro t ect io n Po in t s = 60 - Pro t ect io n Price Lim it = = CME Glo b ex sen d s an Execut io n Rep o rt - Part ial Fill. Ord ers 2-Lo CME sen d s an Execut ion Rep o rt - Part ial Fill. Annexure 2 18

22 3-Lo CME Glo b ex sen d s an Execut io n Rep o rt - Part ial Fill. 3-Lo Next Best Bid = 830. Th is value is b elow t h e p ro t ect io n p rice lim it. CME Glo b ex p laces t h e rem ain in g q uan t it y on t h e o rd er b o o k at a p rot ect io n p rice lim it o f Futures Order Types Th e f o llow in g o rd er t yp es are sup p o rt ed b y CME Glo b ex f o r f ut ures o nly: St o p -lim it Ord er s St o p Ord ers w it h Pro t ect io n Stop-limit Orders St o p -lim it o rd ers are act ivat ed w h en an o rder's t rigger p rice is t rad ed in t h e m arket. Fo r a b id o rd er, t h e t rigger p rice m ust b e h igh er t h an t h e last t rad ed p rice. Fo r a sell o rd er, t h e t rigger p rice m ust b e lo w er t han t h e last t rad ed p rice. Af t er t h e t rigger p rice is t rad ed in t h e m arket, t h e o rd er en t ers t h e o rd er b o o k as a lim it o rd er at t h e o rd er lim it p rice. Th e lim it p r ice is t h e h igh est /lo w est p rice at w h ich t h e st o p o rd er can b e f illed. Th e o rd er can b e f illed at all p rice levels b et w een t h e t rigger p rice an d t h e lim it p rice. If any q uan t it y rem ain s un f illed, it rem ain s o n t h e o rd er b oo k as a lim it o rd er at t h e lim it p r ice Stop Orders with Protection St o p o rd ers w it h p ro t ect io n are in t en d ed t o avo id cascad in g st o p o rd ers b ein g f illed at ext rem e p rices. A st o p o rd er w it h p ro t ect io n is act iv at ed w h en t h e m arket t rad es at t h e st o p t rigger p rice an d can o nly b e execut ed w it h in t h e p ro t ect io n ran ge lim it s. Th e o rd er en t ers t h e o rd er b o o k as a lim it o rd er w it h t h e p ro t ect io n p rice lim it eq ual t o t h e t rigger p rice p lus o r m in us t h e p re -d ef in ed p ro t ect io n p o in t ran ge. Pro t ect io n p o in t ranges are eq ual t o 50% o f t h e p ro d uct 's "no b ust ran ge. Fo r b id o rd ers, p ro t ect io n p o in t s are ad d ed t o t h e t rigger p rice t o calculat e t h e p ro t ect io n p rice lim it. Fo r o f f er o rd ers, p ro t ect io n p o in t s are sub t ract ed f ro m t h e t rigger p rice. CME Glo b ex m at ch es t h e o rd er at all p rice levels b et w een t h e t rigger p rice an d t h e p ro t ect ion p rice lim it. If t h e o rd er is n o t co m plet ely f illed, t h e rem ain in g q uan t it y is p laced in t h e o rd er b o ok at t h e p ro t ect io n p rice lim it. Ref er t o St o p Sp ike Lo gic f o r m o re in f o rm at io n Example: Stop Order with Protection Bid Th e f ollo w ing exam p le illust rat es ho w t h e clien t in t eract s w it h CME Glo b ex t o p ro cess a st op o rd er w it h p ro t ect io n b id. 1. Th e clien t sen d s a Market Ord er t o CME Glo b ex. Bid, FKLIZ8, St o p Ord er, 900 Trigger Price 2. A t rad e o ccurs at t h e t rigger p rice of 900. The o rd er is act ivat ed an d CME Glo b ex resp o n d s w it h an Execut io n Rep o rt - Ord er Co n f irm at ion (No t if icat io n t h at o rd er w as t riggered ). Ord ers Trigger Pr ice = 900, Pro t ect io n Po in t s = 60 Pro t ect io n Price Lim it = = CME Glo b ex sen d s an Execut io n Rep o rt - Part ial Fill. Annexure 2 19

23 2-Lo CME Glo b ex sen d s an Execut io n Rep o rt - Part ial Fill. 3-Lo CME Glo b ex sen d s an Execut io n Rep o rt - Part ial Fill. 3-Lo Next Best Of f er = 967. Th is value exceed s t h e p ro t ect io n p rice lim it. CME Glo b ex p laces t h e rem ain in g q uan t it y on t h e o rd er b o o k at a p rot ect io n p rice lim it o f Example: Stop Order with Protection Offer Th e f ollo w ing exam p le illust rat es ho w t h e clien t in t eract s w it h CME Glo b ex t o p ro cess a st op o rd er w it h p ro t ect io n of f er. 1. Th e clien t sen d s a New Ord er t o CME Glo b ex. Of f er, FKLIZ8, St o p Ord er (w it h p ro t ect io n ), 900 Trigger Price 2. CME Glo b ex resp o n d s w it h an Execut io n Repo rt - Ord er Co nf irm at io n. 3. A t rad e o ccurs at t h e t rigger p rice o f 900. The clien t 's o rd er is act ivat ed an d CME Glo b ex resp o n d s w it h an Execut ion Rep o rt - Ord er Co n f irm at io n (No t if icat io n t h at o rd er w as t riggered ). Trigger Pr ice = 900, Pro t ect io n Po in t s = 60 Pro t ect io n Price Lim it = = CME Glo b ex sen d s an Execut io n Rep o rt - Part ial Fill. 2-Lo CME Glo b ex sen d s an Execut io n Rep o rt - Part ial Fill. 3-Lo CME Glo b ex sen d s an Execut io n Rep o rt - Part ial Fill. 3-Lo Next Best Bid = 830. Th is value is b elow t h e p ro t ect io n p rice lim it. CME Glo b ex p laces t h e rem ain in g q uan t it y on t h e o rd er b o o k at a p rot ect io n p rice lim it o f Options Order Types Th e f o llow in g o rd er t yp e is sup p o rt ed b y CME Glo b ex f o r o p t ion s o nly: Cab in et Ord ers Cabinet Orders CME Glo b ex f ully sup p o rt s cab in et p riced o p t io n o rd ers. A cab in et is an o p t io n p rem ium f o r an o rd er t h at is sub m it t ed f o r d eep o ut -of-t h e-m o n ey o p t io n s co n t ract s d ef in ed b y Clearin g as t h e lo w est t rad ab le p rice f o r t h e o p t io n. Th e cab in et o rd er allo w s t h e user t o en t er an o p t io n o rd er w it h a p rice t h at is less t h an t h e m in im um p rice m o vem en t an d h ave CME Glo b ex reco gn ize t h e p rice as valid. Cab in et t rad es o n CME Glo b ex are execut ed at a p rice eq ual t o zero f o r m o st CME Glo b ex p ro d uct s. Fo r eq uit y an d in t erest rat e p r o d uct s, t h e m in im um t ick value (n on -zero ) is co n sid ered cab in et. Annexure 2 20

24 2.4 Order Qualifiers Ord er q ualif iers est ab lish t h e d urat io n t h at t he o rd er is act ive. Ord er q ualif iers are n o t relat ed t o p rice o r vo lum e m o d if icat ion. CME Glo b ex p ro vid es t h e t rad er w it h t h e f o llow in g o rd er q ualif iers: Day Go o d -Till-Can celled (GTC) Go o d -Till-Dat e (GTD) Fill-an d -Kill (FAK) Fill-or-Kill (FOK) Day Day o rd ers are in t en d ed t o b e act ive o n ly d urin g t h at t rad in g d ay. Day o rd ers aut o m at ically exp ire at t h e en d o f t h e d ay an d d o no t carry over t o t h e n ext t rad e d at e. CME Glo b ex assum es t h at all o rd ers are d ay o rd ers un less o t h erw ise sp ecif ied Good-Till-Cancelled (GTC) GTC o rd ers rem ain act ive in t h e o rd er b o o k un t il t h ey are co m p let ely execut ed, can celled or w h en t h e in st rum en t exp ires Good-Till-Date (GTD) GTD o rd ers rem ain act ive o n t h e o rd er b o o k un t il t h ey are co m plet ely execut ed, exp ire at t h e sp ecif ied d at e, are can celled, o r w h en t h e in st rum en t exp ires Fill-and-Kill (FAK) FAK o rd ers ar e im m ed iat ely execut ed again st rest in g o rd ers. If t h e o rd er can n o t b e f ully f illed, t h e rem ain in g b alan ce is can celled. A m in im um q uan t it y can b e sp ecif ied. If t h e sp ecif ied m in im um q uan t it y cann o t b e f illed, t h e o rd er is can celled Fill-or-Kill (FOK) FOK o rd ers m ust b e f ully f illed im m ed iat ely o r t h e en t ire o rd er is can celled. An FOK o rd er is creat ed b y usin g t h e FAK q ualif ier an d set t in g t h e m in im um q uan t it y t o t h e o rigin al o rd er q uan t it y. 2.5 Display Quantity Th e d isp lay q uan t it y allo w s yo u t o con t rol t h e m an n er in w h ich t rad es are rep o rt ed in t h e m arket. Also ref erred t o as "m axim um sh o w ", t h e d isp lay q uan t it y allo w s yo u t o sp ecif y w h et h er o r n o t t h e en t ire q uan t it y of an o rd er is rep o rt ed t o t h e m arket. Yo u can exp o se t h e o rd er t o t h e m arket grad ually. Fo r exam p le, a user m ay p lace an o rd er w it h a q uan t it y o f If a d isp lay q uan t it y value of 100 is sub m it t ed w it h t h e o rd er, n o m o re t h an 100 co n t ract s are exp o sed t o t h e m arket at an y t im e. Each t im e 100 co n t ract s are f illed, t h e n ext 100 co n t ract o rd er is en t ered in t o t h e m arket as a n ew o rd er. 2.6 Minimum Quantity Th e user can sp ecif y a m in im um q uan t it y w h ich m ust b e execut ed f o r t h e o rd er. Th e en t ire o rd er q uan t it y is d isp layed t o t h e m arket. Th e f o llow in g rules ap p ly t o Min im um Quan t it y: Annexure 2 21

25 If an o rd er sp ecif ies a m in im um q uan t it y, t h en at least t h e m in im um q uan t it y m ust b e f illed im m ed iat ely. If at least t h e m in im um q uan t it y can no t b e f illed, t h en t h e en t ire o rd er is can celled. If t h e m in im um q uan t it y o r m o re is f illed, t h en t h e rem ain in g q uan t it y is p laced o n t h e b o ok. If an o rd er has a m in im um q uan t it y eq ual t o t h e t o t al o rd er quan t it y t h en t h e en t ire o rd er f ills im m ed iat ely o r it is can celled. If an o rd er d o es n o t sp ecif y a m in im um q uan t it y, t h en t h e o rd er is t reat ed as a regular o rd er. 2.7 Additional Information See t h e t o p ics b elo w f o r ad d it io n al in f o rm at ion o n o rd ers Stop Spike Logic In t h eo ry, cascad in g st o p o r d ers co uld cause t h e m arket t o t rad e o ut sid e o f p red ef in ed values (t yp ically t h e sam e as t h e n o b ust ran ges). St o p sp ike lo gic p reven t s such excessive p rice m o vem en t s b y in t ro d ucin g a m o m en t ary p ause in m at ch in g. Th e af f ect ed in st rum en t is p laced in a reserved st at e. Th is m o m en t ary t rad in g p ause allo w s n ew o rd ers t o b e en t ered an d m at ch ed again st t h e t riggered st o p s in an algo rit h m sim ilar t o m arket o p en in g. Wh en ever a lead m on t h f ut ures in st rum en t is p laced in t h e reserved st at e, t h e o p t io n s aut o -reserve f un ct io n alit y aut o m at ically p auses m at ch ing in t h e asso ciat ed o p t ion s an d o p t ion s sp read s m arket s. All rest in g m ass q uo t es are can celled w h en t h e aut o -reserve f un ct ion alit y is in it iat ed. Th is st at e is m ain t ain ed f o r a f ew secon d s af t er t h e f ut ures co n t r act h as resum ed t rad in g. Durin g t h e reserved p erio d, cust o m ers can sub m it, m o d if y an d cancel o rd ers. Mass q uo t es ar e reject ed GTC/GTD Outside Daily Price Limits Th e GTC o r GTD o rd er cann o t b e f illed o ut sid e t h e d aily h igh /lo w p rice lim it at an y t im e GTD or GTC Example: 1. A GTD o r GTC o rd er t o b uy is en t ered o n 10/9/2008. Th e d aily p rice lim it s are 1000 m in im um an d 1500 m axim um Th e GTD o r GTC o rd er is p laced o n t h e b o o k 2. Th e m arket clo ses an d reo p en s o n 11/9/2008 w it h p rice lim it s o f 800 f o r t h e m in im um an d 1300 f o r t h e m axim um. 3. A sell o rd er co m es in t o t h e b o o k t o sell 10 w h ich m at ch es t h e b uy o rd er at Th e o rd er is f illed at 1200, w it h in t h e lim it s t h at w ere in p lace o n 10/9/ Conflicting Order Status A p erso n w h o b elieves h e h as received an in co rrect o rd er st at us o r d o es n o t receive an ap p r o p riat e st at us sh all im m ed iat ely n o t if y t h e GCC. Ad dit io n ally, such p erso n sh all t ake an y n ecessary an d ap p ro p riat e m arket act io n t o m it igat e an y pot en t ial lo sses arisin g f ro m t h e in co rrect o rd er st at us o r lack of ap p ro p riat e o rd er st at us im m ed iat ely af t er t h e p erso n kn ew o r sh ould h ave kno w n t h at t h e o rd er st at us in f o rm at io n w as in co rrect o r sh ould h ave b een received. Annexure 2 22

26 Th e Exch an ge m ay p ro vid e p rio r n o t if icat ion t h at an Exchan ge syst em, service o r f acilit y m ay p ro d uce such in co rrect in f o rm at ion an d also p ro vid e n o t if icat ion of a m ean s t o o b t ain co rrect o rd er st at us in f o rm at io n f ro m such syst em, ser vice o r f acilit y. In t h e even t t h at t h e GCC an d an Exch ange syst em, service o r f acilit y p rovid e co nf lict in g in f o rm at ion relat in g t o an o rd er st at us, a cust o m er m ay on ly reason ab ly rely o n t h e in f o rm at io n received f ro m t h e GCC. Annexure 2 23

27 3. Options and Options Spreads Op t io n s p ro vid e f in an cial f lexib ilit y t o t h e in vest m en t co m m un it y as an o t h er t yp e o f exch ange - t rad ed d erivat ive p ro d uct. An o p t io n on a f ut ures co n t ract p rovid es t h e b uyer t h e righ t, b ut no t t h e o b ligat ion, t o b uy o r sell an un d erlyin g f ut ures co n t ract at a sp ecif ic p rice. Th e st ruct ure o f an o p t io n of f ers t h e t rad er t h e ab ilit y t o lim it t h e risk t aken. All CME Group o p t io n sp read s are user -d ef in ed o n t h e CME Glo b ex p lat f o rm t o m in im ize t h e am o un t o f m ain t en an ce an d t im e co m m it m en t req uired t o d o w n lo ad t h e Securit y Def in it io n of all p o ssib le sp read s. A User-Def in ed Sp read (UDS) is an o p t io n sp read t h at CME Glo b ex creat es f ro m a t rad er req uest t h at d ef in es t h e sp read legs an d rat io s. CME Glo b ex receives t h e req uest an d creat es a t rad ab le in st rum en t t h at is d issem in at ed t o t h e en t ire m arket. 3.1 Options Naming Conventions Th e n am in g co nven t ion s f o r CME o p t ion s und erlyin g co n t ract in st rum en t s are con st ruct ed usin g t h e syn t ax of : Pro d uct Co d e Co n t ract m o n t h /year Sp ace Typ e o f st rike (C = Call; P = Put ) St r ike Pr ice Fo r exam p le, t h e July 2012 OKLI Op t io n 1620 Call o p t io n co n t ract is sh o w n as, OKLI C. In t h e case o f a OCPO Call Op t ion 3250 w it h t h e un d erlyin g o f FCPO Sep 2012 it is sho w n as, OCPOSEP C 3.2 Options Spreads Naming Conventions In t h e MDP FIX/FAST Securit y Def in it io n (t ag 35-MsgTyp e= d ) m essage, t ag 107-Securit ydesc d o es n o t co n t ain suf f icien t in f o rm at io n t o d escrib e a CME Glo b ex un reco gn ized o p t ion sp read in st r um en t. Th e d isp lay n am e of t h e o p t io n s sp read m ust b e d erived f ro m t h e rep eat in g gro up t ags f o r each leg 3.3 CME Globex Exchange Recognized Spread Type If t h e sp read b ein g req uest ed b y t h e user is id en t if ied as o n e o f t h e CME Glo b ex st an d ard sp read t yp es, t h at sp ecif ic sp r ead in st rum en t w ill b e creat ed an d a n o t ice of t h e sp read 's availab ilit y w ill b e d ist rib ut ed t o t h e en t ire m arket. Th is is ref er red t o as a CME Glo b ex exch an ge recogn ized sp read t yp e. A list o f all CME Glo b ex exchange recogn ized sp read t yp es are d escrib ed in d et ail in t h is m an ual. 3.4 CME Globex Unrecognized Spread Type If t h e sp read b ein g req uest ed b y t h e user is no t id en t if ied as on e of t h e CME Glo b ex st an d ard sp read t yp es, t h e sp read in st rum en t w ill b e creat ed exact ly as t h e user req uest ed an d a n ot ice o f t h e sp read 's availab ilit y w ill b e d ist rib ut ed t o t h e en t ire m arket. Th is is ref erred t o as a Gen eric sp read t yp e. Th e Gen eric (GN) sp read t yp e m akes all CME Glo b ex sp read co n f igurat ion s availab le f o r all CME o p t io n s. Th is en ab les users t o creat e o p t io n sp read in st r um en t s w it h co nf igurat ion s n o t o rd in arily sup p o rt ed f o r an o p t io n p ro d uct. Annexure 2 24

28 Ad d it io n ally, t h e user can creat e o p t ion in st rum en t s co m p rised o f m ult ip le sp read t yp es w h ich is n o t sup p o rt ed w it h exch an ge-d ef in ed sp read s. A co m b in at io n co uld b e creat ed b y jo in in g t h e co nf igurat ion s o f a Vert ical o p t ion sp read an d Xt ree o p t io n sp read in t o a un iq ue Gen eric sp read. Gen eric st rat egies can b e d ef in ed up t o 40 legs an d also allow s users t o creat e d elt a n eut ral st rat egies. Gen eric sp read w o rks in con jun ct io n w it h covered User Def in ed Sp read s an d can b e used f o r an o ut righ t o p t ion o r o p t ion sp read. UDS f un ct io nalit y d o es no t sup p o rt in t erco m m o d it y sp read s. 3.5 Exchange Recognized Options Spread Construction Summary CME Glo b ex o f f ers exch an ge recogn ized Op t io ns Sp read Typ es as o ut lin ed in t h e t ab le b e lo w. Note: Not all of these pre-listed strategies are available to all product groups. Table 3.5 Spread Type Compatibility Summary Options Strategy Type Code Construction Calen d ar Ho rizo n t al HO Call Ho rizon t al: Sell1callst rike1exp 1 Buy1callst rike1exp 2 Put Ho rizon t al: Sell1p ut st rike1exp 1 Buy1p ut st rike1exp 2 Calen d ar Diago n al DG Call b uy1callst rike1exp 1 sell1callst rike2exp 2 Put b uy1 p ut st rike1exp 1 sell1 p ut st rike2exp 2 St rad d le ST Buy1callst rike1exp 1 Buy1p ut st rike1exp 1 St ran gle SG Buy1p ut st rike1exp 1 Buy1callst rike2exp 1 Vert ical VT Call Buy1callst rike1exp 1 Sell1callst rike2exp 1 Put Buy1p ut st rike2exp 1 Sell1p ut st rike1exp 1 Bo x BX Buy1callst rike1exp 1 Annexure 2 25

29 Sell1p ut st rike1exp 1 Buy1p ut st rike2exp 1 Sell1callst rike2exp 1 But t erf ly BO Call Buy1callst rike1exp 1 Sell2callst rike2exp 1 Buy1callst rike3exp 1 Put Buy1p ut st rike3exp 1 Sell2p ut st rike2exp 1 Buy1p ut st rike1exp 1 Con d it io n al Curve CC Call Buy1callst rikeexp 1in st r1 Sell1callst rikeexp 1in st r2 Put Buy1p ut st rikeexp 1 in st r1 Sell1p ut st rikeexp 1 in st r2 Con d o r CO Call Buy1callst rike1exp 1 Sell1callst rike2exp 1 Sell1callst rike3exp 1 Buy1callst rike4exp 1 Put Buy1p ut st rike4exp 1 Sell1p ut st rike3exp 1 Sell1p ut st rike2exp 1 Buy1p ut st rike1exp 1 Do ub le 1 DB Call Buy1callst rike1exp 1 Buy1callst rike2exp 1 Put Buy1p ut st rike2exp 1 Buy1p ut st rike1exp Ho rizon t al St rad d le HS Buy1callst rike1exp 2 Buy1p ut st rike1exp 2 Sell1callst rike1exp 1 Sell1p ut st rike1exp 1 Iro n Con d o r IC Sell1p ut st rike1exp 1 Buy1p ut st rike2exp 1 Annexure 2 26

30 Buy1callst rike3exp 1 Sell1callst rike4exp 1 Rat io 1x2 12 Call Buy1callst rike1exp 1 Sell2callst rike2exp 1 Put Buy1p ut st rike2exp 1 Sell2p ut st rike1exp 1 Rat io 1x3 13 Call Buy1callst rike1exp 1 Sell3callst rike2exp 1 Put Buy1p ut st rike2exp 1 Sell3p ut st rike1exp 1 Rat io 2x3 23 Call Buy2callst rike1exp 1 Sell3callst rike2exp 1 Put Buy2p ut st rike2exp 1 Sell3p ut st rike1exp 1 St rip SR Call Buy1callst rike1exp 1 Buy1callst rike1exp 2 Buy1callst rike1exp 3 Buy1callst rike1exp 4 Put Buy1p ut st rike1exp 1 Buy1p ut st rike1exp 2 Buy1p ut st rike1exp 3 Buy1p ut st rike1exp 4 Risk Reversal RR Buy1callst rike2exp 1 Sell1p ut st rike1o r2exp 1 St rad d le St rip s SS Buy1callst rike1exp 1 Buy1p ut st rike1exp 1 Buy1callst rike1exp 2 Buy1p ut st rike1exp 2 Buy1callst rike1exp 3 Buy1p ut st rike1exp 3 Buy1callst rike1exp 4 Annexure 2 27

31 Buy1p ut st rike1exp 4 Xm as Tree XT Call Buy1callst rike1exp 1 Sell1callst rike2exp 1 Sell1callst rike3exp 1 Put Buy1p ut st rike3exp 1 Sell1p ut st rike2exp 1 Sell1p ut st rike1exp 1 3-Way 3W Call Buy1callst rike2exp 1 Sell1callst rike3exp 1 Sell1p ut st rike1exp 1 Put Buy1p ut st rike2exp 1 Sell1p ut st rike1exp 1 Sell1callst rike3exp 1 Iro n But t erf ly IB (eye-b) Sell1p ut st rike1exp 1 Buy1p ut st rike2exp 1 Buy1callst rike2exp 1 Sell1callst rike3exp 1 Jelly Roll JR Buy Sell1callst rike1exp 1 Buy1p ut st rike1exp 1 Buy1callst rike2exp 2 Sell1p ut st rike2exp 2 Sell Buy1callst rike1exp 1 Sell1p ut st rike1exp 1 Sell1callst rike2exp 2 Buy1p ut st rike2exp 2 Gut s GT Buy1callst rike1exp 1 Buy1p ut st rike2exp 1 3-w ay: St rad d le versus Call 3-w ay: St rad d le versus 3C Con st ruct io n : Buy1callst rike1exp 1 Buy1p ut st rike1exp 1 Sell1callst rike(?)exp 1 3P Buy1callst rike1exp 1 Buy1p ut st rike1exp 1 Annexure 2 28

32 Put Sell1p ut st rike(?)exp Options Spread Description All st rat egies d escrib ed in t h e t ext b elo w are sh ow n f ro m t h e b uyer's p ersp ect ive Calendar (Horizontal or Diagonal) A Ho rizo n t al (HO) o p t io n sp read co n sist s of b uyin g a call (p ut ) in on e exp irat io n m on t h an d selling a call (p ut ) in an o t h er exp irat io n m on t h at t h e sam e st rike. A Diago n al (DG) o p t ion sp read consist s o f b uyin g a call (p ut ) in o n e exp irat io n m on t h and sellin g a call (p ut ) in an o t h er exp irat io n m ont h at a d if f eren t st rike p r ice Horizontal A h o rizo n t al (HO) o p t ion sp read co n sist s o f b uyin g a call (p ut ) at a st rike in t h e f ar m o n t h, an d sellin g a call (p ut ) at t h e sam e st rike in t h e n ear m o n t h. Spread ratio: (Buy 1: Sell 1) Call Horizontal Con st ruct io n : Buy1callst rike1exp 1 Sell1callst rike1exp 2 Example: Call Horizontal Buy 1 Decem b er 2008 OKLI 1260 Call an d Sell 1 July 2008 OKLI 1260 Call Buy Call 1 Put Horizontal Con st ruct io n : Buy1p ut st rike1exp 1 Sell1put st rike1exp 2 Example: Put Horizontal Buy 1 Decem b er 2008 OKLI 1260 Call an d Sell 1 July 2008 OKLI 1260 Call Buy Put Diagonal A Diago n al (DG) o p t io n sp read co n sist s o f buyin g a call (p ut ) in on e exp irat io n m on t h an d selling a call (p ut ) in an o t h er exp irat io n m o n t h at a d if f eren t st rike p rice. A Diago n al (DG) UDS is a reco gn ized UDS t yp e in all CME Glo b ex o p t io n s m arket s. Spread ratio: (Buy 1: Sell 1) Call Diagonal Con st ruct io n : Buy1callst rike1exp 1 Sell1callst rike2exp 2 Example: Call Spread Buy 1 Decem b er 2008 OKLI 1260 Call an d Sell 1 July 2008 OKLI 1280 Call Buy Call 1 Annexure 2 29