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Nikkei 225 (Yen) Futures
New Normal Daily Settlement Procedure
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Tier 3: If a two sided market is not available on Globex during the closing period, then the cash index will be used in the following Carry calculation to derive a settlement price.
Index price + [(Days to expiration/ 365) x Interest rate x Index price)]
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Index price + [(Days to expiration/ 365) x Interest rate x Index price)]
Back Months
To derive settlements for all remaining months, the following Carry calculation will be used to derive a settlement prices provided that this value does not violate the bid or ask between 14:59:30 and 15:00:00 CT for the respective outrights.
Index price + [(Days to expiration/ 365) x Interest rate x Index price)]
Note
The Index Price used in the Carry calculation in this methodology, for futures that settle at a different time than their underlying Cash Equity Index, will be a ‘Synthetic’ Index price. This ‘Synthetic’ price will be derived by taking the Lead month futures contract minus the Cash Index at the cash close to calculate a Basis. At the futures settlement time, the Lead Month settlement minus the Basis will equal the ‘Synthetic’ Index price. The Interest Rate component used in the Carry calculation in this methodology is derived by subtracting expected dividends from a normalized interest rate curve.
Final Settlement
The final settlement price shall be the special opening quotation of the Nikkei Stock Average which is used to settle the Nikkei Stock Average Futures at the Osaka Securities Exchange, rounded to the nearest 1/100 th of an index point. This value will usually be based on the opening of the second Friday of the contract month.
Additional Details
For information regarding the SOQ, please see the following links:
Nikkei 225 Yen (NIY) and E-mini Nikkei 225 Yen (ENY) futures are cash settled upon expiration. For additional details, please see the CME Rulebook (Chapter 352B).
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