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Nikkei 225 (Dollar) Futures
Normal Daily Settlement Procedure
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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 1/100th 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 Dollar (NKD) futures are cash settled upon expiration. For additional details, please see the CME Rulebook (Chapter 352).
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