| Market: | Amsterdam |
| Products: | Derivatives |
| Date: | 12 February 2008 |
Daily options on AEX index
Go live 31 March 2008
Further to the success of the AEX weekly options, LCH.Clearnet is pleased to announce the launch of daily options on AEX index. These products will be listed within LIFFE CONNECT ® and will be cleared by LCH.Clearnet.
Please find attached the circular issued by Liffe.
Clearing service
Apart from their short lifetime of two trading days, AEX daily options will have similar contract specifications to other options already available on the AEX index. They will be cash settled at expiry date (2nd day of trading).
Daily options will be cleared as the other AEX options in LCH.Clearnet’s derivatives clearing system:
- Cut off time for exercise is 07:15pm (CET), and the close of the clearing session is 07:30pm (CET),
- Same exercise process,
- Clearing operations also reported in the OPEJ and PR3 files,
- Same fee grid,
- Margin requirements calculated as the current AEX contracts: same SPAN® algorithm and same parameters.
Testing period from 28 February 2008
These instruments will be available on the testing platforms from 28 February 2008 in order to allow members to carry out free tests (full chain of trading and clearing).
Testing is not mandatory but recommended especially if clearing Members’ internal processes require updates.
Please let us know by return e-mail your intention to enter the testing phase.
List of contracts dedicated to the test
Every AEX daily option contract expiring in a particular calendar month will have its own trading symbol consisting of the letter “A” plus one or two digits to indicate the date in the month on which the option expires. Therefore a daily option expiring on Monday 10 March 2008 would be identified by the symbol A10.
| Expiry Day | Contract Creation | First Trading Date | Expiry | Contract Name |
|---|---|---|---|---|
| Monday | 28/02/2008 | 29/02/2008 | 03/03/2008 | A3 |
| Tuesday | 29/02/2008 | 03/03/2008 | 04/03/2008 | A4 |
| Wednesday | 03/03/2008 | 04/03/2008 | 05/03/2008 | A5 |
| Thursday | 04/03/2008 | 05/03/2008 | 06/03/2008 | A6 |
| Friday | N/A | N/A | N/A | N/A |
| Monday | 06/03/2008 | 07/03/2008 | 07/03/2008 | A10 |
| Tuesday | 07/03/2008 | 10/03/2008 | 11/03/2008 | A11 |
| Wednesday | 10/03/2008 | 11/03/2008 | 12/03/2008 | A12 |
| Thursday | 11/03/2008 | 12/03/2008 | 13/03/2008 | A13 |
| Friday | N/A | N/A | N/A | N/A |
| Monday | 13/03/2008 | 14/03/2008 | 17/03/2008 | A17 |
| Tuesday | 14/03/2008 | 17/03/2008 | 18/03/2008 | A18 |
| Wednesday | 17/03/2008 | 18/03/2008 | 19/03/2008 | A19 |
| Thursday | N/A | N/A | N/A | N/A |
| Friday | N/A | N/A | N/A | N/A |
| Monday | N/A | N/A | N/A | N/A |
| Tuesday | 19/03/2008 | 20/03/2008 | 25/03/2008 | A25 |
| Wednesday | 20/03/2008 | 25/03/2008 | 26/03/2008 | A27 |
| Thursday | 25/03/2008 | 26/03/2008 | 27/03/2008 | A27 |
| Friday | N/A | N/A | N/A | N/A |
| Monday | 27/03/2008 | 28/03/2008 | 31/03/2008 | A31 |
For further information, please contact:
your LCH.Clearnet SA product implementation manager:
Christophe Robert: +33 (0) 1 70 37 67 08 – christophe.robert@lchclearnet.com
or
your local relationship manager
Customer and Market Management LCH.Clearnet SA
Click to view a PDF version of this information