BIST BANK INDEX FUTURES
BIST Bank Price Index
Underlying security is the 1/1000 of the index values. Contract size for the index options is 100 underlying securities. (For example, BIST Bank Index/1,000)* TRY 100 = ( 78,000/1,000)*100 = TRY 7,800.00).
Price Quotation and Minimum Price Tick
On the order book, prices are shown on the basis of 1 unit of underlying asset. In other words, the offers for index futures in the Market are entered on the basis of the price given on the basis of 1 unit of the underlying asset.
After index value is divided by 1,000 the price of an index future is entered into the trading system with three digits after the comma, and the minimum price tick is 0.025 (25 BIST Bank Index Point) (for example: 102.325, 102.350, etc.). Quantity offers are entered as 1 contract and its multiples.
February, April, June, August, October and December (Contracts with three different expiration months nearest to the current month shall be traded concurrently. If December is not one of those three months, an extra contract with an expiration month of December shall be launched.)
T+1 (first day following the expiry date) Losses are deducted from the accounts starting from the end of T day, while profits are added to the accounts by T day.
Continuous trading from 09:30 to 18:15 (local time) for normal session, continuous trading from 19:00 to 23:00 (local time) for evening session.
Daily Settlement Price
The daily settlement price is calculated as follows at the end of the normal session and rounded to the nearest price tick:
a) The weighted average price of all the trades executed within the last 10 minutes of the normal session,
b) If less than 10 trades were realized in the last 10 minutes of the normal session, the weighted average price of the last 10 trades executed during the normal session,
c) If less than 10 trades were realized in the normal session, the weighted average price of all the trades executed during the normal session,
d) If no trades were done during the normal session, the previous day settlement, will be determined as the daily settlement price.
If the daily settlement price cannot be calculated with the above methods by the end of the normal session, or the prices calculated do not reflect the market correctly, the daily settlement price may be determined by using one or more of the following methods
a) The average of the best buy and sell quotations at the end of the normal session,
b) Theoretical prices are calculated considering spot price of the underlying asset or the daily settlement price for other contract months of the contract.
Trade reporting will not be taken into consideration in the above calculations. The Settlement Price Committee’s right to change the daily settlement price is under reserve.
Expiry Day (Final) Settlement Price
The final settlement price of BIST Bank Index futures contracts shall be calculated by weighting of the time weighted average of index values of the last 30 minutes of continuous auction in the equity market and closing price of the index with 80% and 20%, respectively. The calculated weighted average is divided by 1000, rounded to the nearest price tick, and called as the final settlement price.
Last business day of the contract month. In case domestic markets are closed for half day due to an official holiday, expiry day shall be the preceding business day.
Last Trading Day
Last business day of the contract month. In case domestic markets are closed for half day due to an official holiday, last trading day shall be the preceding business day.
Base Price and Daily Price Limit
Base price is the price determined by the Settlement Price Committee on the day the relevant contract is introduced for trading, and used in calculating the daily price change limits. For the other days, base price is the settlement price of the previous day.
Base price of the contracts that are traded at evening session is the settlement price that is calculated at the end of normal session.
The daily price limit is set as +/-15% of the base price for the normal session, the daily price limit is set as +/-3% of the base price for the evening session which is found by rounding the previous daily settlement price to nearest price tick. If the price limits found by this method is not a valid price tick, for upper limit it is rounded up, while the lower limit is rounded down to the nearest price tick.
Clearing legislation shall be applied.