| Article 12 |
If the Underlying Security of a Single Stock Futures Contract is a stock, the Underlying Assets of each Contract are 2,000 shares of the Underlying Securities. If the Underlying Security is an ETF, the Underlying Assets of each Single Stock Futures Contract are 10,000 beneficial units of the Underlying Security. If the Underlying Security is an offshore ETF, the Underlying Assets of each Single Stock Futures Contract will be separately prescribed by the TAIFEX.
In addition to doing as provided in the preceding paragraph, the TAIFEX may, depending on market conditions, add contracts as follows:
- If the Underlying Security of the preceding paragraph is a stock, it may add a contract of which the Underlying Assets are 100 shares of the Underlying Security.
- If the Underlying Security is an ETF, it may add a contract of which the Underlying Assets are 1,000 beneficial units of the Underlying Security.
If a contract adjustment is duly made to a Single Stock Futures Contract, the Underlying Assets shall be adjusted accordingly.
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| Article 13 |
Prices of Single Stock Futures Contracts shall be quoted in NT dollars. If the Underlying Security is a stock, the contract multiplier is 2,000. If the Underlying Security is an ETF, the contract multiplier is 10,000. If the Underlying Security is an offshore exchange-traded fund, the contract multiplier will be separately prescribed by the TAIFEX.
When a contract is added under paragraph 2 of the preceding article, the contract multiplier is as follows:
- If a contract is added of which the Underlying Assets are 100 shares of the Underlying Security, the contract multiplier is 100.
- If a contract is added of which the Underlying Assets are 1,000 beneficial units of the Underlying Security, the contract multiplier is 1,000.
If a contract adjustment is duly made to a contract under the preceding two paragraphs, the contract multiplier shall be adjusted accordingly.
The minimum unit of price fluctuation (tick) for Single Stock Futures Contracts, when the Underlying Securities are stocks, is as follows:
- A quote of less than NT$10: NT$0.01.
- A quote of NT$10 to less than NT$50: NT$0.05.
- A quote of NT$50 to less than NT$100: NT$0.1.
- A quote of NT$100 to less than NT$500: NT$0.5.
- A quote of NT$500 to less than NT$2,500: NT$1.
- A quote of NT$2,500 or more: NT$5.
The minimum unit of price fluctuation for Single Stock Futures Contracts, when the Underlying Securities are ETFs or offshore ETFs, is as follows:
- A quote of less than NT$50: NT$0.01.
- A quote of NT$50 or more: NT$0.05.
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| Article 14 |
If the Underlying Security of a Single Stock Futures Contract is a stock or a domestic component securities ETF, the price limit for each trading session of the Contract is the daily settlement price of the preceding regular trading session plus or minus 10 percent. However, these restrictions shall not apply in cases of a duly made contract adjustment.
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| Article 14-1 |
If the Underlying Security of a Single Stock Futures Contract is a foreign component securities ETF or an offshore ETF, the price limits for each trading session of the Contract are as follows:
- If the Underlying Security is a foreign component securities bond ETF, except as otherwise provided in paragraphs 2, 3, and 6, the price limit shall be plus or minus 5 percent of the daily settlement price of the preceding regular trading session.
- If the Underlying Security is a foreign component securities ETF other than as referred to in the preceding subparagraph, or is an offshore ETF, except as otherwise provided in paragraphs 2, 3, and 6, the price limit shall be plus or minus 7 percent of the daily settlement price of the preceding regular trading session.
During the period from the opening to 5 minutes before the close of each trading session of a Single Stock Futures Contract referred to in the preceding paragraph, if any of the following circumstances occurs with respect to the nearest delivery month contract of the futures contracts on such Underlying Security, a price limit of plus or minus 10 percent of the daily settlement price of the preceding regular trading session shall apply to all delivery month contracts of the futures contracts on such Underlying Security, effective 5 minutes after the point in time at which such circumstance occurs:
- The trade price touches the price limit prescribed in the preceding paragraph.
- An unexecuted buy order price, following matching, touches the upper limit of the price limit prescribed in the preceding paragraph.
- An unexecuted sell order price, following matching, touches the lower limit of the price limit prescribed in the preceding paragraph.
During the period from the time at which the price limit applicable to each trading session of a Single Stock Futures Contract referred to in paragraph 1 has been expanded to plus or minus 10 percent of the daily settlement price of the preceding regular trading session, through to 5 minutes before the close of such trading session, if any of the following circumstances occurs with respect to the nearest delivery month contract of the futures contracts on such Underlying Security, a price limit of plus or minus 15 percent of the daily settlement price of the preceding regular trading session shall apply to all delivery month contracts of the futures contracts on such Underlying Security, effective 5 minutes after the point in time at which such circumstance occurs:
- The trade price touches the price limit of plus or minus 10 percent of the daily settlement price of the preceding regular trading session.
- An unexecuted buy order price, following matching, touches the upper limit of the plus or minus 10 percent price limit of the daily settlement price of the preceding regular trading session.
- An unexecuted sell order price, following matching, touches the lower limit of the plus or minus 10 percent price limit of the daily settlement price of the preceding regular trading session.
The price limits for each trading session as set forth in the preceding three paragraphs may be adjusted when a Single Stock Futures Contract is subject to contract adjustment in accordance with applicable regulations.
For purposes of paragraphs 2 and 3, the term "close" shall refer to the latest closing time among all delivery month contracts; the "nearest delivery month contract" shall, upon expiration of such contract, be replaced by the next nearest delivery month contract.
The price limits applicable to all delivery month contracts during the regular trading session shall be the expanded price limits as last applied pursuant to paragraph 2 or paragraph 3 during the preceding after-hours trading session.
The provisions of paragraphs 1 through 3 and the preceding paragraph may be adjusted by the TAIFEX in light of market conditions.
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| Article 15 |
Delivery months for Single Stock Futures Contracts shall be the 2 successive calendar months beginning with the spot month, and 3 nearest quarter months of March, June, September, and December, namely a total of 5 contract months, concurrently listed for trading.
The last trading day for a Single Stock Futures Contract shall be the third Wednesday of the expiration month. This shall not apply, however, under any of the following circumstances:
- If the last trading day falls on a holiday, or if trading may not proceed on that day due to a force majeure event, the next business day shall become the last trading day.
- If the TAIFEX has made other provisions for other particular circumstances, those provisions shall govern.
The trading of a contract in the expiration month ends at close of the regular trading session on the last trading day. The last trading day is the final settlement day of the contract in the expiration month.
Trading in a new delivery month shall commence from the regular trading session of the next business day following the last trading day of the contract in the expiration month.
After reporting to and receiving approval from the competent authority, the TAIFEX may, when it deems necessary, change the delivery months, initial trading days, final trading days, and final settlement days referred to in the preceding four paragraphs.
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| Article 16 |
Except where otherwise prescribed by the TAIFEX, the aggregate open positions on the same side of the market in futures contracts representing the same Underlying Securities held by a trader at any time shall be subject to the following tiered position limits:
- Tier 1: The position limit is 8,000 contracts for individual investors, 24,000 contracts for institutional investors, and 60,000 contracts for market makers.
- Tier 2: The position limit is 4,000 contracts for individual investors, 12,000 contracts for institutional investors, and 30,000 contracts for market makers.
- Tier 3: The position limit is 2,000 contracts for individual investors, 6,000 contracts for institutional investors, and 15,000 contracts for market makers.
When a contract is added under Article 12, paragraph 2, its open positions, after being converted as provided below, shall be incorporated in the aggregate open positions on the same side of the market in single stock futures contracts representing the same Underlying Securities as referred to in the preceding paragraph:
- A contract of which the Underlying Assets are 100 shares of the Underlying Security will be converted on the basis of a 20:1 contract multiplier.
- A contract of which the Underlying Assets are 1,000 beneficial units of the Underlying Security will be converted on the basis of a 10:1 contract multiplier.
The TAIFEX may adjust the limits on aggregate open positions held by market makers under paragraph 1 as it deems necessary in view of market conditions.
The tiers applicable to Underlying Securities under paragraph 1 are as follows:
- Tier 1: The total trading volume of the Underlying Securities in the past 3 calendar months reached 1.6 billion or more shares or units, or total trading volume in the past 3 calendar months reached 1.2 billion or more shares or units, and the current number of outstanding shares, total issued beneficial units of an exchange-traded securities investment trust fund, or total number of units domestically offered and sold by an offshore exchange traded fund has reached 3.2 billion or more shares or units.
- Tier 2: Where the total trading volume of the Underlying Securities in the past 3 calendar months reached 800 million or more shares or units, or total trading volume in the past 3 calendar months reached 600 million or more shares or units, and the current number of outstanding shares, total issued beneficial units of an exchange-traded securities investment trust fund, or total number of units domestically offered and sold by an offshore exchange traded fund has reached 1.6 billion or more shares or units.
- Tier 3: Where the requirements of the two preceding subparagraphs are not met.
The "number of outstanding shares" in the preceding paragraph and in Article 17, paragraph 1 means the total number of shares issued by the issuer of the Underlying Securities, less the following:
- The total percentage of shares held by directors and supervisors under statutory shareholding ratio requirements.
- Number of pledged shares.
- The number of shares that companies newly listed on the TWSE or TPEx are required to place in compulsory central custody.
- Shares repurchased under the Regulations Governing Share Repurchase by TWSE Listed and TPEx Listed Companies, but not yet retired.
- Shares on which the competent authority imposes a restriction on listing or trading on the TWSE or TPEx.
The TAIFEX will, once every 3 months or according to market status, examine the tier grade of the Underlying Securities based upon the criteria set out in paragraph 2.
Any raising of the position limit will take effect from the regular trading session of the next business day following the TAIFEX announcement, and any lowering of the position limit will take effect from the regular trading session of the next business day following the expiration of the next-nearest month contract that is already listed on the announcement date; provided, the TAIFEX may adjust this according to circumstances.
When the position limit is lowered under the preceding paragraph, a position held by a trader prior to the effective date that surpasses the lowered limit standard may be held until the expiration date of the Contracts, provided that no new position may be added until the lowered limit standard has been complied with.
Where a trader violates the provisions regarding position limits, the TAFIEX may restrict the trader from adding new positions, or instruct the FCM concerned to liquidate the trader's positions under conditions where this will not affect market price.
An institutional investor may apply to the TAIFEX for a position limit increase based on hedging needs.
The aggregate open positions in the contracts held in omnibus accounts are not subject to the limits in paragraph 1, with the exception of undisclosed omnibus accounts, which accounts are subject to the limits for institutional investors.
In addition to complying with the provisions of this Article, a trader shall also comply with the TAIFEX Rules Governing Surveillance of Market Positions in holding open positions in Single Stock Futures Contracts.
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| Article 17 |
If the Underlying Security of Single Stock Futures and Stock Options is a stock, then when the aggregate number of shares represented by the open positions of the Single Stock Futures and Stock Options in the same Underlying Security after close of the regular trading session on any trading day exceeds 15 percent of the total number of outstanding shares of the Underlying Security, unless otherwise provided, the TAIFEX may impose a restriction to the effect that no trades in those futures are allowed except to close out existing positions, starting from the next trading session. When the above percentage falls below 12 percent, the TAIFEX may remove the restriction starting from the next trading session.
If the Underlying Security of Single Stock Futures and Stock Options is an ETF, then when the aggregate number of beneficial units represented by the open positions of the Single Stock Futures and Stock Options in the same Underlying Security after close of the regular trading session on any trading day exceeds 70 percent of the total number of outstanding beneficial units of the Underlying Security, unless otherwise provided, the TAIFEX may impose a restriction to the effect that no trades in those Futures are allowed except to close out existing positions, starting from the next trading session. When the above percentage falls below 56 percent, the TAIFEX may remove the restriction starting from the next trading session.
If the Underlying Security of Single Stock Futures and Stock Options is an offshore ETF, then when the aggregate number of beneficial units represented by the open positions of the Single Stock Futures and Stock Options in the same Underlying Security after close of the regular trading session on any trading day exceeds 70 percent of the total number of the domestically offered and sold beneficial units of the Underlying Security, unless otherwise provided, the TAIFEX may impose a restriction to the effect that no trades in those Futures are allowed except to close out existing positions, starting from the next trading session. When the above percentage falls below 56 percent, the TAIFEX may remove the restriction starting from the next trading session.
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| Article 18 |
The daily settlement price for a Single Stock Futures Contract shall be determined based on the trading information of the regular trading session and the provisions listed below:
- The daily settlement price for a Single Stock Futures Contract shall be the volume-weighted average price of all trades during the last minute before market close.
- If there is no trade price for the contract during the last minute before market close, the average of the highest unexecuted bid and lowest unexecuted ask quoted as of market close shall be taken as the daily settlement price.
- When there is no quoted bid price, the lowest quoted ask price shall be taken as the daily settlement price; when there is no quoted ask price, then the highest quoted bid price shall be taken as the daily settlement price.
- When there is no quoted bid nor ask price for a distant month contract, then the price difference between the settlement price of the nearest month contract and the settlement price of the distant month contract on the previous business day shall be taken as the basis of calculation, whereby the sum of the current day's settlement price of the nearest month contract and the above price difference will be taken as the daily settlement price of the distant month contract.
- The daily settlement price shall be decided by the TAIFEX where a daily settlement price cannot be determined by any of the methods in the preceding four subparagraphs, or if the settlement price as calculated by those methods is obviously unreasonable.
Single stock futures contracts with the same Underlying Securities and the same delivery month will have the same daily settlement prices, provided that this restriction shall not apply in cases of a duly made contract adjustment.
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| Article 19 |
The final settlement price for a Single Stock Futures Contract shall determined by the arithmetic mean of the prices of the Underlying Securities on the securities market on the final settlement day that are available within the last 60 minutes of trading immediately preceding the close of market that day. If the Taiwan Stock Exchange postpones market closing or matching, the TAIFEX may extend the aforementioned 30-minute sampling time.
The method of the calculation under the preceding paragraph shall be as separately adopted by the TAIFEX.
If the final settlement day of a Single Stock Futures Contract falls on a day on which the Underlying Securities are suspended from trading, the day for determining the final settlement price shall be substituted by the business day before the first day on which the trading is suspended.
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| Article 20 |
For open positions, on the final settlement day the Underlying Asset value is calculated based on the final settlement price, with amounts lower than NT$1 unconditionally rounded down, and the net amount is delivered or received in cash.
Settlement of a Single Stock Futures Contract at expiration shall be handled in accordance with Point 6 of the Taiwan Futures Exchange Operational Key Points of Clearing and Settlement for Futures Commission Merchants and Clearing Members.
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