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Title TAIFEX Single Stock Futures Contract Specifications CH
Date 2024.06.25 ( Amended )

Article Content

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Item

Description

Underlying

Common stocks or exchange-traded funds (ETFs) listed on Taiwan Stock Exchange or Taipei Exchange.

Contract Name

Single Stock Futures

Ticker Symbol

Each single stock futures is assigned a ticker symbol by contract of underlying security.

Trading Hours

Regular trading session: Underlying Security of a Single Stock

Futures Contract is a stock or a domestic component securities ETF08:45AM - 1:45PM Taiwan time Monday through Friday of the regular business days of the Underlying

Underlying Security is an ETF with foreign component securities or an offshore ETF08:45AM - 4:15PM Taiwan time Monday through Friday of the regular business days of the Underlying

After-hours trading session: 5:25PM – 05:00AM of the following day; no after-hours trading session on the last trading day for the delivery month contract; the contracts to which the after-hours trading session applies will be separately announced by TAIFEX

Contract Size

Common Stocks2,000 shares of underlyin security. TAIFEX may add contracts with contract size of 100 shares of underlying securities.

Exchange-traded securities investment trust funds10,000 beneficial units of underlying security. However, TAIFEX may add contracts with contract size of 1,000 beneficial units.

Offshore ETFsContract size will be determined by TAIFEX.

When there is a contract adjustment in accordance with regulations, the contract size shall accordingly adjust.(Please refer to Contract Adjustments)

Delivery Months

Spot month, the next calendar month, and the next three quarterly months

 

Upon expiration of the near month, the new contract month will be listed for trading beginning on the next regular trading session.

Daily Settlement Price

The daily settlement price is the volume weighted average price, which is calculated by dividing the value of trades by the volume within the last one minute of the regular or as otherwise determined by TAIFEX according to the Trading Rules

 

Contracts with the same underlying and delivery month shall have the same daily settlement price. (Unless, in the case of contract adjustment, this rule shall not apply)

Price Limits

Common Stocks or ETFs comprising only domestic securities±10% daily settlement price of preceding regular trading session ETFs comprising foreign securities or offshore ETFs±15% daily settlement price of preceding regular trading session

 

(Unless in the case of contract adjustment)

Minimum Price Fluctuation

Underlying Securities

Price

Minimum Price Fluctuation

Common Stocks

Under NTD 10

NTD 0.01

NTD 10 and above,but less than NTD 50

NTD 0.05

NTD 50 and above,but less than NTD 100

NTD 0.1

NTD 100 and above,but less than NTD 500

NTD 0.5

NTD 500 and above,but less than NTD 1,000

NTD 1

NTD 1,000 and above

NTD 5

ETFs

Under NTD 50

NTD 0.01

NTD 50 and above

NTD 0.05

Last Trading Day

The third Wednesday of the delivery month

Final Settlement Day

The same as the last trading day

Final Settlement Price

The price is computed by applying the Simple Arithmetic Average Price Method to prices of the underlying stock taken within 60 minutes prior to close of trading. Method used to calculate final settlement price.

Settlement

Cash settlement

Position Limit

Any investor's aggregate open same-side positions in the Contract for various delivery months at any time shall not exceed the limit standards announced by TAIFEX.

 

These position limits are not applicable to omnibus accounts, with the exception of undisclosed omnibus accounts, which accounts are subject to the limits for institutional investors.

If the underlying security is a common stock and the number of shares represented by the overall market open positions of a single stock futures and an equity option on the same underlying security at the close of the regular trading session of any trading day exceeds 15 percent of the total number of outstanding shares of the underlying security, TAIFEX may impose a restriction on adding new positions and only allow closing out existing positions in the following trading session, unless otherwise provided. TAIFEX may lift the restriction from the next trading session when the aforesaid percentage of such contracts has fallen to a level below 12 percent.

 

If the underlying security is an exchange-traded securities investment trust fund and the number of beneficial units represented by the overall market open positions of a single stock futures and an equity option on the same underlying security at the close of the regular trading session of any trading day exceeds 70 percent of the total number of beneficial units already issued by the fund, TAIFEX may impose a restriction on adding new positions and only allow closing out existing positions in the following trading session, unless otherwise provided. TAIFEX may lift the restriction from the next trading session when the aforesaid percentage of such contracts has fallen to a level below 56 percent.

 

If the underlying security is an offshore ETF and the number of units represented by the overall market open positions of a single stock futures and an equity option on the same underlying security at the close of the regular trading session of any trading day exceeds 70 percent of the total number of units of that fund offered and sold domestically within the ROC territory, TAIFEX may impose a restriction on adding new positions and only allow closing out existing positions in the following trading session, unless otherwise provided. TAIFEX may lift the restriction from the next trading session when the aforesaid percentage of such contracts has fallen to a level below 56 percent.

Margin

The initial and maintenance margin levels as well as the collecting measures prescribed by the FCM to its customers shall not be less than those required by TAIFEX.

The margin levels will be adjusted and announced by TAIFEX in accordance with Taiwan Futures Exchange Corporation Methods and Standards for Receipt of Clearing Margins.

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