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                Synthetic Matching of Calendar Spreads

                 
                 
                CALENDAR SPREADS ON THE DERIVATIVES MARKET

                 

                Synthetic matching is based on the combination of different order books which allows to match Calendar Spread orders with both orders from the Calendar Spread order book and orders from the leg futures order books for the spread legs. A Calendar Spread order thus crosses against opposite-side orders from orders books of its legs.

                Synthetic Matching is available for all calendar spreads.

                Calendar Spread – the service offered by the Derivatives Market which allow to purchase a futures contract, and sell another futures contract at the same time, provided that these two futures are on the same underlying asset, but in a different expiry.

                The first leg of a Calendar Spread is the near month futures, and the second leg is the far month futures. For example, the far expiry in the Calendar Spread is the expiry following the near contract.

                Example of Calendar Spread designation:

                CS long code CS short code First leg Second leg
                RTS-9.20-12.20 RIU0RIZ0 RTS-9.20 (RIU0) RTS-12.20 (RIZ0)
                Si-9.20-12.20 SiU0SiZ0 Si-9.20 (SiU0) Si-12.20 (SiZ0)
                 
                 
                BENEFITS OF SYNTHETIC MATCHING FOR CALENDAR SPREADS

                 

                Synthetic matching allows trading based on orders from different order books (i.e. order books for different instruments).

                • Bringing together open interest from different order books

                Synthetic matching allows crossing Calendar Spread orders with opposite-side orders within the Calendar Spread order book and furthermore, with orders from orders books of the spread legs. Therefore, a Calendar Spread order can also be matched against opposite-side open positions from orders books of its legs.

                • Liquidity boost

                Synthetic matching aims to increase liquidity in the instruments by combining order books.

                • Best price

                With order books combined, traders may execute trades at prices which are the same or better than in any specific order book.

                • Further trading opportunities

                MOEX plans to apply the synthetic matching method to inter-product spreads (BR-CL) and option strategies

                 

                 
                 
                SPREAD TRADING

                 

                • A trader places a Calendar Spread order (allowed order types: limit, market or FOK order);
                • The order appears in the spread order book linked to order books of the futures from the spread legs;
                • The spread size (i.e.the difference between the prices of the far and near futures) is the order price which can be positive, negative or zero.
                • The order is filled when the spread buy order matches the spread sell order in the spread order book.

                At the moment of matching, the margin requirement is the same as for two matched atomic orders in the spread instruments.

                 

                 
                 
                EXCHANGE FEE

                 

                Calculation of the fee for Calendar Spread trades involving any futures contracts (except the OFZ basket futures contract) based on order book Calendar Spread orders:

                FeeCS = Т * F * (1-K)

                where:
                FeeCS – the fee for Calendar Spread;
                Т – the number of futures contracts;
                F – the amount of the exchange fee (for registration of order book trades as per Section 3 of the Tariffs);
                K – the discount rate at 0.2 (zero point two) applies during the marketing period in case the futures contracts were executed*.
                *The marketing period is:

                • 18 (eighteen) months for the OFZ basket;
                • 6 (six) months for other underlying assets.

                Upon the expiration of the marketing period, discount rate (К) does not apply

                Calculation of the fee for Calendar Spread trades involving any futures contracts based on off-order book Calendar Spread orders:

                FeeCS = Т * F

                where:
                FeeCS – the amount of the fee for Calendar Spreads;
                Т – the number of futures contracts;

                F – the amount of the exchange fee (for registration of order book trades as per Section 3 of the Tariffs)

                Transaction fee:
                Placement and removal of a Calendar Spread order is considered as one transaction, i.e. a trading member trading Calendar Spreads makes half as many transactions compared to the member trading on the order book for futures involved in the spread.

                 

                 

                 
                 
                REPORTS WITH DATA ON CALENDAR SPREADS

                 

                The calendar spread reports are send upon the end of the evening clearing session:

                • Calendar spread trade report: multilegf04_XXYY.csv;
                • Data on all calendar spread trades: multileg_deal.csv;
                • Log of calendar spread orders placed, matched and removed: multilegordlog_XXYY.csv;
                • Data on calendar spread instruments: multileg_dict.csv (shows instruments in the spread);
                • Report f04_XXYY.csv contains field id_mult which indicates the use of the technical trade as part of a multi-leg trade. The field shows the multi-leg ID. It is empty for regular trades. The value corresponds with id_deal from report multilegf04_XXYY.csv.
                • Report f07.csv contains field multileg – calendar spread instrument attribute.
                • In reports fpos_XXYY.csv, the position value changes only for atomic instruments. Example: the trade in RTS-12.17-3.18 changes positions in instruments RTS-12.17 and RTS-3.18, position in RTS-12.17-3.18 is not tracked.

                For more information regarding these and other reports, please click here.

                 

                 
                 
                MATERIALS

                 

                Synthetic matching of calendar spreads

                 

                 
                 
                TURNOVER OF CALENDAR SPREADS FOR THE CURRENT TRADING DAY

                 

                TickerLast tradeBidAskDaily highDaily lowAmountVolumeTradesArchive data
                AED-9.25-12.2500,742,60000,000 archive
                AFKS-9.25-12.25540491550540536697 569,003 archive
                AFLT-9.25-12.2518518022422918184515 270,0021 archive
                ALIBABA-9.25-12.254,2644,274,284,2522188 922,6810 archive
                ALRS-9.25-12.252282222282282201886 269,009 archive
                ALUM-9.25-12.250-24,5200000,000 archive
                AMD-9.25-12.250-0,92,50000,000 archive
                ASTR-9.25-12.2518161818167229 485,0013 archive
                AUDU-9.25-12.25000,010000,000 archive
                BAIDU-9.25-12.2502,573,170000,000 archive
                BANE-9.25-12.2543204343183051 837,007 archive
                BELUGA-9.25-12.2512122112125023 340,003 archive
                BR-8.25-9.25-1,03-1,04-1,02-0,94-1,07190581 034 445 487,744266 archive
                BRM-8.25-9.25-0,93-0,94-0,89-0,79-0,94234812 749 723,48209 archive
                BSPB-9.25-12.25-25-323-15-25415 504,002 archive
                BYN-9.25-12.250-1,481,370000,000 archive
                CBOM-9.25-12.252601712642608084575 164,0023 archive
                CHMF-9.25-12.25418734754450418741872212 813,001 archive
                CNI-9.25-12.25003030000,000 archive
                CNY-9.25-12.250,410,410,410,420,4161326702 260 068,004752 archive
                COCOA-7.25-9.25-9,5-10-9,4-5,5-10,51068075 213 453,001393 archive
                COFFEE-8.25-11.250,030,030,040,040,024681 045 344,6777 archive
                COPPER-9.25-12.2515840160203158122944 660,4015 archive
                DAX-9.25-12.25-318-334-315-272-367741 358 954,0228 archive
                DJ30-9.25-12.255,71,45,45,72,96210 327,183 archive
                ED-9.25-12.250000097688 963 189,99148 archive
                EM-9.25-12.2501,242,950000,000 archive
                Eu-9.25-12.25380738073819397937692366228 275 053,00551 archive
                FEES-9.25-12.2502442820000,000 archive
                FESH-9.25-12.25229223260229229423 994,002 archive
                FLOT-9.25-12.2537332337437329992758 479,0022 archive
                FNI-9.25-12.25004380000,000 archive
                GAZR-9.25-12.25621619621639615479061 901 383,001154 archive
                GBPU-9.25-12.25000,020000,000 archive
                GL-9.25-12.25410,4410410,8418,2406452439 413 954,001041 archive
                GMKN-9.25-12.25545455595361726 821 579,00570 archive
                GOLD-9.25-12.25303030,230,624,22906750 796 923,49728 archive
                HANG-9.25-12.2513912620623611576189 114,4212 archive
                HKD-9.25-12.250-0,020,460000,000 archive
                HOME-9.25-12.2503509900000,000 archive
                HYDR-9.25-12.25213170227227213628 522,003 archive
                INDIA-9.25-12.2500,330,40000,000 archive
                INR-9.25-12.2500,020,050000,000 archive
                IPO-9.25-12.2501634,50000,000 archive
                IRAO-9.25-12.2511071108118511071107266 479,001 archive
                ISKJ-9.25-12.25443344444421 568,001 archive
                KMAZ-9.25-12.2552435252522221 230,003 archive
                KZT-9.25-12.250-0,700000,000 archive
                LEAS-9.25-12.2528252828223220 680,007 archive
                LKOH-9.25-12.2512921209131217709031448 992 514,0050 archive
                MAGN-9.25-12.250123913730000,000 archive
                MGNT-9.25-12.251841801841871738083 068 156,00153 archive
                MIX-9.25-12.2511550115251160011825108751050295 510 650,00472 archive
                MMI-9.25-12.250833300000,000 archive
                MOEX-9.25-12.258207898258977361182 125 694,0014 archive
                MOEXCNY-9.25-12.256,51,96,56,51,964783 399,1826 archive
                MTLR-9.25-12.251461011491466948427 022,0020 archive
                MTSI-9.25-12.2583378783883362834708 300,0016 archive
                MXI-9.25-12.25117,35116,3117,35119,5109,85216860 986 666,50766 archive
                NASD-9.25-12.2574747980672985 284 524,4289 archive
                NG-7.25-8.250,040,040,040,040,03578501 510 702 393,0719109 archive
                NG-8.25-9.250,140,130,140,140,12294278 578 473,91688 archive
                NGM-7.25-8.250,060,040,040,060,05102 636,582 archive
                NGM-8.25-9.250,150,140,150,150,13604162 441,7919 archive
                NICKEL-9.25-12.25350245410350315447 788,122 archive
                NIKK-9.25-12.250-853-820000,000 archive
                NLMK-9.25-12.2552052055055552050579 251,0016 archive
                NOTK-9.25-12.2545024502467548144500444 794 562,0021 archive
                OGI-9.25-12.2502683630000,000 archive
                ORANGE-9.25-11.250,080,070,10,080,07478 027,492 archive
                PHOR-9.25-12.25230222261265230425 151,002 archive
                PIKK-9.25-12.2527827428329625110046 652 501,00202 archive
                PLD-9.25-12.2531,0131,0132,234,0731,0128625 624 680,42123 archive
                PLT-9.25-12.258,78,79,3117,675681 666 086,31317 archive
                POSI-9.25-12.255757616747632877 487,00108 archive
                R2000-9.25-12.250-3,2-1,40000,000 archive
                RASP-9.25-12.2594679394941432 072,003 archive
                RGBI-9.25-12.25275272275285260397046 881 450,00368 archive
                RNFT-9.25-12.256565677060550697 908,0052 archive
                ROSN-9.25-12.252118211721402141161368629 102 130,00226 archive
                RTKM-9.25-12.251261071311269022129 940,009 archive
                RTS-12.25-3.26172015201720172017204671 933,852 archive
                RTS-3.26-6.2611203501120112011202339 593,931 archive
                RTS-6.26-9.2616508301660165015404688 333,552 archive
                RTS-9.25-12.25505090220-23057496 298 610,29208 archive
                RTSM-9.25-12.250,5-0,51,52-2,51041 739 969,3228 archive
                RUAL-9.25-12.251491491511571484481 398 778,0043 archive
                RVI-7.25-8.250-0,550,950000,000 archive
                SBPR-9.25-12.2514461446147614761444381 122 457,0017 archive
                SBRF-9.25-12.25145014491455147614374010119 437 240,001107 archive
                SFIN-9.25-12.2529,4386560,829,45872 280,804 archive
                SGZH-9.25-12.2523445563235276 782,0011 archive
                SIBN-9.25-12.25111971371509964341 422,0016 archive
                SILV-9.25-12.250,740,730,750,750,7396828 442 461,36276 archive
                SMLT-9.25-12.25656265715439525 057 263,00269 archive
                SNGP-9.25-12.25217520572173217521744187 189,002 archive
                SNGR-9.25-12.259998151039108999932709 931,004 archive
                SOFL-9.25-12.25050590000,000 archive
                SOXQ-9.25-12.251,230,11,261,231,2327 129,701 archive
                SPBE-9.25-12.250921190000,000 archive
                SPYF-9.25-12.253,073,033,163,42,8160429 432 186,00196 archive
                STOX-9.25-12.25-116-124,6-100-116-1541050 369,025 archive
                SUGAR-7.25-8.250-3604200000,000 archive
                SUGR-10.25-3.2602,082,550000,000 archive
                SVCB-9.25-12.2515173816156098 507,004 archive
                Si-12.25-3.263081305131103200306912210 486 368,0042 archive
                Si-9.25-12.25331333123317340932936388528 514 497,001965 archive
                T-9.25-12.2515915816016615513324 451 571,00157 archive
                TATN-9.25-12.25113094311391150500483 086 620,0017 archive
                TATP-9.25-12.258921898989425 382,001 archive
                TENCENT-9.25-12.250000000,000 archive
                TRNF-9.25-12.25505057575078100 164,006 archive
                TRY-9.25-12.2500,010,090000,000 archive
                TTF-7.25-8.250,910,810,910,4348152 065,828 archive
                UCAD-9.25-12.2500,010,010000,000 archive
                UCHF-9.25-12.250-0,010,020000,000 archive
                UCNY-9.25-12.250,040,030,040,040,0312939 903,885 archive
                UJPY-9.25-12.250-2,64,710000,000 archive
                UKZT-9.25-12.250-72930000,000 archive
                UTRY-9.25-12.2500150000,000 archive
                VKCO-9.25-12.2594869410586260788 745,0034 archive
                VTBR-9.25-12.25378378385399353453835 114 250,00529 archive
                WHEAT-7.25-8.2503705300000,000 archive
                WUSH-9.25-12.257777798070214343 840,0046 archive
                X5-9.25-12.25-33-34-1442-111184549 608,0042 archive
                XIA-9.25-12.250000000,000 archive
                YDEX-9.25-12.25149144155174149156676 490,0018 archive
                ZINC-9.25-12.250-4832,50000,000 archive
                 
                 
                CONTACTS

                 

                Derivatives Market Department of Moscow Exchange

                tel: +7 (495) 363-3232
                e-mail: derivatives@moex.com

                 

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