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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-9.25-12.250-0,092,670000,000 archive
                AFKS-9.25-12.2565661065666760820319 303,007 archive
                AFLT-9.25-12.2524724625627322913087 859 591,00161 archive
                ALIBABA-9.25-12.254,013,914,224,572,072342 359 726,7345 archive
                ALRS-9.25-12.259190114117912441 150 065,0053 archive
                ALUM-9.25-12.250-8,570000,000 archive
                AMD-9.25-12.250-3,895,920000,000 archive
                ASTR-9.25-12.251818202118420178 471,0031 archive
                AUDU-9.25-12.25000,020000,000 archive
                BAIDU-9.25-12.253,893,94,214,233,8918133 841,016 archive
                BANE-9.25-12.25032650000,000 archive
                BELUGA-9.25-12.25101220241041 838,002 archive
                BR-1.26-2.260,250,180,30,25-0,39281 611 892,5613 archive
                BR-10.25-11.25-0,43-0,45-0,34-0,09-0,5748027 771 093,00133 archive
                BR-11.25-12.25-0,26-0,31-0,070,2-0,341247 178 898,0355 archive
                BR-12.25-1.260,09-0,1500,1-0,62321 845 618,4914 archive
                BR-2.26-3.260,28-0,420,30,5-0,1110577 075,405 archive
                BR-3.26-4.260,29-0,20,450,290,292115 346,021 archive
                BR-8.25-9.25-0,88-0,9-0,88-0,8-1,0918235810 776 197 652,9337569 archive
                BR-9.25-10.25-0,88-0,9-0,89-0,65-0,964624269 683 263,951092 archive
                BRM-8.25-9.25-0,87-0,86-0,81-0,75-1,071084264 070 158,631187 archive
                BRM-9.25-10.25-0,96-0,96-0,85-0,83-0,9844257 730,9616 archive
                BSPB-9.25-12.25-26-55-818-2694376 405,0012 archive
                BYN-9.25-12.2500,833,950000,000 archive
                CBOM-9.25-12.25300261300300299430 087,002 archive
                CHMF-9.25-12.2545584555468546904556282 947 829,0012 archive
                CNI-9.25-12.25003030000,000 archive
                CNY-9.25-12.250,440,440,440,450,435732126 778 724 265,0019345 archive
                COCOA-9.25-12.25-15,5-15,6-15,5-15-17,1388627 052 348,00905 archive
                COFFEE-8.25-11.250,030,020,030,050,02471211 660 106,75289 archive
                COPPER-9.25-12.25235207241235225432 769,602 archive
                DAX-9.25-12.25-227-228-169-181-22716303 212,706 archive
                DJ30-9.25-12.2500,13,10000,000 archive
                ED-9.25-12.25000007962754 417 283,091949 archive
                EM-9.25-12.2501,412,540000,000 archive
                Eu-9.25-12.2534783459346835823312155701 526 913 927,003245 archive
                FEES-9.25-12.25281263310310281855 063,004 archive
                FESH-9.25-12.2522090220220220212 304,001 archive
                FLOT-9.25-12.2534331434336030096795 946,0014 archive
                FNI-9.25-12.25303201505539-4216170 056,008 archive
                GAZR-9.25-12.25551549551563548203025 976 843,00598 archive
                GBPU-9.25-12.25000,020000,000 archive
                GL-9.25-12.25410,8410,7411436406,516522149 215 741,603545 archive
                GMKN-9.25-12.25474849503750646 400 164,00283 archive
                GOLD-9.25-12.2535,33535,335,332,746501 273 614 856,871289 archive
                HANG-9.25-12.25203203298300754521 224 665,1044 archive
                HKD-9.25-12.2500,370,650000,000 archive
                HOME-9.25-12.250111015100000,000 archive
                HYDR-9.25-12.25212199211212190160735 800,0025 archive
                INDIA-9.25-12.250,450,180,280,450,45272221 342,0211 archive
                INR-9.25-12.2500,040,050000,000 archive
                IPO-9.25-12.250-7150000,000 archive
                IRAO-9.25-12.2514271405145114271427265 049,001 archive
                ISKJ-9.25-12.250-57350000,000 archive
                KMAZ-9.25-12.254643464633458449 151,0070 archive
                KZT-9.25-12.250-10,890000,000 archive
                LEAS-9.25-12.251892420115032 685,0010 archive
                LKOH-9.25-12.2567-17167290-183905 514 900,0034 archive
                MAGN-9.25-12.25125012261410145012508271 322,003 archive
                MGNT-9.25-12.251651631651691484041 523 248,0046 archive
                MIX-12.25-3.26135001225013500135001350061 787 350,003 archive
                MIX-9.25-12.25875087008775902584001656472 524 225,00709 archive
                MMI-9.25-12.25441256441441441213 097,001 archive
                MOEX-9.25-12.2580279281281778918331 996,009 archive
                MOEXCNY-9.25-12.25-7,5-7,8-2,9-2,4-7,510126 827,625 archive
                MTLR-9.25-12.25261226267261224652 906,003 archive
                MTSI-9.25-12.2593093097093193014301 870,004 archive
                MXI-9.25-12.2593,793,493,6594,3590,254260121 843 054,001310 archive
                NASD-9.25-12.25999910011488278453 303 197,51721 archive
                NG-8.25-9.250,120,120,120,120,11694961 821 671 830,1619249 archive
                NGM-8.25-9.250,150,140,150,160,131810468 980,6313 archive
                NICKEL-9.25-12.25525290525525525450 556,961 archive
                NIKK-9.25-12.25-360-4601230-360818 743,603 archive
                NLMK-9.25-12.255054905055214812122 440 330,0055 archive
                NOTK-9.25-12.2535493347355035493333181 919 851,009 archive
                OGI-9.25-12.2501202330000,000 archive
                ORANGE-9.25-11.25-0,01-0,04-0,010-0,06501 225 599,7124 archive
                PHOR-9.25-12.25230200237257140854 873,003 archive
                PIKK-9.25-12.252402372442822378825 671 874,00173 archive
                PLD-9.25-12.2536,2935,436,436,2929,470274 875 814,47299 archive
                PLT-9.25-12.252726,72828,3221072124 593 159,96396 archive
                POSI-9.25-12.2567677071657941 167 655,0075 archive
                R2000-9.25-12.250-7,700000,000 archive
                RASP-9.25-12.25103921021031002249 681,004 archive
                RGBI-9.25-12.25282281282288272328239 866 417,00464 archive
                RNFT-9.25-12.255454576054352439 640,0020 archive
                ROSN-9.25-12.251956184719001956165045220 052 501,00124 archive
                RTKM-9.25-12.2520820822923020898606 841,0019 archive
                RTS-12.25-3.26079011700000,000 archive
                RTS-3.26-6.260-905000000,000 archive
                RTS-6.26-9.26005000000,000 archive
                RTS-9.25-12.25-250-290-250-110-4801166203 103 888,15522 archive
                RTSM-9.25-12.25-1-2,5-0,51-31182 057 852,2140 archive
                RUAL-9.25-12.251481481491571456802 252 532,0062 archive
                RVI-8.25-9.2500,41,60000,000 archive
                SBPR-9.25-12.25138113731382139313631645 189 636,0064 archive
                SBRF-9.25-12.2513561356136113741326248279 200 500,00770 archive
                SFIN-9.25-12.25494957,450493848 186,007 archive
                SGZH-9.25-12.2563196623 048,001 archive
                SIBN-9.25-12.25853910185-8631 352,003 archive
                SILV-9.25-12.250,720,710,720,720,68281689 301 101,10827 archive
                SMLT-9.25-12.25626062655832964 200 202,00395 archive
                SNGP-9.25-12.25211120592162211120584189 977,002 archive
                SNGR-9.25-12.25100695610061040100622505 484,006 archive
                SOFL-9.25-12.2553-9953535322 247,001 archive
                SOXQ-9.25-12.251,370,651,981,371,3727 619,321 archive
                SPBE-9.25-12.250162200000,000 archive
                SPYF-9.25-12.257,887,867,968,097,4132269 746 308,73425 archive
                STOX-9.25-12.250-92,418,70000,000 archive
                SUGR-10.25-3.262,021,482,222,021,774131 805,682 archive
                SVCB-9.25-12.25353053353523 441,001 archive
                Si-12.25-3.26297829302978297828001220107 252 001,00283 archive
                Si-9.25-12.2527292719272528462645999788 482 329 887,0018805 archive
                T-9.25-12.25141141144154134630220 931 305,00477 archive
                TATN-9.25-12.2530003204001382 511 411,0019 archive
                TATP-9.25-12.2535-191003535212 493,001 archive
                TENCENT-9.25-12.250-0,8320000,000 archive
                TRNF-9.25-12.25524952584913361 793 547,0078 archive
                TRY-9.25-12.250-0,040,090000,000 archive
                TTF-7.25-8.250-0,74-0,350000,000 archive
                TTF-8.25-9.250,950,031,52,670,95266879 465,8035 archive
                UCAD-9.25-12.250-0,010,010000,000 archive
                UCHF-9.25-12.250-0,0100000,000 archive
                UCNY-9.25-12.25-0,03-0,03-0,02-0,01-0,0324219 661 149,5060 archive
                UJPY-9.25-12.250-2,63,180000,000 archive
                UKZT-9.25-12.250-62850000,000 archive
                UTRY-9.25-12.250090000,000 archive
                VKCO-9.25-12.251291281361381268983 016 942,00135 archive
                VTBR-9.25-12.25365362365377355552045 668 919,00847 archive
                WHEAT-7.25-8.2503004200000,000 archive
                WHEAT-8.25-9.25190501802908020353 860,0010 archive
                WHEAT-9.25-10.2501505000000,000 archive
                WUSH-9.25-12.2556566166558601 243 293,00150 archive
                X5-9.25-12.25-25-251-22-25824 077,003 archive
                XIA-9.25-12.252,51,182,52,52,52118 083,731 archive
                YDEX-9.25-12.2513913814315712710924 735 919,00163 archive
                ZINC-9.25-12.2532,526,545,532,529492 657,612 archive
                 
                 
                CONTACTS

                 

                Derivatives Market Department of Moscow Exchange

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

                 

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