Synthetic Matching of Calendar Spreads

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:

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

• 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.

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:

Fee_CS = Т * F * (1-K)

where:
Fee_CS – 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:

Fee_CS = 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.

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.

Synthetic matching of calendar spreads

Derivatives Market Department of Moscow Exchange

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