WIG20 futures contracts with a multiplier of PLN 20 - GPW
WIG20 futures contracts with a multiplier of PLN 20 - GPW
WIG20 futures contracts with a multiplier of PLN 20 - GPW
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THE WARSAW STOCK EXCHANGE<br />
<strong>WIG<strong>20</strong></strong> FUTURES CONTRACTS WITH A MULTIPLIER OF <strong>PLN</strong> <strong>20</strong><br />
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Changes to <strong>WIG<strong>20</strong></strong> Futures Contracts<br />
The WSE is planning to introduce <strong>WIG<strong>20</strong></strong> <strong>futures</strong> <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong><br />
<strong>20</strong> into trading on the exchange on 23 September <strong>20</strong>13<br />
<strong>WIG<strong>20</strong></strong> <strong>futures</strong> <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong> will replace currently listed<br />
<strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> 10<br />
This presentation explains how existing <strong>contracts</strong> will be replaced <strong>with</strong> new<br />
<strong>contracts</strong> and what are the advantages <strong>of</strong> the change<br />
The above date <strong>of</strong> the introduction <strong>of</strong> <strong>WIG<strong>20</strong></strong> <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong> into trading is the scheduled date. The actual<br />
date <strong>of</strong> the introduction <strong>of</strong> the new instruments will be determined in the relevant resolution <strong>of</strong> the Exchange Management<br />
Board which will be published on the WSE website. The timeline <strong>of</strong> the replacement <strong>of</strong> <strong>contracts</strong> shown in the presentation<br />
assumes that the process will begin on 23 September <strong>20</strong>13.<br />
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What Is a Multiplier?<br />
WIG <strong>20</strong> <strong>futures</strong> <strong>contracts</strong> are listed in index points. In order to determine the value<br />
<strong>of</strong> a contract, it is necessary to determine the value <strong>of</strong> an index point. This value is<br />
determined by the <strong>multiplier</strong> <strong>of</strong> a contract.<br />
Currently the WSE lists <strong>WIG<strong>20</strong></strong> <strong>futures</strong> <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> 10<br />
In September <strong>20</strong>13, the WSE is planning to introduce <strong>futures</strong> <strong>contracts</strong> <strong>with</strong> a<br />
<strong>multiplier</strong> which will be double the existing <strong>multiplier</strong> and equal to <strong>PLN</strong> <strong>20</strong><br />
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How to Determine Contract Value?<br />
To determine the value <strong>of</strong> a <strong>WIG<strong>20</strong></strong> <strong>futures</strong> contract <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong>,<br />
multiply the price <strong>of</strong> the <strong>futures</strong> <strong>contracts</strong> by <strong>PLN</strong> <strong>20</strong><br />
The value <strong>of</strong> a <strong>WIG<strong>20</strong></strong> contract <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong> will be double the value <strong>of</strong><br />
a <strong>WIG<strong>20</strong></strong> <strong>futures</strong> contract <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> 10<br />
Example<br />
Price <strong>of</strong> a <strong>WIG<strong>20</strong></strong> contract = 2,300 index points<br />
Value <strong>of</strong> a <strong>WIG<strong>20</strong></strong> contract <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> 10 = <strong>PLN</strong> 23,000<br />
Value <strong>of</strong> a <strong>WIG<strong>20</strong></strong> contract <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong> = 46,000<br />
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What Will Be the Amount <strong>of</strong> Margins?<br />
A higher value <strong>of</strong> a <strong>futures</strong> contract <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong> implies* higher<br />
margins.<br />
Ask your brokerage house about the amount <strong>of</strong> margins on<br />
<strong>WIG<strong>20</strong></strong> <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong><br />
*Day traders should ask their brokers about intraday margins. Intraday margins are lower than margins on<br />
positions that are not closed <strong>with</strong>in the trading session. Some brokerage houses <strong>of</strong>fer or are planning to <strong>of</strong>fer<br />
intraday margins.<br />
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What Will Be the Tick Value?<br />
The tick <strong>of</strong> a <strong>WIG<strong>20</strong></strong> contract <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> 10 is 1 index point and the tick<br />
value is <strong>PLN</strong> 10.<br />
For <strong>WIG<strong>20</strong></strong> <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong>, the tick is also 1 index point but the<br />
tick value is double the existing tick value and equal to <strong>PLN</strong> <strong>20</strong><br />
Any change in the price <strong>of</strong> new <strong>contracts</strong> by 1 index point will imply<br />
a GAIN* or LOSS* <strong>of</strong> <strong>PLN</strong> <strong>20</strong> to the investor<br />
* gross gain/loss net <strong>of</strong> transaction fees<br />
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What Will Be the Transaction Fee?<br />
The transaction fee charged by the WSE to Exchange Members (brokerage houses)<br />
on trading in <strong>WIG<strong>20</strong></strong> <strong>futures</strong> <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong> will be the same as<br />
the fee charged on trading in <strong>WIG<strong>20</strong></strong> <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> 10<br />
Clients <strong>of</strong> brokerage houses should ask their broker<br />
about the amount <strong>of</strong> commissions on trading in<br />
<strong>WIG<strong>20</strong></strong> <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong><br />
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Advantages <strong>of</strong> the New Multiplier (1)<br />
The key advantage <strong>of</strong> new <strong>contracts</strong> is the tick value, which is double that <strong>of</strong><br />
currently listed <strong>contracts</strong><br />
The tick value <strong>of</strong> existing <strong>futures</strong> <strong>contracts</strong> is <strong>PLN</strong> 10 and that <strong>of</strong> new <strong>contracts</strong> will<br />
be <strong>PLN</strong> <strong>20</strong><br />
Assuming that commissions charged by brokers to clients will remain unchanged,<br />
many investors will for the first time be able to make gains on change <strong>of</strong><br />
the contract price by only one tick<br />
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Advantages <strong>of</strong> the New Multiplier (2)<br />
Example<br />
The commission per contract is <strong>PLN</strong> 6<br />
Consequently, the commission for opening and closing a position in one contract is<br />
<strong>PLN</strong> 12 (i.e., <strong>PLN</strong> for opening + <strong>PLN</strong> 6 for closing <strong>of</strong> the position)<br />
If the price <strong>of</strong> a <strong>WIG<strong>20</strong></strong> contract <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong> changes by 1 index<br />
point in the direction expected by the investor, the investor will gain <strong>PLN</strong> 8 (<strong>PLN</strong> <strong>20</strong><br />
– <strong>PLN</strong> 12)<br />
For <strong>WIG<strong>20</strong></strong> <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> 10, a change <strong>of</strong> the contract price by 1<br />
index point does not <strong>of</strong>fset the transaction cost<br />
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Advantages <strong>of</strong> the New Contract (3)<br />
The table below presents a comparison <strong>of</strong> Gain / Loss on investment in <strong>contracts</strong><br />
<strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong> and <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> 10 (assuming a<br />
commission on <strong>contracts</strong> at <strong>PLN</strong> 6)<br />
Change <strong>of</strong> contract price<br />
Gain / Loss on a contract <strong>with</strong><br />
a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong><br />
Gain / Loss on a contract <strong>with</strong><br />
a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> 10<br />
1 point<br />
(one tick)<br />
+ <strong>PLN</strong> 8 - <strong>PLN</strong> 2<br />
2 points + <strong>PLN</strong> 28 + <strong>PLN</strong> 8<br />
3 points + <strong>PLN</strong> 48 + <strong>PLN</strong> 18<br />
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Other Parameters in the Standard<br />
Specification <strong>of</strong> New Contracts<br />
New <strong>WIG<strong>20</strong></strong> <strong>contracts</strong> will be different from currently listed <strong>WIG<strong>20</strong></strong> <strong>contracts</strong> only in<br />
terms <strong>of</strong> the <strong>multiplier</strong>. All other parameters <strong>of</strong> the standard specification <strong>of</strong><br />
<strong>contracts</strong> will remain unchanged<br />
Since <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> 10 and <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong><br />
are scheduled to be listed in parallel until <strong>20</strong> June <strong>20</strong>14, the ticker symbol <strong>of</strong> new<br />
<strong>contracts</strong> will be different from the ticker symbol <strong>of</strong> existing <strong>contracts</strong><br />
The ticker symbol <strong>of</strong> new <strong>contracts</strong> will be determined in the standard specification<br />
<strong>of</strong> the instrument. In this presentation, new <strong>contracts</strong> are marked <strong>with</strong> an asterisk,<br />
e.g., FW<strong>20</strong>Z13*<br />
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New Contracts Introduction Timeline (1)<br />
Futures <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong> will replace currently listed <strong>contracts</strong><br />
<strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> 10.<br />
Changes to the listing schedule <strong>of</strong> <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> 10:<br />
After the expiration <strong>of</strong> the series FW<strong>20</strong>U13 on <strong>20</strong> September <strong>20</strong>13, the next series<br />
will not be introduced to trading on the exchange (the series that would otherwise<br />
be scheduled to be introduced into trading is FW<strong>20</strong>U14. This series will not be<br />
introduced into trading);<br />
As <strong>of</strong> 23 September <strong>20</strong>13, only 3 series will remain listed on the exchange:<br />
FW<strong>20</strong>Z13; FW<strong>20</strong>H14; FW<strong>20</strong>M14. These series will expire as scheduled (if there is<br />
no open interest in any <strong>of</strong> these series, trading in the relevant series will be<br />
suspended until the expiration <strong>of</strong> the series).<br />
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New Contracts Introduction Timeline (2)<br />
The figure below presents changes to the listing schedule <strong>of</strong> <strong>WIG<strong>20</strong></strong> <strong>futures</strong> <strong>contracts</strong><br />
<strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> 10:<br />
The series FW<strong>20</strong>U13 (in green) will expire on <strong>20</strong><br />
September <strong>20</strong>13. The next series (FW<strong>20</strong>U14, in<br />
white) WILL NOT BE introduced into trading on<br />
the exchange. This series WILL NOT BE listed on 23<br />
September <strong>20</strong>13<br />
The last series <strong>of</strong> <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> 10 will be the series FW<strong>20</strong>Z13;<br />
FW<strong>20</strong>H14 and FW<strong>20</strong>M14 (in blue). These series will expire as scheduled. The last<br />
series (FW<strong>20</strong>M14) will expire on <strong>20</strong> June <strong>20</strong>14 (if there is no open interest in any <strong>of</strong><br />
these series, trading in the relevant series will be suspended until the expiration <strong>of</strong><br />
the series).<br />
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New Contracts Introduction Timeline (3)<br />
The scheduled date <strong>of</strong> the introduction <strong>of</strong> the first series <strong>of</strong> <strong>WIG<strong>20</strong></strong> <strong>futures</strong><br />
<strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong> into trading is 23 September <strong>20</strong>13.<br />
The following 4 series <strong>of</strong> such <strong>contracts</strong><br />
will be introduced into trading on the exchange:<br />
Ticker symbol<br />
Expiration date<br />
FW<strong>20</strong>Z13* <strong>20</strong> December <strong>20</strong>13<br />
FW<strong>20</strong>H14* 21 March <strong>20</strong>14<br />
FW<strong>20</strong>M14* <strong>20</strong> June <strong>20</strong>14<br />
FW<strong>20</strong>U14* 19 September <strong>20</strong>14<br />
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New Contracts Introduction Timeline (4)<br />
The figure below presents the listing schedule <strong>of</strong> the first series <strong>of</strong> <strong>contracts</strong> <strong>with</strong> a<br />
<strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong> to be introduced into trading on 23 September <strong>20</strong>13<br />
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New Contracts Introduction Timeline (5)<br />
The date <strong>of</strong> the introduction <strong>of</strong> the first series <strong>of</strong> <strong>WIG<strong>20</strong></strong> <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong><br />
<strong>of</strong> <strong>PLN</strong> <strong>20</strong> into trading scheduled on 23 September <strong>20</strong>13* may not be feasible. In<br />
that case, the new <strong>contracts</strong> will be introduced into trading as soon as reasonably<br />
practicable after that date.<br />
Any postponement <strong>of</strong> the date <strong>of</strong> the introduction <strong>of</strong><br />
<strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong> into trading<br />
does not affect the rules for <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> 10 described above<br />
(the dates and actions described therein will be binding).<br />
*The date <strong>of</strong> the introduction <strong>of</strong> the first series <strong>of</strong> <strong>WIG<strong>20</strong></strong> <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong> into trading will be determined in<br />
the relevant resolution <strong>of</strong> the Exchange Management Board (the resolution will be published on the WSE website).<br />
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New Contracts Introduction Timeline (6)<br />
The figures below present:<br />
the listing schedule <strong>of</strong> <strong>WIG<strong>20</strong></strong> <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> 10<br />
the timeline <strong>of</strong> the introduction <strong>of</strong> the first series <strong>of</strong> <strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong><br />
<strong>PLN</strong> <strong>20</strong> into trading<br />
Listing schedule <strong>of</strong> <strong>WIG<strong>20</strong></strong> <strong>futures</strong><br />
<strong>contracts</strong> <strong>with</strong> a <strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> 10 (see<br />
slide 13 for a detailed description)<br />
Timeline <strong>of</strong> the introduction <strong>of</strong> the first<br />
series <strong>of</strong> <strong>WIG<strong>20</strong></strong> <strong>futures</strong> <strong>contracts</strong> <strong>with</strong> a<br />
<strong>multiplier</strong> <strong>of</strong> <strong>PLN</strong> <strong>20</strong> into trading<br />
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The Warsaw Stock Exchange<br />
4, Książęca St., 00-498 Warsaw, Poland<br />
tel. (022) 628 32 32, fax (022) 628 17 54, 537 77 90<br />
www.gpw.pl<br />
www.gpwtrader.pl<br />
pochodne@gpw.pl<br />
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