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-3.25-6.250-0,061,30000,000 archive
AFKS-3.25-6.2510671034106210959744388 008 565,00161 archive
AFLT-3.25-6.2518616518526716012849 732 666,00261 archive
ALIBABA-3.25-6.254,664,564,95,24,064405 404 548,85114 archive
ALRS-3.25-6.252862692862962152521 567 592,0046 archive
ALUM-3.25-6.2504180,50000,000 archive
AMD-3.25-6.250-1,783,480000,000 archive
ASTR-3.25-6.2532303334301262593 190,00111 archive
AUDU-3.25-6.250-0,030,030000,000 archive
BAIDU-3.25-6.253,292,743,243,352,8122175 942,7411 archive
BANE-3.25-6.25-1-22214-2762166 812,0017 archive
BELUGA-3.25-6.253625353624208117 398,009 archive
BR-3.25-4.25-0,53-0,54-0,52-0,36-0,56356442 224 145 166,456217 archive
BR-4.25-5.25-0,36-0,4-0,35-0,19-0,4286053 493 254,08126 archive
BR-5.25-6.250,520,430,510,610,44603 728 093,7026 archive
BR-6.25-7.2500,670,890000,000 archive
BRM-3.25-4.250-0,52-0,410000,000 archive
BRM-4.25-5.250-0,440,740000,000 archive
BRM-5.25-6.250-0,711,390000,000 archive
BRM-6.25-7.250-0,871,490000,000 archive
BRM-7.25-8.250-1,382,960000,000 archive
BSPB-3.25-6.25305307824421 733 088,0072 archive
BYN-3.25-6.250000000,000 archive
CBOM-3.25-6.252472232492471391461 578 723,0054 archive
CHMF-3.25-6.25630045006132630060006833 982,002 archive
CNI-3.25-6.2502886080000,000 archive
CNY-3.25-6.250,540,530,540,570,536380007 899 920 717,0020224 archive
COCOA-3.25-5.2514,614,41621,210,6457838 508 603,001478 archive
COPPER-3.25-6.2510022930030410020163 165,223 archive
DAX-3.25-6.25-378-488-425-378-5001963 241 844,2843 archive
DJ30-3.25-6.25-0,5-0,80,70,5-1,28301 615,524 archive
ED-3.25-6.25-0,01-0,01-0,01-0,01-0,01200081 787 344 638,942986 archive
EM-3.25-6.2501,4400000,000 archive
Eu-3.25-6.2529412922294629972786305822 889 583 909,008417 archive
FEES-3.25-6.254754774885104752482 134 018,0076 archive
FESH-3.25-6.25007480042297 624,0012 archive
FLOT-3.25-6.254524484865134342382 482 778,0074 archive
FNI-3.25-6.250-6037420000,000 archive
GAZR-3.25-6.259019019059388828722154 135 733,002497 archive
GBPU-3.25-6.250-0,020,020000,000 archive
GL-3.25-6.25505,9505,9507,9527,8498,8518844 449 739,501315 archive
GMKN-3.25-6.2574747579692411834 548 025,001844 archive
GOLD-3.25-6.2575,975,876,482,673,1159624 031 201 700,473007 archive
HANG-3.25-6.2574474475684968019305 186 959,43129 archive
HKD-3.25-6.2500,130,580000,000 archive
HOME-3.25-6.25091011100000,000 archive
HYDR-3.25-6.25332332348355323166962 588,0047 archive
INDIA-3.25-6.2500,450,710000,000 archive
INR-3.25-6.250-0,010,120000,000 archive
IPO-3.25-6.25033,5106,50000,000 archive
IRAO-3.25-6.25-153-277-154524-4001646 329 265,0050 archive
ISKJ-3.25-6.255152575551148147 226,0024 archive
KMAZ-3.25-6.25807880866910441 416 395,00221 archive
KZT-3.25-6.250-1,750,80000,000 archive
LEAS-3.25-6.25494749694420661 684 790,00122 archive
LKOH-3.25-6.25-153-153-42-23-3181027 822 279,0039 archive
MAGN-3.25-6.251797144717771849896602 468 640,0030 archive
MGNT-3.25-6.252392312412452074962 632 284,00105 archive
MIX-3.25-6.25141251407514150146251340053641 796 247 250,002114 archive
MMI-3.25-6.250-49810060000,000 archive
MOEX-3.25-6.25213196240213642585 835 349,0080 archive
MOEXCNY-3.25-6.25-5,9-5,9-1,99,5-17,71902 804 521,8772 archive
MTLR-3.25-6.25-77-99-73-52-1885626 370 386,00144 archive
MTSI-3.25-6.25137613801396151612933749 727 119,00132 archive
MVID-3.25-6.255358738553454538 696,0010 archive
MXI-3.25-6.25142,65142,2142,65146,514012978435 058 010,004048 archive
NASD-3.25-6.2535035135535628210564193 655 552,671987 archive
NG-3.25-4.250,060,050,060,060,0527944957 533 697,047748 archive
NG-4.25-5.250,130,130,140,170,13110638 812 644,51339 archive
NG-5.25-6.250,070,060,080,090,05622 227 070,6927 archive
NG-6.25-7.250-0,020,020000,000 archive
NGM-3.25-4.250,080,050,060,130,05386132 212,9428 archive
NGM-4.25-5.2500,060,10000,000 archive
NGM-5.25-6.2500,010,060000,000 archive
NGM-6.25-7.250-0,040,020000,000 archive
NICKEL-3.25-6.2502004300000,000 archive
NIKK-3.25-6.25-1500-1173-690-1500-150024 501,361 archive
NLMK-3.25-6.257957307907957251402 277 110,0038 archive
NOTK-3.25-6.254800475048705999400129838 654 942,00124 archive
OGI-3.25-6.2502668920000,000 archive
PHOR-3.25-6.2521218122722717720141 199,008 archive
PIKK-3.25-6.252893023283712893382 299 114,0066 archive
PLD-3.25-6.2541,341,3442,6544,338,13106488 665 551,45319 archive
PLT-3.25-6.252625,526,527,821,816814 340 180,6868 archive
PLZL-3.25-6.25102310232545265819311823 318 666,0057 archive
POSI-3.25-6.25868588938221563 528 875,00626 archive
R2000-3.25-6.2510111237 327,081 archive
RASP-3.25-6.2514014115515714036102 401,008 archive
RGBI-3.25-6.2532232332551127217450190 112 977,00818 archive
RGBI-6.25-9.2540041144052340044496 471,005 archive
RNFT-3.25-6.251031031041118128484 624 009,00216 archive
ROSN-3.25-6.25321531683228322031281629 539 703,0074 archive
RTKM-3.25-6.254174144234404138866 722 993,00207 archive
RTS-12.25-3.261980-6601810198019802403 001,851 archive
RTS-3.25-6.251701702305801702962588 924 752,531310 archive
RTS-6.25-9.251018062093010244 800 533,9912 archive
RTS-9.25-12.2522022023028022061 196 975,653 archive
RTSM-3.25-6.2532,53,550,5110421 922 948,19299 archive
RUAL-3.25-6.2523523423523722714526 191 444,00302 archive
RVI-3.25-4.250-3,151,550000,000 archive
SBPR-3.25-6.25157615761608162215621203 845 177,0051 archive
SBRF-3.25-6.25163516341645170016145558178 884 107,002109 archive
SFIN-3.25-6.25969697,8112,284,2534892 385,0075 archive
SIBN-3.25-6.253373343423622977244 835 731,00207 archive
SILV-3.25-6.251,031,031,041,150,9125218709 376 948,601265 archive
SMLT-3.25-6.2591899199871644424 851 677,001443 archive
SNGP-3.25-6.2533113263331633113178643 786 069,0022 archive
SNGR-3.25-6.25168316681686172816502045 956 330,0071 archive
SOFL-3.25-6.257575798475298386 046,0056 archive
SPBE-3.25-6.250841290000,000 archive
SPYF-3.25-6.2511,9211,9211,9812,9111,675240271 122 940,981338 archive
STOX-3.25-6.25-57,2-115-53,2-57,2-57,2210 039,381 archive
SUGAR-3.25-4.251300750130013001300212 458,001 archive
SUGAR-4.25-5.25900-480860900900212 714,001 archive
SUGAR-5.25-6.250-1209600000,000 archive
SUGR-3.25-5.250-0,96-0,070000,000 archive
SUGR-5.25-7.250-1,335,160000,000 archive
SVCB-3.25-6.2510710711014510220923 596 453,00296 archive
Si-3.25-6.253681368036813918347020952019 094 224 772,0024595 archive
Si-6.25-9.25390038693900399736501224116 568 805,00420 archive
T-6.25-9.25231231234297226301610 982 971,00488 archive
TATN-3.25-6.2535003308356235003293523 930 370,0025 archive
TATP-3.25-6.25363379391400363110793 738,0016 archive
TRNF-3.25-6.25757475797433364 138 766,00426 archive
TRY-3.25-6.250,030,010,120,140,03410 221,002 archive
UCAD-3.25-6.250-0,020,020000,000 archive
UCHF-3.25-6.250-0,020,010000,000 archive
UCNY-3.25-6.25-0,01-0,02-0,01-0,01-0,0311410 030 017,9454 archive
UJPY-3.25-6.250-0,584,770000,000 archive
UKZT-3.25-6.250-40,882,20000,000 archive
UTRY-3.25-6.250-1,424,980000,000 archive
VKCO-3.25-6.2520720520720920226909 362 945,00474 archive
VTBR-3.25-6.2552852652856852217196162 340 205,002322 archive
WHEAT-2.25-3.250301700000,000 archive
WHEAT-3.25-4.250-201800000,000 archive
WHEAT-4.25-5.250-501000000,000 archive
WHEAT-5.25-6.250-1602100000,000 archive
WUSH-3.25-6.25135133134139125729216 371 739,001395 archive
X5-3.25-6.251151071181931156542 252 421,0061 archive
YDEX-3.25-6.25235234235243224677031 245 026,00877 archive
ZINC-3.25-6.25025,595,50000,000 archive
 
 
CONTACTS

 

Derivatives Market Department of Moscow Exchange

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