- Trading Screen Product Name
- Three Month SONIA
- Trading Screen Hub Name
- ICEU
- Contract Symbol
SO3
- Unit of Trading
One Three Month SONIA Index Future
- Contract Series
8 Quarterly and 4 Serial
The expiry months available for trading will be the relevant number
of nearest quarterly expiry months and the relevant number of
nearest serial expiry months. A new expiry month is available for
trading the business day after the Last Trading Day of an expiry
month, with the exception of Five Year Mid-Curve Options for which
a new expiry month is available for trading on the Thursday
following the Last Trading Day.
- Contract Standard
Assignment of one Three Month SONIA futures contract for the
delivery month at the exercise price. The futures delivery month
associated with each expiry month shall be:
March in respect of January, February and March expiry months;
June in respect of April, May and June expiry months;
September in respect of July, August and September expiry
months;
December in respect of October, November and December expiry
months.
- Last Trading Day
Friday before the third Wednesday of the expiry month
If such Friday is not a business day, “Last Trading
Day” shall mean the business day immediately preceding such
day.
On the Last Trading Day, trading in the expiring month will cease
at 15:15.
All times are London Local Time (LLT)
- Exercise Procedure
(a) Business days other than Last Trading Day: 17:00
(b) Last Trading Day for Serial Expiry Months: 16:00
- Expiry
Expiry Time: 16:00
- Minimum Price Fluctuation
0.0025 (£6.25)
- Strike Price Intervals
For all expiry months: 0.0500, (i.e. 0.0500%) e.g. 99.0000,
99.0500, 99.1000, 99.1500 etc
For all contract months:
A minimum of 31 Strike Prices in increments of "Exercise Price
Intervals" above and below the at-the-money Strike Price. The
“at-the-money” strike price is the closest interval
nearest to the previous business day’s settlement price of
the corresponding underlying future. Strike Price boundaries are
adjusted according to futures price movements. User-defined Strike
Prices are allowed in the defined Exercise Price Intervals
increments.
- Cabinet Transaction Value
£2.50
- Algorithm
Central order book applies a gradual time based pro-rata (GTBPR)
matching algorithm with a time-weighting of 1 (ie the algorithm is
effectively a priority pro-rata matching algorithm) with priority
given to the first order at the best price subject to a minimum
order size (collar) and limited to a maximum order size (cap).
- Wholesale Trade Types
Block Trading, Asset Allocation
Minimum Volume Thresholds can be found
here
- Option Premium
The contract price is not paid at the time of purchase. Option
positions, as with futures position, are settled-to-market daily
giving rise to positive or negative variation margin flows. When
the Buyer exercises/abandons an option, the Buyer is required to
pay the original contract price to the Exchange's Clearing House
(CH) and the CH will pay the original option price to the Seller on
the following business day. Such payments will be netted against
the variation margin balances of Buyer and Seller by the CH.
- MIC Code
- IFLL
- Clearing Venues
- ICEU