Exchange-traded derivative contract: Difference between revisions
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'''Exchange-traded derivative contracts''' are standardized [[derivative contract]]s |
'''Exchange-traded derivative contracts''' are standardized [[derivative contract]]s such as [[futures contract|futures]] and [[option (finance)|options]] contracts that are transacted on an organized [[futures exchange]]. They are standardized and require payment of an initial deposit or [[Margin (finance)|margin]] settled through a [[clearing house (finance)|clearing house]].<ref>{{cite web |url=http://chicagofed.org/webpages/publications/understanding_derivatives/index.cfm |title=Understanding Derivatives: Markets and Infrastructure |publisher=Federal Reserve Bank of Chicago, Financial Markets Group |date=2013}}</ref> Since the contracts are standardized, accurate pricing models are often available.<ref>{{cite web |url=http://chicagofed.org/digital_assets/publications/policy_discussion_papers/2009/PDP2009-2.pdf |title=Clearing and Settlement of Exchange-Traded Derivatives |author=John McPartland |publisher=Federal Reserve Bank of Chicago |date=October 1, 2009 }}</ref> To understand which derivative is being traded a standardised [[option naming convention|naming convention]] has been developed by the exchanges, that shows the expiry month and strike price using special letter codes. |
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==Naming convention== |
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These contracts can include ''futures'', ''[[call option|call]]'' and ''[[Put option|put]]''. Part of the name of these contracts always reflect on which date the contract expire. For example, a future ABC expiring in September 2006 will be called ABC U06. A call (C) option ABC expiring in September 2006 will be called ABC I06C. A put (P) option ABC expiring in September 2006 will be called ABC U06P. The future and [[option naming convention]] are defined by each exchange but typical expiration month codes used is shown in the table below. |
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===Expiration month codes=== |
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{| class="wiki table" |
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|- |
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! Months |
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! Call |
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! Put |
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! Futures |
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|- |
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| '''Jan. ''' |
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| A |
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| M |
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| F |
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|- |
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| '''Feb. ''' |
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| B |
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| N |
|||
| G |
|||
|- |
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| '''Mar ''' |
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| C |
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| O |
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| H |
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|- |
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| '''Apr. ''' |
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| D |
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| P |
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| J |
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|- |
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| '''May ''' |
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| E |
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| Q |
|||
| K |
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|- |
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| '''Jun. ''' |
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| F |
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| R |
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| M |
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|- |
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| '''Jul. ''' |
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| G |
|||
| S |
|||
| N |
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|- |
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| '''Aug. ''' |
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| H |
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| T |
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| Q |
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|- |
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| '''Sept. ''' |
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| I |
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| U |
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| U |
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|- |
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| '''Oct. ''' |
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| J |
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| V |
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| V |
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|- |
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| '''Nov. ''' |
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| K |
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| W |
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| X |
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|- |
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| '''Dec. ''' |
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| L |
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| X |
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| Z |
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|} |
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==References== |
==References== |
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{{reflist}} |
{{reflist}} |
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* [http://chicagofed.org/digital_assets/publications/policy_discussion_papers/2009/PDP2009-2.pdf Clearing and Settlement of Exchange-Traded Derivatives] by John McPartland (Federal Reserve Bank of Chicago) |
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* [http://chicagofed.org/webpages/publications/understanding_derivatives/index.cfm Understanding Derivatives: Markets and Infrastructure] Federal Reserve Bank of Chicago, Financial Markets Group |
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Revision as of 22:50, 30 May 2017
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Exchange-traded derivative contracts are standardized derivative contracts such as futures and options contracts that are transacted on an organized futures exchange. They are standardized and require payment of an initial deposit or margin settled through a clearing house.[1] Since the contracts are standardized, accurate pricing models are often available.[2] To understand which derivative is being traded a standardised naming convention has been developed by the exchanges, that shows the expiry month and strike price using special letter codes.
References
- ^ "Understanding Derivatives: Markets and Infrastructure". Federal Reserve Bank of Chicago, Financial Markets Group. 2013.
- ^ John McPartland (October 1, 2009). "Clearing and Settlement of Exchange-Traded Derivatives" (PDF). Federal Reserve Bank of Chicago.
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