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Product overview

One session options are European-style options that are valid for one trading session only, expiring prior to the start of the next trading session. One session options on 3 year and 10 year treasury bonds are cost effective and flexible tools for market users and can be used for:

  • Protecting interest rate positions against short-term price movements
  • Hedging positions from the risk of events like cash rate announcements and economic data releases
  • Creating multi-leg strategies like straddles and strangles
  • Creating an interest rate 'stop loss' by establishing a firm exit price.

 

Like any investment, futures and options on futures have risks you need to understand before trading. You should obtain independent advice from a professional adviser before making a decision.

Contract specifications

  One Session Options on 3 Year Treasury Bond Futures One Session Options on 10 Year Treasury Bond Futures  
Commodity code
  • Intra-day Options YD
  • Overnight Options YO
  • Intra-day Options XD
  • Overnight Options XO
 
Contract unit
  • One unit for a specified contract month on ASX 24
  • One unit for a specified contract month on ASX 24
 
Option type
  • European
  • European
 
Contract months 
  • Available on spot month only
  • Available on spot month only
     
Minimum price movement
  • Quoted in yield per cent per annum in multiples of 0.005%
  • Quoted in yield per cent per annum in multiples of 0.005%
 
Exercise prices
  • Set at intervals of 0.01% per annum yield
  • Set at intervals of 0.01% per annum yield
 
Contract expiry
  • Intra-day options: at 4:10pm in the NTP session in which the contract was listed for trading
  • Overnight options: at the cessation of each NTP session
  • Intra-day options: at 4:10pm in the NTP session in which the contract was listed for trading
  • Overnight options: at the cessation of each NTP session
 
Settlement method
  • All options, which are in-the-money, are automatically exercised, resulting in the holder receiving a futures position at the options strike price
  • Weighted average of trade prices.  Where the underlying futures contract minimum price increment is set to 0.005 per cent, the weighted average of trade prices shall be calculated to 4 decimal places and rounded to the nearest multiple of 0.005; if the 3rd and 4th decimal places are 2 and 5 or 7 and 5 respectively, the weighted average shall be rounded to the next highest multiple of 0.005.

    Where the underlying futures contract minimum price increment is set to 0.002 per cent, the weighted average of trade prices shall be calculated to 4 decimal places and rounded 3 decimal places; if the 3rd decimal place is an odd number and the 4th decimal place is 0, the weighted average shall be rounded to the next highest multiple of 0.002.
  • Intra-day options: settlement price is the weighted average of trade prices executed in the underlying futures contract between 4:15pm and 4:25pm (excludes any Exchange for Physical (EFP), Custom Market and intra and inter-commodity spread trades)
  • Overnight options: settlement price is the weighted average contract of trade prices executed in the underlying contract between 8:30am and 8:40am on the business day immediately following the NTP session (excludes any EFP, Custome Market, intra and inter-commodity spread trades and any trades that occur during the Levelling Phase).
  • All options, which are in-the-money, are automatically exercised, resulting in the holder receiving a futures position at the options strike price
  • Weighted average of trade prices.  Where the underlying futures contract minimum price increment is set to 0.005 per cent the weighted average of trade prices shall be calculated to 4 decimal places and rounded to the nearest multiple of 0.005 per cent per annum; if the 3rd and 4th decimal places are 2 and 5 or 7 and 5 respectively, the weighted average shall be rounded to the next highest multiple of 0.005 per cent per annum.

    Where the underlying futures contract minimum price increment is set to 0.001 per cent the weighted average of trade prices shall be calculated to 4 decimal places and rounded to the nearest multiple of 0.001 per cent per annum; if the 4th decimal place is 5, the weighted average shall be rounded to the next highest multiple of 0.001 per cent per annum.
  • Intra-day options: settlement price is the weighted average of trade prices executed in the underlying futures contract between 4:15pm and 4:25pm (excludes any Exchange for Physical (EFP), Custom Market and intra and inter-commodity spread trades)
  • Overnight options: settlement price is the weighted average contract of trade prices executed in the underlying contract between 8:32am and 8:42am on the business day immediately following the NTP session (excludes any EFP, Custome Market, intra and inter-commodity spread trades and any trades that occur during the Levelling Phase).
 
Last day of trading

Intra-day Options

  • The business day prior to the last day of trading in the underlying futures contract.
  • On the last day of trading of the underlying futures contract put and call options will be listed on the next quarter month.

Overnight Options

  • The business day prior to the last day of trading in the underlying futures contract.

Intra-day Options

  • The business day prior to the last day of trading in the underlying futures contract.
  • On the last day of trading of the underlying futures contract put and call options will be listed on the next quarter month.

Overnight Options

  • The business day prior to the last day of trading in the underlying futures contract.
 
Regulatory approvals

 Approved for trading by:

  • US Commodity Futures Trading Commission (CFTC)
  • UK Financial Conduct Authority (FCA)
  • Monetary Authority of Singapore (MAS)
  • Hong Kong Securities and Futures Commission (SFC Hong Kong).
 

Trading hours: unless otherwise indicated, all times are in Sydney times. US daylight saving begins second Sunday in March and ends first Sunday in November.

Market essentials