1

This document is for information only. London Stock Exchange Group has made reasonable efforts to 

ensure that the information contained in this document is correct at the time of printing, but shall not 

be liable for any decisions made in reliance on it. It does not constitute investment advice, nor is it 

intended to constitute an invitation or inducement to engage in any investment activity. This 

document does not constitute an offer to sell or the solicitation of an offer to purchase any security, 

investment product or service in the United States or any other jurisdiction in which such an offer or 

solicitation is not authorised.

© September 2013.

London Stock Exchange Group plc, 10 Paternoster Square, London EC4M 7LS.

London Stock Exchange 

Derivatives Market 

Contract Specifications
2

1.0 IOB derivatives 3

1.1 IOB DR futures 3

1.2 IOB DR options 4

1.3 FTSE RIOB futures 5

1.4 FTSE RIOB options 6

1.5 IOB DR Dividend futures 7

1.6 IOB DR Late Dividend futures 8

2.0 Norwegian derivatives 9

2.1 Norwegian stock futures 9

2.2 Norwegian stock options 10

2.3 OBX Index futures 11

2.4 OBX Index options 12

2.5 OBOSX Index futures 13

3.0 UK derivatives 14

3.1 UK stock options 14

3.2 FTSE 100 Index futures 15

3.3 FTSE 100 Index options 16

3.4 FTSE UK Large Cap Super Liquid Index futures 17

The Contract Specifications for Listed Products traded on the London Stock Exchange 

Derivatives Market are set out in this document. This document forms part of this rule book and 

shall have effect as if set out in full in the body of this rule book.

Contents
3

1.0 IOB derivatives

1.1 IOB DR futures

Parameter Description

Contract Underlying

Depositary Receipts (DRs) on International Companies listed on the London Stock 

Exchange‟s (LSE) International Order Book (IOB) and listed in the London Stock Exchange 

Derivatives Market – Product List on the LSEG Website.

Type of Contract Physically settled Futures Contracts with Daily Cash Settlement.

Central Counterparty LCH.Clearnet.

Trading Hours

08:15 – 15:30 London time for Orderbook trading.

07:30 – 17:30 London time for Trade Reporting.

Multiplier 100 DRs. This may change in specific cases in accordance with the Recalculation Rules.

Currency USD, United States Dollar, $.

Quotation display Future Price in USD.

Tick Size and Tick Value

Tick Size Tick Value

USD 0.10 USD 10

Settlement style Physical Settlement by Delivery of the Underlying DR on Expiration with Daily Cash 

Settlement throughout the lifetime of the Contract.

Listing Day

The Monday following the Expiration Day each month. Where this is not a normal Trading 

Day, the following Trading Day shall be used.

Expiration Day

The third Friday in the Expiration Month. Where this is not a normal Trading Day, the 

preceding Trading Day shall be used.

Contract lifetimes and 

Expiration Months

First two serial months and next four quarterly months of the “March, June, September and 

December” expiry cycle.

Daily Settlement Price The official closing price of the Underlying DR on the London Stock Exchange IOB on each 

day adjusted for Fair Value.

Daily Cash Settlement One Bank Day after the Trade Day/ calculation of Daily Settlement Price for cash 

movements of Daily Settlement Amounts.

Expiration Settlement 

Price

The official closing price of the Underlying DR on the London Stock Exchange IOB on 

Expiration Day. London Stock Exchange Derivatives Market shall take this value and round 

up to the nearest two decimal places to establish the Expiration Settlement Price.

Expiration Settlement Three Trading Days after Expiration for Physical Delivery of DRs against payment of 

Expiration Settlement Amount.

Tailor-made Contracts: 

Flexible Parameters

 Expiration Day (any Trading Day out to Five years)

 Future Price (to four decimal places)
4

1.2 IOB DR options

Parameter Description

Contract Underlying Depositary Receipts (DRs) on International Companies listed on the London Stock 

Exchange‟s (LSE) International Order Book (IOB) and listed in the London Stock Exchange 

Derivatives Market – Product List on the LSEG Website.

Type of Contract European Style, physically settled DR Call and Put Option Contracts.

Central Counterparty LCH.Clearnet.

Trading Hours

08:15 – 15:30 London time for Orderbook trading.

07:30 – 17:30 London time for Trade Reporting.

Exercise Window 18:10 – 18:40 London time on Expiration Day.

Multiplier 100 DRs. This may change in specific cases in accordance with the Recalculation Rules.

Currency USD, United States Dollar, $.

Quotation display Option Premium in USD.

Tick Size and Tick Value

Premium Tick Size Tick Value

USD 0.01 - USD 0.25 USD 0.01 USD 1

USD 0.25 - USD 3.95 USD 0.05 USD 5

USD 4.0 - USD 9.90 USD 0.10 USD 10

USD 10.0 - USD ∞ USD 0.25 USD 25

Listing Day The Monday following the Expiration Day each month. Where this is not a normal Trading 

Day, the following Trading Day shall be used.

Expiration Day The third Friday in the Expiration Month. Where this is not a normal Trading Day, the 

preceding Trading Day shall be used.

Contract lifetimes and 

Expiration Months

First two serial months and next four quarterly months of the “March, June, September and 

December” expiry cycle

End of Day Price

Used for margining purposes, based on the volatility surface, itself dependent on; quotes per 

series, Underlying spot price, applicable interest rate, dividend amount (if applicable), exdividend date (if applicable), the second order interpolation and the arbitrage free surface.

Exercise Settlement Price

The official closing price of the Underlying DR on the London Stock Exchange IOB on 

Expiration Day. London Stock Exchange Derivatives Market shall take this value and round 

up to the nearest two decimal places to establish the Expiration Settlement Price.

Exercise Settlement Three Bank Days after Exercise for Physical Delivery of DR against payment of Exercise 

Settlement Amount.

Premium Settlement One Bank Day after the Trade Day.

Tailor-made Contracts: 

Flexible Parameters

 Expiration Day (any Trading Day out to Five years)

 Premium (to four decimal places)

 Strike Price (to two decimal places)
5

1.3 FTSE RIOB futures

Parameter Description

Contract Underlying The FTSE Russia IOB Index (FTSE RIOB Index).

Type of Contract Cash settled Futures Contracts with Daily Cash Settlement.

Central Counterparty LCH.Clearnet.

Trading Hours 08:15 – 16:00 London time for Orderbook trading.

08:15 – 15:30 London time for Orderbook trading of Expiration Day.

07:30 – 17:30 London time for Trade Reporting.

Multiplier USD 50 per Index point.

Currency USD, United States Dollar, $.

Quotation display Future Price in Index points.

Tick Size and Tick Value Tick Size Tick Value

0.25 points USD 12.5

Settlement style Cash Settlement on Expiration with Daily Cash Settlement throughout the lifetime of the 

Contract.

Listing Day The Monday following the Expiration Day each month.

Where this is not a normal Trading Day, the following Trading Day shall be used.

Expiration Day The third Friday in the Expiration Month. Where this is not a normal Trading Day, the 

preceding Trading Day shall be used.

Contract lifetimes and 

Expiration Months

Out to 12 months:

First four quarterly of „March, June, September, December‟ cycle.

Daily Settlement Price The official closing price of the FTSE RIOB Index on the London Stock Exchange IOB each 

day adjusted for Fair Value.

Daily Cash Settlement One Bank Day after the Trade Day/ calculation of Daily Settlement Price for cash movements 

of Daily Settlement Amounts.

Expiration Settlement 

Price

The official closing price of the FTSE RIOB Index on the London Stock Exchange IOB on 

Expiration Day.

Expiration Settlement One Bank Day after Expiration for payment of Expiration Settlement Amount.

Tailor-made Contracts: 

Flexible Parameters

 Expiration Day (any Trading Day out to Five years)

 Future Price (to two decimal places)
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1.4 FTSE RIOB options

Parameter Description

Contract Underlying The FTSE Russia IOB Index (FTSE RIOB Index).

Type of Contract European Style, cash settled DR Call and Put Options Contracts.

Central Counterparty LCH.Clearnet.

Trading Hours

08:15 – 15:30 London time for Orderbook trading.

07:30 – 17:30 London time for Trade Reporting.

Exercise Window 18:10 – 18:40 London time on Expiration Day.

Multiplier USD 50 per Index point.

Currency USD, United States Dollar, $.

Quotation display Option Premium in Index points.

Tick Size and Tick Value

Premium Tick Size Tick Value

0.0 points - 0.10 points 0.01 points USD 0.5

0.1 points - 3.95 points 0.05 points USD 2.5

4.0 points - 9.90 points 0.10 points USD 5.0

10 points - ∞ points 0.25 points USD 12.5

Listing Day The Monday following the Expiration Day each month. Where this is not a normal Trading Day, 

the following Trading Day shall be used.

Expiration Day The third Friday in the Expiration Month. Where this is not a normal Trading Day, the preceding 

Trading Day shall be used.

Contract lifetimes and 

Expiration Months

Out to 12 months:

First four quarterly Contracts of „March, June, September, December‟ cycle.

End of Day Price

Used for margining purposes, based on the volatility surface, itself dependent on; quotes per 

series, Underlying spot price, applicable interest rate, dividend amount (if applicable), exdividend date (if applicable), the second order interpolation and the arbitrage free surface.

Exercise Settlement Price The official closing price of the FTSE RIOB as calculated by FTSE on Expiration Day following 

the closing auction on the IOB.

Exercise Settlement One Bank Day after Expiration Day for payment of Exercise Settlement Amount.

Premium Settlement One Bank Day after the Trade Day.

Tailor-made Contracts: 

Flexible Parameters

 Expiration Day (any Trading Day out to Five years)

 Premium (to two decimal places)

 Options Strike Price (to two decimal places)

 Option Style (American/European)
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1.5 IOB DR Dividend futures

Parameter Description

Contract Underlying

The Annual Gross Dividend paid per relevant DR. “Annual” is defined as having gone ex 

between the first Business Day after the third Friday of December and the third Friday of 

December the following year.

Type of Contract Cash settled Futures Contracts with Daily Cash Settlement.

Central Counterparty LCH.Clearnet.

Trading Hours 08:15 – 15:30 London time for Orderbook trading.

07:30 – 17:30 London time for Trade Reporting.

Multiplier

100 DR dividends. 

This may change in specific cases in accordance with the Recalculation Rules.

Currency USD, United States Dollar, $.

Quotation display Future Price in USD.

Tick Size and Tick Value

Future Price Tick Size Tick Value

USD 0.0000 - USD 0.9995 USD 0.0005 USD 0.05

USD 1.0000 - USD 4.9990 USD 0.0010 USD 0.10

USD 5.0000 - USD ∞ USD 0.0100 USD 1.00

Settlement style Cash Settlement on Expiration with Daily Cash Settlement throughout the lifetime of the 

Contract.

Listing Day

The Monday preceding the Expiration Day each year.

Where this is not a normal Trading Day, the preceding Trading Day shall be used.

Expiration Day

The third Friday in the Expiration Month (January).

Where this is not a normal Trading Day, the preceding Trading Day shall be used.

Contract lifetimes and 

Expiration Months

Out to two years. First two contracts of the „January‟ cycle.

Daily Settlement Price

The most up to date announcement by the Depository Bank relating to the Dividend. In the 

period before any announcements are made, London Stock Exchange Derivatives Market will 

use relevant dividend forecasts as supplied by its chosen Dividend Information Provider. Note 

that the Daily Settlement Price is NOT adjusted for Fair Value.

Daily Cash Settlement

One Bank Day after the Trade Day/ calculation of Daily Settlement Price for cash movements of 

Daily Settlement Amounts.

Expiration Settlement 

Price

The amount of Gross Ordinary Dividend paid by the Depository Bank on or before the close of 

trading on the Expiration Day and normally rounded to four decimal places. This is in relation to 

the Dividends which are marked ex between the first Trading Day after the third Friday in 

December and the third Friday in December the following year.

Expiration Settlement One Bank Day after Expiration for payment of Expiration Settlement Amount.
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1.6 IOB DR Late Dividend futures

Parameter Description

Contract Trigger

Late IOB DR Futures only exist when a Dividend that was marked ex for a normal IOB DR 

Dividend Future has not been physically paid in its entirety by the Depository Bank before 

Expiration of the normal IOB DR Dividend Future Contract. Late IOB DR Dividend Contracts are 

extensions of normal Contracts to protect against any late payments of Dividends by Issuers.

Automatic Allocation

If not all Dividends are paid on the Underlying DR by Expiration, an equal position in “Late IOB 

DR Dividend Futures” is automatically created for any normal IOB DR Dividend Future position 

carried to Expiration. The position is opened at a price of zero and is subject to Daily Cash 

Settlement calculations specified below.

Contract Underlying Remaining amount of ordinary Dividend that went ex in the relevant period for the normal 

Contract but was not paid by the Depository Bank before Expiration.

Type of Contract Cash settled Future Contracts with Daily Cash Settlement.

Central Counterparty LCH.Clearnet.

Trading Hours

08:15 – 15:30 London time for Orderbook trading.

07:30 – 17:30 London time for Trade Reporting.

Multiplier

As per Multiplier on the corresponding IOB DR Dividend Future at Expiration. 

This may change in specific cases in accordance with the Recalculation Rules.

Currency USD, United States Dollar, $.

Quotation display Future Price in USD.

Tick Size and Tick 

Value

Future Price Tick Size Tick Value

USD 0.0000 - USD 0.9995 USD 0.0005 USD 0.05

USD 1.0000 - USD 4.9990 USD 0.0010 USD 0.10

USD 5.0000 - USD ∞ USD 0.0100 USD 1.00

Settlement style Cash Settlement on Expiration with Daily Cash Settlement throughout the lifetime of the 

Contract.

Listing Day The first Trading Day following Expiration of the corresponding IOB DR Dividend Future. This 

only occurs in accordance with the “Contract Trigger” (see above).

Expiration Day

The third Friday in the Expiration Month (January). Where this is not a normal Trading Day, the 

preceding Trading Day shall be used. The London Stock Exchange Derivatives Market 

reserves the right to bring forward the Expiration Day once all outstanding Dividends have been 

physically paid.

Contract lifetimes and 

Expiration Months Out to one year: First contract of the „January‟ cycle.

Daily Settlement Price

Determined by subtracting the Expiration Settlement Price of the corresponding IOB DR 

Dividend Future from the most up to date announcement by the Depository Bank relating to the 

relevant Dividend period.

Daily Cash Settlement One Bank Day after the Trade Day/ calculation of Daily Settlement Price for cash movements of 

Daily Settlement Amounts.

Expiration Settlement 

Price

The remaining amount of Gross Ordinary Dividend paid by the Depository Bank during the 

Lifetime of the Late Contract which applies in relation to Dividends captured by the 

corresponding normal IOB DR Dividend Future.

Expiration Settlement One Bank Day after Expiration for payment of Expiration Settlement Amount.
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2.0 Norwegian derivatives

2.1 Norwegian stock futures

Parameter Description

Contract Underlying Norwegian Companies listed on Oslo Børs (full list available in the London Stock Exchange 

Derivatives Market – Product List on the LSEG Website)

Type of Contract Physically settled Future Contracts with Daily Cash Settlement.

Central Counterparty LCH.Clearnet.

Trading Hours

08:00 - 15:20 London time for orderbook trading.

07:30 – 17:30 London time for Trade Reporting.

Multiplier 100 Shares. This may change in specific cases in accordance with the Recalculation Rules.

Currency NOK, Norwegian Kroner.

Quotation display Future Price in NOK.

Tick Size and Tick Value

Future Price Tick Size Tick Value

NOK 0.0 - NOK 49.99 NOK 0.01 NOK 1

NOK 50.0 - NOK 99.95 NOK 0.05 NOK 5

NOK 100.0 - NOK 499.90 NOK 0.10 NOK 10

NOK 500.0 - NOK ∞ NOK 0.50 NOK 50

Listing Day

The Monday preceding the Expiration Day each month.

Where this is not a normal Trading Day, the preceding Trading Day shall be used.

Expiration Day

The third Thursday in the Expiration Month.

Where this is not a normal Trading Day, the preceding Trading Day shall be used.

Contract lifetimes and 

Expiration Months

Group One – Expiration every month

Every month new future contracts are listed;

3 months: January, February, April, May, July, 

August, October and November

12 months: March and September lifetime

*for STL June and December series have a 

lifetime of 24 months.

Group Two – Expiration every third month

Out to 9 months: March, June, September 

and December

* MHG and SDRL have a term of 6 months 

only

The Product List on the London Stock Exchange Derivatives Market Website shows all Stocks 

and their corresponding Group.

Daily Settlement Price The official closing price of the Underlying Stock on Oslo Børs each day adjusted for Fair Value.

Daily Cash Settlement One Bank Day after the Trade Day

Expiration Settlement 

Price

The official closing price of the Underlying Stock on Oslo Børs on Expiration Day.

Expiration Settlement Three Bank Days after Expiration for Physical Delivery of Stock against payment of Expiration 

Settlement Amount.
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2.2 Norwegian stock options

Parameter Description

Contract Underlying Norwegian Companies listed on Oslo Børs and listed in the London Stock Exchange Derivatives 

Market – Product List on the LSEG Website.

Type of Contract American Style, Physically settled Call and Put Option Contracts.

Central Counterparty LCH.Clearnet.

Trading Hours

08:00 - 15:20 London time for orderbook trading.

07:30 – 17:30 London time for Trade Reporting.

Exercise Window

07:30 – 18:00 London time on any Trading Day except Expiration Day.

18:10 – 18:40 London time on Expiration Day.

Multiplier 100 Shares. This may change in specific cases in accordance with the Recalculation Rules.

Currency NOK, Norwegian Kroner.

Quotation display Option Premium in NOK.

Tick Size and Tick 

Value

Premium Tick Size Tick Value

NOK 0.0 - NOK 0.24 NOK 0.01 NOK 1

NOK 0.25 - NOK 3.95 NOK 0.05 NOK 5

NOK 4.0 - NOK 7.90 NOK 0.10 NOK 10

NOK 8.0 - NOK ∞ NOK 0.25 NOK 25

Listing Day

The Monday preceding the Expiration Day each month.

Where this is not a normal Trading Day, the preceding Trading Day shall be used.

Expiration Day

The third Thursday in the Expiration Month.

Where this is not a normal Trading Day, the preceding Trading Day shall be used.

Contract lifetimes and 

Expiration Months

Group One* – Expiration every month

Every month new option contracts are listed;

3 months: January, February, April, May, 

July, August, October and November

12 months: March and September lifetime

For STL June and December series have a 

lifetime of 24 months.

Group Two* – Expiration every third month

Out to 9 months: March, June, September and 

December

MHG and SDRL have a term of 6 months only

Available in the Product List on the London Stock Exchange Derivatives Market Website

End of Day Price

Used for margining purposes, based on the volatility surface, itself dependent on; quotes per 

series, Underlying spot price, applicable interest rate, dividend amount (if applicable), exdividend date (if applicable), the second order interpolation and the arbitrage free surface.

Exercise Settlement 

Price

The official closing price of the Underlying Stock on Oslo Børs each Trading Day including 

Expiration Day.

Exercise Settlement Three Bank Days after Exercise for Physical Delivery of Stock against payment of Exercise 

Settlement Amount.

Premium Settlement One Bank Day after the Trade Day.
11

2.3 OBX Index futures

Parameter Description

Contract Underlying The OBX Index, the benchmark index for Norway.

Type of Contract Cash settled Futures Contracts with Daily Cash Settlement.

Central Counterparty LCH.Clearnet.

Trading Hours 07:30 - 15:20 London time for Orderbook trading.

07:30 – 17:30 London time for Trade Reporting.

Multiplier NOK 100 per Index point.

Currency NOK, Norwegian Kroner.

Quotation display Future Price in Index points.

Tick Size and Tick 

Value

Future Price Tick Size Tick Value

0 points - 999.90 points 0.10 points NOK 10

1000 points - ∞ points 0.25 points NOK 25

Listing Day

The Monday preceding the Expiration Day each month.

Where this is not a normal Trading Day, the preceding Trading Day shall be used.

Expiration Day

The third Thursday in the Expiration Month.

Where this is not a normal Trading Day, the preceding Trading Day shall be used.

Contract lifetimes and 

Expiration Months

Expiration every month. Every month new future contracts are listed;

3 months: January, February, April, May, July, August, October and November

12 months: March and September lifetime

Daily Settlement Price

The official closing price of the OBX Index as calculated each day by Oslo Børs and adjusted for 

Fair Value.

Daily Cash Settlement One Bank Day after the Trade Day/ calculation of Daily Settlement Price for cash movements of 

Daily Settlement Amounts.

Expiration Settlement 

Price

VWAP of the OBX cash market, including closing auction calculated by Oslo Børs on Expiration 

Day.

Expiration Settlement One Bank Day after Expiration for payment of Expiration Settlement Amount.
12

2.4 OBX Index options

Parameter Description

Contract Underlying The OBX Index. The benchmark index for Norway.

Type of Contract European Style, cash settled Call and Put Options Contracts.

Central Counterparty LCH.Clearnet.

Trading Hours

08:00 - 15:20 London time for Orderbook trading.

07:30 – 17:30 London time for Trade Reporting.

Exercise Window 18:10 – 18:40 London time on Expiration Day.

Multiplier NOK 100 per Index point.

Currency NOK, Norwegian Kroner.

Quotation display Option Premium in Index points.

Tick Size and Tick 

Value

Premium Tick Size Tick Value

0.0 points - 0.24 points 0.01 points NOK 1

0.25 points - 3.95 points 0.05 points NOK 5

4.0 points - 7.9 points 0.10 points NOK 10

8.0 points - ∞ points 0.25 points NOK 25

Listing Day

The Monday preceding the Expiration Day each month.

Where this is not a normal Trading Day, the preceding Trading Day shall be used.

Expiration Day The third Thursday in the Expiration Month. Where this is not a normal Trading Day, the 

preceding Trading Day shall be used.

Contract lifetimes and 

Expiration Months

Expiration every month. Every month new option contracts are listed;

3 months: January, February, April, May, July, August, October and November

12 months: March and September lifetime

End of Day Price

Used for margining purposes, based on the volatility surface, itself dependent on; quotes per 

series, Underlying spot price, applicable interest rate, dividend amount (if applicable), exdividend date (if applicable), the second order interpolation and the arbitrage free surface.

Exercise Settlement 

Price

VWAP of the OBX cash market, including closing auction calculated by Oslo Børs on Expiration 

Day.

Exercise Settlement One Bank Day after Expiration Day for payment of Exercise Settlement Amount.

Premium Settlement One Bank Day after the Trade Day.
13

2.5 OBOSX Index futures

Parameter Description

Contract Underlying OBOSX - Oslo Børs OBX Oil Service Index

Type of Contract Cash settled Futures Contracts with Daily Cash Settlement.

Central Counterparty LCH.Clearnet.

Trading Hours 07:30 - 15:20 London time for Orderbook trading.

07:30 – 17:30 London time for Trade Reporting.

Multiplier NOK 100 per Index point.

Currency NOK, Norwegian Kroner.

Quotation display Future Price in Index points.

Tick Size and Tick 

Value

Future Price Tick Size Tick Value

0 points - 999.90 points 0.10 points NOK 10

1000 points - ∞ points 0.25 points NOK 25

Settlement style Cash Settlement on Expiration with Daily Cash Settlement throughout the lifetime of the 

Contract.

Listing Day

The Monday preceding the Expiration Day each month.

Where this is not a normal Trading Day, the preceding Trading Day shall be used.

Expiration Day

The third Thursday in the Expiration Month.

Where this is not a normal Trading Day, the preceding Trading Day shall be used.

Contract lifetimes and 

Expiration Months

2 serial months and 2 quarterly months from the March, June, September, December cycle. 

Daily Settlement Price The official closing price of the OBX Index as calculated each day by Oslo Børs and adjusted for 

Fair Value.

Daily Cash Settlement One Bank Day after the Trade Day/ calculation of Daily Settlement Price for cash movements of 

Daily Settlement Amounts.

Expiration Settlement 

Price

VWAP of the OBX cash market, including closing auction calculated by Oslo Børs on Expiration 

Day.

Expiration Settlement One Bank Day after Expiration for payment of Expiration Settlement Amount.
14

3.0 UK derivatives

3.1 UK stock options

Parameter Description

Contract Underlying United Kingdom stocks listed on the London Stock Exchange‟s (LSE) and listed in the 

London Stock Exchange Derivatives Market Product List on the LSEG Website.

Type of Contract European or American Style, physically settled Call and Put Option Contracts.

Central Counterparty LCH.Clearnet.

Trading Hours 07:30 – 17:30 London time for Trade Reporting.

Exercise Window 18:10 – 18:40 London time on Expiration Day.

Multiplier

1000 Shares. 

This may change in specific cases in accordance with the Recalculation Rules.

Currency GBX, British Pence, p

Quotation display Option Premium in GBX up to two decimal places

Tick Size and Tick Value

Tick Size Tick Value

GBX 0.01 GBP .10

Expiration Day Flexible, on any normal Trading Day out to 5 years

End of Day Price

Used for margining purposes, based on the volatility surface, itself dependent on; quotes 

per series (if available), Underlying spot price, applicable interest rate, dividend amount (if 

applicable), ex-dividend date (if applicable), the second order interpolation and the 

arbitrage free surface.

Exercise Settlement Price

The official closing price of the Underlying on the London Stock Exchange on Expiration 

Day. The London Stock Exchange Derivatives Market shall take this value and round up to 

the nearest two decimal places to establish the Expiration Settlement Price.

Exercise Settlement Three Bank Days after Exercise for Physical Delivery against payment of Exercise 

Settlement Amount.

Premium Settlement One Bank Day after the Trade Day.

Tailor-made Contracts: 

Flexible Parameters

 Expiration Day (any Trading Day out to Five years)

 Premium (to four decimal places)

 Strike Price (to two decimal places)
15

3.2 FTSE 100 Index futures

Parameter Description

Contract Underlying The FTSE 100 Index. The benchmark Index for the United Kingdom.

Type of Contract Cash settled Future Contracts with Daily Cash Settlement.

Central Counterparty LCH.Clearnet.

Trading Hours

08:00 – 16:30 London time.

07:30 – 17:30 London time phone reporting of block trades. 

On Expiration Day, trading finishes as soon as reasonably practicable after 10:15am once 

the Expiration Settlement Price of the Index has been determined.

Multiplier GBP 10 per Index point.

Currency GBP, British Pound, £.

Quotation display Future Price in Index points.

Tick Size and Tick Value

Tick Size Tick Value

0.5 points GBP 5

Settlement style Cash Settlement on Expiration with Daily Cash Settlement throughout the lifetime of the 

Contract.

Listing Day

The Monday preceding the Expiration Day each month.

Where this is not a normal Trading Day, the preceding Trading Day shall be used.

Expiration Day

The third Friday in the Expiration Month.

Where this is not a normal Trading Day, the preceding Trading Day shall be used.

Contract lifetimes and 

Expiration Months

Out to 12 months:

First four quarterly months of „March, June, September, December‟ cycle.

Daily Settlement Price

The closing value of the FTSE 100 Index as calculated by FTSE each Trading Day at 

16:35 following the closing auction on the London Stock Exchange. This value is adjusted 

by London Stock Exchange Derivatives Market to reflect Fair Value and rounded to two 

decimal places.

Daily Cash Settlement One Bank Day after the Trade Day/ calculation of Daily Settlement Price for cash 

movements of Daily Settlement Amounts.

Expiration Settlement Price

The value of the FTSE 100 Expiry Index as calculated by FTSE at 10:15 on the Expiration 

Day or as soon as reasonably practicable, following the intraday auction on the London 

Stock Exchange http://www.londonstockexchange.com/traders-and-brokers/rulesregulations/exchange-delivery-settlement-price.htm (plus up to 30 seconds random interval 

and any price monitoring extensions or Market Order extensions in any of the constituent 

Stocks). The London Stock Exchange Derivatives Market shall take this value and round to 

the nearest 0.5 Index points to establish the Expiration Settlement Price. Members shall be 

aware that the Expiration Settlement Price may vary from that trading day‟s highs and 

lows.

Expiration Settlement One Bank Day after Expiration for payment of Expiration Settlement Amount.
16

3.3 FTSE 100 Index options

Parameter Description

Contract Underlying The FTSE 100 Index. The benchmark Index for the United Kingdom.

Type of Contract European Style, Cash settled Call and Put Option Contracts.

Central Counterparty LCH.Clearnet.

Trading Hours

08:00 – 16:30 London time

07:30 – 17:30 London time phone reporting of block trades 

On Expiration Day, trading finishes as soon as reasonably practicable after 10:15 once the 

Expiration Settlement Price of the Index has been determined.

Exercise Window 18:10 – 18:40 London time on Expiration Day.

Multiplier GBP 10 per Index point.

Currency GBP, British Pound, £.

Quotation display Option Premium in Index points.

Tick Size and Tick Value

Tick Size Tick Value

0.5 points GBP 5

Settlement style Cash Settlement.

Option style European Style.

Listing Day

The Monday preceding the Expiration Day each month.

Where this is not a normal Trading Day, the preceding Trading Day shall be used.

Expiration Day

The third Friday in the Expiration Month.

Where this is not a normal Trading Day, the preceding Trading Day shall be used.

Contract lifetimes and 

Expiration Months

Out to 24 months:

First two non quarterly months; First eight quarterly months of „March, June, September, 

December‟ cycle.

End of Day Price

Price used to calculate theoretical value of Option Contract positions in order to facilitate the 

margining process at the clearing level. This price is calculated in accordance with standard 

Black Scholes options pricing model.

Exercise Settlement Price

The value of the FTSE 100 Expiry Index as calculated by FTSE at 10:15 on the Expiration 

Day or as soon as reasonably practicable, following the intraday auction on the London Stock 

Exchange http://www.londonstockexchange.com/traders-and-brokers/rulesregulations/exchange-delivery-settlement-price.htm

(plus up to 30 seconds random interval and any price monitoring extensions or Market Order 

extensions in any of the constituent Stocks). The London Stock Exchange Derivatives Market 

shall take this value and round to the nearest 0.5 Index points to establish the Expiration 

Settlement Price. Members shall be aware that the Exercise Settlement Price may vary from 

that trading day‟s highs and lows.

Exercise Settlement One Bank Day after Expiration Day for payment of Exercise Settlement Amount.

Premium Settlement One Bank Day after the Trade Day.
17

3.4 FTSE UK Large Cap Super Liquid Index futures

Parameter Description

Contract Underlying FTSE UK Large Cap Super Liquid index

Type of Contract Cash settled future contracts with daily cash settlement

Central Counterparty LCH.Clearnet

Trading Hours

08:00–16:30 London time for orderbook trading

07:30 – 17:30 London time for Trade Reporting

Multiplier GBP 10 per index point

Currency GBP, British Pound, £

Quotation display Future price in index points

Tick Size and Tick Value

Tick Size Tick Value

0.5 points GBP 5.00

Settlement style

Cash settlement on expiration with daily cash settlement throughout the lifetime of the 

contract.

Listing Day

Monday preceding expiration day each month .Where this is not a normal trading day, the 

preceding trading day shall be used.

Expiration Day 3rd Friday of expiration month. Where this not a normal trading day, the preceding trading day 

shall be used Trading finishes at 10:15 London time.

Contract lifetimes and 

Expiration Months

Out to 12 months: first four quarterly months of „March, June, September, December‟ cycle.

Daily Settlement Price

Closing value of FTSE UK Large Cap Super Liquid index as calculated by FTSE each trading 

day at 16:35 following the closing auction on London Stock Exchange. This value is adjusted 

by London Stock Exchange Derivatives Market to reflect fair value and rounded to two decimal 

places.

Daily Cash Settlement One bank day after the trade day

Expiration Settlement 

Price

Value of FTSE UK Large Cap Super Liquid index as calculated by FTSE at 10:15 on 

expiration day or as soon as reasonably practicable, following the intraday auction on London 

Stock Exchange (plus up to 30 seconds random interval and any price monitoring extensions 

or market order extensions in any of the constituent stocks). London Stock Exchange 

Derivatives Market shall take this value and round it to the nearest 0.5 index point to establish 

the expiry settlement price. 

Expiration Settlement One bank day after expiration for payment of expiration settlement amount.