BM&FBOVESPA Begins Trading In The S&P 500 Futures Contract
On Monday, October 01, BM&FBOVESPA will begin trading in the S&P 500 futures contract settled in cash to the price of the S&P 500 Index futures contract, listed and traded on CME, a CME Group exchange. This is the first futures contract traded on the Brazilian Exchange to reference a U.S. stock index.
The underlying asset selected by BM&FBOVESPA for this new contract, the Standard and Poor’s 500 Index (S&P 500), is composed of 500 stocks in U.S. companies selected among other things by their market capitalization, liquidity and the significance of the sector in which they operate. This is the index that is most used for accompanying the U.S. financial market and is considered a thermometer for that country’s economy.
As of October 01, the S&P 500 futures contract will have three market makers to guarantee liquidity in trading the new contract. BTG, GETCO and VIRTU were the winners in the selection process held by the Exchange and have been chosen to act as Market Makers for one year.
The launch of the new S&P 500 futures contract is part of an agreement to promote BM&FBOVESPA-CME Group cross listing of derivatives contracts. With this initiative, the Exchange seeks to widen the portfolio of liquid foreign products and to ease Brazilian investors’ access to an index that references the U.S. market, in Brazil. It also plans to promote the diversification of tools for global investment strategies, such as arbitrage between the two markets.
The new S&P 500 futures contract is authorized for trading (ticker ISP) with the March, June, September and December contract months, from 9:00 a.m. to 5:30 p.m. in the BM&FBOVESPA PUMA Trading System.
Each contract is quoted in index points, with size established by multiplying the traded S&P Futures Contract points by the U.S. Dollar value of each point (1 point = USD50). The S&P 500 futures contract specifications are available on the BM&FBOVESPA website.
The tick size for each contract is 0.25 index points and the daily settlement price will be calculated in accordance with the criteria available on the BM&FBOVESPA website. The maximum daily price fluctuation that is allowed is 10% in either direction, applied against the previous day’s settlement price for the traded contract month, while the limit on open interest positions per participant is up to 20% of outstanding positions per contract month, or 5,000 contracts, whichever is larger.
The contract will expire on the third Friday of the contract month, which coincides with CME expiration. The first contract month available for trading is December 2012. Settlement of the new contract, in Brazilian Reals, will be obtained through the reference exchange rate of 4:00 p.m., calculated by BM&FBOVESPA.
To accompany the price quotations of the S&P 500 futures contract on BM&FBOVESPA please access www.bmfbovespa / Markets / Commodities and Futures / Daily Bulletin / Quotes and Volume / Online Daily Bulletin.