Genium INET Market Model

Transcription

1 Genium INET Market Model NASDAQ OMX Derivatives Markets Equity Derivatives Version 1.21 January 20, (72)

2 Table of Contents 1 Introduction Overview of the equity derivatives markets Market structure for Nordic equity derivatives Standardized contracts On-request contracts on Finnish shares Tailor Made contracts Electronic exchange trading system (EMP) Manual exchange trading system (MPS) Registration of manual trades Market segments and instrument types Trading rights Trading hours and holiday schedules Normal trading hours Half day trading hours Session states under special circumstances Trading calendar and holiday schedule Sessions during the trading day For events during sessions, see appendix I Pre-open session Continuous trading Call Auction Overview Opening Call Closing Call Calculation of EP End of Trading Statistics Removal of Day Orders Post-Trade Terminating business day Electronic Market Place Closed Extraordinary closing and Trading Suspension Suspension due to technical reasons (Extraordinary Closing) Resuming trading after Extraordinary Closing Suspension due to regulatory reasons (Trading Suspension) Resuming trading after a Trading Suspension Flushing of Order Books (removal of Orders) Expiration cycles and listing of Series Listing of new expiration months Series listed Trade reporting Trade Report type One-Party Trade Reports Two-Party Trade Reports Multi-leg Two-party Trade Reports Unmatched Trade Reports (72)

3 6.1.5 Deferred Publication Trade Report Types Trade Report Types description Trade Report Types definitions Order types, validity and priority Order Types Limit Order Market Order Market-to-Limit Order Market-to-Limit Order is not a valid Order Type in Combinations Stop Order Order Price Limit Overview Market and Market-to-Limit Orders One-sided Price Limits Reference Price Upper and Lower Price Limit Time in Force Day Order (Day) Good till Cancelled (GTC) Good till Date (GTD) Good till End of Session (GTS) Fill-or-Kill (FOK) Fill-and-Kill (FAK) Reserve Conditions Triggering Conditions Price Triggering Triggering of Session Changes Combination Orders The time in force GTC and GTD are valid in the two standardized index future time spreads on OMXS Combination orders in the two standardized index future time spreads on OMXS30 are valid during post trade Pricing Combinations Standardized Combination Tailor-Made Combination Bait Orders (Derived Orders) Restrictions to bait generation Dissemination of Bait Orders Order modification Ranking of Orders Tick sizes Quotes Single Quotes Mass Quotes Replacing Quotes losing priority Connectivity and Protocols Trading Market Data and Transparency (72)

4 10 Appendix A: Quotation list SWEDISH EQUITIES (SEax) stocks and depository receipts listed in SEK FINNISH EQUITIES (FIax) stocks and depository receipts listed in EUR DANISH Equities (DKax) stocks listed in DKK NASDAQ OMX NORWEGIAN EQUITIES (NNOax) stocks listed in NOK SWEDISH EQUITIES Index (OMXS30) SWEDISH EQUITIES - Index (OMXSB) NASDAQ OMX NORWEGIAN EQUITIES - Index (OMXO20) DANISH EQUITIES Index (OMXC20CAP) NORDIC EQUITIES - Index (VINX30) TM (NON-STANDARDISED PRODUCTS) BINARY OPTIONS, OVER UNDER Stocks and Index listed in SEK SWEDISH EQUITIES (SEetf) Exchange Traded Funds listed in SEK SWEDISH EQUITIES Weekly Options Index listed in SEK (OMXS30) Appendix B Tick-sizes Appendix C Daily fixing in futures Index futures The future nearest to expiration The futures not nearest to expiration Single Stock futures Appendix D Trade Information Electronically matched trades Reported trades ST- Standard Trade STOS- Standard Trade, Outside Spread OHT- Off Hours Trade BT- Block Trade EGT- Exchange Granted Trade BTX- Exchange Granted Trade, exceeding maximum lot size BTXO- Exchange Granted Trade, exceeding maximum lot size After Hours EGLT- Exchange Granted Trade, Late Reported Appendix E Ranking of Orders and Price triggering Exception 1 to the main rule regarding ranking Exception 2 to the main rule regarding ranking Appendix F Combinations During special circumstances matching may be prohibited Appendix G - Market Transparency OMnet ITCH TIP Appendix H Deferred Publication Trade publication Classification of underlying s Minimum qualifying number of contracts Appendix I Order management, Trade reporting and events during sessions Index derivatives Single Stock derivatives (72)

5 Revision History Date Revision Change Description April 8, Initial version for NASDAQ OMX Derivatives Markets April 29, Changes made in step 3 under section Calculation of EP, and section Fill-or-Kill under section Time in Force. May 10, Clarification regarding the calculation of EP price in section Calculation of EP. June 7, Clarification of hidden orders in call interaction, see section Call Interaction. September 17, 2010 October 11, Changes: Stop Orders will only be available in Swedish index futures OMXS30 standardized Index futures roll (new section). This new functionality will be implemented as of the 8 of November. Clarification: 3.3 Session states during special circumstances (new section) 7.3 Reserve Orders 7.5 Combination Orders Pricing combinations (new section) Derived Orders, baits (new section) Regeneration of baits during aggressive matching (new section) Restrictions to bait generation (new section) 7.6 Order modification 8 Quotes (new section) 8.1 Single Quotes (new section) 8.2 Mass Quotes (new section) 8.3 Replacing Quotes losing priority (new section) Call Interaction, clarification regarding Stop Orders Stop Order, clarification regarding Call Interaction and Price triggering Price triggering, clarification regarding Stop Orders Tailor-Made Combination, clarification regarding maximum ratio 7.7 Ranking of Orders, exception to the main rule 5(72)

6 Date Revision Change Description 13 Appendix E Ranking of Orders, example on exception to the main rule 14 Appendix F Combinations, during special circumstances matching may be prohibited October 18, 2010 January 31, Stop Order, reference added Price triggering, exception to Stop Orders not being triggered if LMP is updated outside BBO 7.7 Ranking of Orders, exception to the main rule 13 Appendix E 13.1, Correction of example on exception to the main rule 13 Appendix E 13.2, new example on exception to the main rule Stop Order, clarification regarding Stop Orders triggered by erroneous transactions 9 Updated Quotation lists due to changed rules regarding Series generation April 4, Changes valid as of April 4, Introduction of an Opening Call Auction on Index futures. Extension of the Call Interaction phase in the Closing Call Auction from seconds to seconds. 3.1 and 3.2 Changes of trading hours and schedules due to the changes on April 4, , and appendix 13.3 As of April 4, 2011 none of the two exceptions to the main ranking rule will trigger Stop Orders and has therefore been removed from the triggering sections Triggering on Session changes. The only available session to trigger on will be Call Interaction for Index futures. August 31, Trade types. Changed procedures when reporting EG2. November 14, Clarification Call Interaction and Call Interaction. Description of market transparency moved to section Calculation of EP Market-to-Limit Order Bait Orders Dissemination of Bait Orders New sections 6(72)

7 Date Revision Change Description 9 and appendix G Description of Connectivity and Protocols April 2, Appendix B, Change of Danish tick sized for single stock options and futures June 15, Removal of Russian and Baltic derivatives Changed MPS accessibility hours August 6, Changed trading hours Norwegian derivatives September 3, Introduction of Weekly options on OMXS30 November 26, and 3.2 New trading schedules Uncross session deleted, allocation moved to transition from CLIN to EOTRD New sessions Deferred publication App. D New Trade Report Types and clarification Clarification, day orders not participating in Post Trade Market orders not valid in POSTR Stop Order, not valid in POSTR 7.7 Ranking of derived Orders, Clarification 16 App. G Market Transparency, updated 17 App. H Deferred publication, new 18 App. I Order management, Trade reporting and events during sessions, new March 25, Order Price Limit. Introduction of a new Price deviation check that prevent Orders with Prices outside an allowed Price range to enter EMP. March 26, Order Price Limit. Allowed deviations updated for options & futures on Maersk. May 6, Changed opening hours for Norwegian Single Stock. 3.1 & 3.2 Corrected time stamps for session state TRMBD. September 3, 2013 December 9, Section 11 Appendix B. Updated tick size table for Weekly Options , 3.2, 4.6, 4.7 and 7.6 Extended post trade session on index futures on OMXS30 and enabling trading in the two standardized index future time spreads on OMXS30 during the post trade session 7.6, and GTC and GTD order are enabled in the two standardized index future time spreads on OMXS and Call auction and Order Price 7(72)

8 Date Revision Change Description Limit overview Clarification, Order Price Limit is not activated during auctions and and 7.6 Market and Marketto-Limit orders no longer valid for combinations Market-to-Limit order Clarification on which order book price is used to determine the price of the order 7.2 Combination orders are validated by Order Price Limit Market and Market-to-Limit orders are validated by Order Price Limit Clarification, the quality of the BBO is validated in order to be used when calculating the reference price New Combination Order Book Reference Price Rule implemented New deviation tables implemented for combination order books Bait orders are not generated if according to Order Price Limit, the Buy price is below the lower price limit or if the sell price is above the upper limit Appendix I Trade reporting clarification on what trade report types can be used electronically or via phone during which sessions 18.1 and 18.2 Clarification on time limits regarding trade reporting electronically/phone January 20, Appendix 10 Quotation list Updated strike generation rules for Swedish Single Stock options (72)

9 Definitions The official definitions are in the Rules and Regulations of NASDAQ Derivatives Markets. Bait Order BBO Call Call, closing EP EMP FAK FOK GTC GTD LMP Time of agreement Time of Trade Execution Uncross VWAP A derived Order Book Order is an Order not directly placed by an Exchange member, but which has been derived by the Exchange from a standardized combination order Best Bid Offer of an Order Book. Auction process to facilitate price formation with two distinct parts: the first part is an order management phase called Call Interaction and the second part is a matching process for all eligible orders. The matching process is called Uncross (as it removes all orders with crossing prices). The Closing Call in Index futures (OMXS30, OMXC20, OMXO20 and OMXSB), produces the last auto matched trades of the order book (if there are eligible orders available for matching). Equilibrium Price Electronic Market Place. Fill-and-Kill is a Time-in-force when entering Orders. Fill-or-Kill is a Time-in-force when entering Orders. Good till Cancelled or Expiration Order. Order that is valid until the Expiration of the Series in question. Good till Date. Order that is valid until a specified Date in the future. Last Match Price. The time that states when the trade was agreed. Can be used at registration of manual trades. The time at which an automatically matched trade is matched or a manual trade has been entered. For a manual trade it is the time at which the trade is reported for registration. A call ends with an Uncross where price determination and order and trade information dissemination takes place. Volume Weighted Average Price. Used as Expiration-day-fix on Index products. 9(72)

10 1 Introduction This document describes the functionalities for trading of equity derivatives on NASDAQ OMX Derivatives Markets. It covers functionalities that apply to trading in the Danish, Finnish, Norwegian and Swedish Markets. Chapter 2 describes the market structure, while chapter 3 presents an overview of the trading hours and holiday schedules. In chapter 4, the sessions during the trading day is discussed. Chapter 5 describes the Expiration Cycles and listing of Series. Chapter 6 outlines the registration of manual trades. Chapter 7 presents the order types available and discusses the order modification. While the document has been prepared on the basis of the best information available, at the moment of preparation, the exchange accepts no liability for decisions taken, or systems work carried out, by any party based on this document. This document does not form part of the contractual documentation between exchange and its customers. Content of this document may also be subject to discussions and in some cases approval from relevant authorities. While the Rules and Regulations of NASDAQ OMX Derivatives Markets is a legally binding document between Members and the respective exchanges, the purpose of this Market Model document is to provide additional guiding information for trading members. Additional documents referenced in this documentation can be found at NASDAQ OMX Nordic s official website and also on the Member Extranet. 10(72)

11 2 Overview of the equity derivatives markets 2.1 Market structure for Nordic equity derivatives The market for Nordic equity derivatives consist of derivatives on Danish, Finnish, Norwegian and Swedish shares and indexes as well as on Pan-Nordic indexes. Contracts are either standardized, listed on request, or Tailor Made contracts. Trading takes place either through the electronic exchange trading system (EMP) or the manual exchange trading system (MPS) Standardized contracts Standardized contracts are listed for trading and clearing and the terms of the contracts are standardized. New series are automatically generated according to pre-set rules On-request contracts on Finnish shares The on request market provides trading in forwards and options on Finnish shares. Within this market, not all underlying have automatic generation of new series with new strike prices, but are instead generated on-request by members. This method allows members to trade exchange-traded series on Finnish shares with the possibility to set strike price and maturity Tailor Made contracts Tailor Made contracts are contracts with non-standardized terms and are bilaterally negotiated cleared-only contracts. Clearing of tailor made derivatives contracts are offered on listed shares, indexes and custom made indexes. The underlying security, expiration date, expiration type, settlement style and strike price (options) are determined by the parties involved in the transaction Electronic exchange trading system (EMP) EMP is the exchange's electronic exchange trading system for storing of orders, ranking of orders and execution of trades by exchange members Manual exchange trading system (MPS) The MPS, also known as Exchange Brokers, is a service for derivatives members. Services include for example matching of: - Large block trades - Combinations and spreads - Delta neutral trades - Roll of index futures Registration of manual trades Registration of trades matched outside of the exchange trading system, may be reported to the exchange for registration via the members electronic connections to the trading and clearing system, via phone or via a public information distribution system approved by the exchange. 11(72)

12 2.1.7 Market segments and instrument types The following instrument types are supported per market segment (TMC = Tailor Made Contracts): Market segment Options Futures Forwards Binary options Weekly options Danish stock x x Danish index x x Finnish stock x * x Norwegian stock x x x Norwegian index x x Swedish stock x x x x Swedish index x x x x Euro index x x Danish stock TMC x x Danish index TMC x x Finnish stock TMC x x Norwegian stock TMC x x Norwegian index TMC x x Swedish stock TMC x x Swedish index TMC x x Euro index TMC x x 2.2 Trading rights * = Options are not listed in group 2 in the Quotation list. Each member is participating in the trading activity under one or several unique member identification codes, known as Participant codes. To each Participant Users are connected. In the system, the trading rights are set on Participant level and the trading rights are fully inherited on User level. This means that Users connected to the same Participant have the same trading rights and these trading rights determine which products the User have access to trade. Furthermore, each individual trader must possess authorization to trade as stipulated in Rules and Regulations section (72)

13 3 Trading hours and holiday schedules 3.1 Normal trading hours All times CET: EMP Pre-Open Genium INET session state Danish Single stock Danish Index EMP Call Interaction EMP Continuous Trading EMP Call Interaction EMP End of Trading EMP Statistics EMP Day Orders Cleared EMP Post-Trade Index futures EMP Terminating business day EMP Electronic Market Place Closed PREOP CLIN OPEN CLIN EOTRD STATS CLEAR POSTR TRMBD EMPC 08:30 09:00 N/A 09:00 16:55 N/A 16:55 16:57:10 N/A N/A 16:57:40 18:00 08:30 08:55 08:55 9:00 09:00 16:55 16:55 15:56:30 16:57:00 16:57:10 16:57:40 16:58:00 17:05:00 18:00 Finnish Single stock 08:30 09:00 N/A 09:00 17:25 N/A 17:25 17:27:10 N/A N/A 17:27:40 18:00 Norwegian single stock 08:30 09:00 N/A 09:00 16:20 N/A 16:20 16:22:10 N/A N/A 17:27:40 18:00 Norwegian Index 08:30 08:55 08:55 9:00 09:00 16:20 16:20 16:21:30 16:22:00 16:22:10 16:22:40 16:23:00 16:30:00 18:00 Swedish Single Stock 08:30 09:00 N/A 09:00 17:25 N/A 17:25 17:27:10 N/A N/A 17:27:40 18:00 Swedish Index OMXS30 8:30 8:55 08:55 9:00 09:00 17:25 17:25 17:26:30 17:27:00 17:27:10 17:27:40 17:28:00 17:45:00 18:00 Swedish Index OMXSB 8:30 8:55 08:55 9:00 09:00 17:25 17:25 17:26:30 17:27:00 17:27:10 17:27:40 17:28:00 17:35:00 18:00 VINX30 index derivatives 08:30 09:00 N/A 09:00 17:25 N/A 17:25 17:27:10 N/A N/A 17:27:15 18:00 13(72)

14 3.2 Half day trading hours All times CET: EMP Pre-Open Genium INET session state Danish Single stock Danish Index EMP Call Interaction EMP Continuous Trading EMP Call Interaction EMP End of Trading EMP Statistics EMP Day Orders Cleared EMP Post-Trade Index futures EMP Terminating business day EMP Electronic Market Place Closed PREOP CLIN OPEN CLIN EOTRD STATS CLEAR POSTR TRMBD EMPC N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Finnish Single stock N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Norwegian single stock 08:30 09:00 N/A 09:00 13:00 N/A 13:00 13:02:10 N/A N/A 13:02:40 18:00 Norwegian Index 08:30 08:55 08:55 9:00 09:00 13:00 13:00 13:01:30 13:02:00 13:02:10 13:02:40 13:03:00 13:10:00 18:00 Swedish Single Stock 08:30 09:00 N/A 09:00 12:55 N/A 12:55 12:57:10 N/A N/A 12:57:40 18:00 Swedish Index OMXS30 08:30 08:55 08:55 9:00 09:00 12:55 12:55 12:56:30 12:57:00 12:57:10 12:57:40 12:58:00 13:15:00 18:00 Swedish Index OMXSB 08:30 08:55 08:55 9:00 09:00 12:55 12:55 12:56:30 12:57:00 12:57:10 12:57:40 12:58:00 13:05:00 18:00 VINX30 index derivatives 08:30 09:00 N/A 09:00 12:55 N/A 12:55 12:57:10 N/A N/A 12:57:15 18: Session states under special circumstances In case of a suspension due to technical reasons (4.4.1) HALT is the applicable session state. PREOP is the applicable session state when trading shall be resumed (4.4.2) after such a suspension. 14(72)

15 3.4 Trading calendar and holiday schedule Trading calendar More trading calendars can be found on: 15(72)

16 4 Sessions during the trading day For events during sessions, see appendix I. 4.1 Pre-open session During the pre-open session, only order cancellation is allowed. 4.2 Continuous trading Trading in the Order Book, in accordance with the NASDAQ OMX Derivatives Markets Rules, results in On Exchange trades. During continuous trading, manual trades can be registered with trade types specified in chapter 5. In continuous trading, each new incoming order is immediately checked for execution against orders on the opposite side of the Order Book. Orders can be executed in full or partially in one or more steps. Orders in the Order Book will be matched according to the priority: 1=price; 2=time. Buy or sell orders entered with the same price as a corresponding buy or sell order in the Order Book will be matched into a trade. Buy orders entered into the Order Book with a higher buy price than the sell order with the lowest price (crossing prices), will be matched into one or more trades depending on the volume of the incoming order and the volume and the price of the sell order(s). The matching process will try to fill as much as possible of the volume in the incoming buy order until the limit of the crossing prices is passed. Sell orders entered into the Order Book with a lower sell price than the buy order with the highest price (crossing prices), will be matched into one or more trades depending on the volume of the incoming order and the volume and the price of the buy order(s). The matching process will try to fill as much as possible of the volume in the incoming sell order until the limit of the crossing prices is passed. The price of the existing (passive) order is used if an incoming (aggressive) order has a price better than the price of the best existing order in the order book (e.g. the sell limit is lower than the buy limit). The priority order in the same price level is the time when the order was sent to the Order Book. 4.3 Call Auction Call Auction is only applicable on Index futures regarding OMXS30, OMXC20, OMXO20, OMXSB and NORUX15. Order Price Limit is not activated during auctions. 16(72)

17 4.3.1 Overview Trading in the captioned Index futures starts with a Call Auction prior to continuous trading and ends with a Call Auction after continuous trading hours in EMP. Call auctions are executed for all futures per Index at the same time. The Opening Call Auction is formed with the phase, Call Interaction and the Closing Call auction is formed with two sub phases; Call Interaction and Uncross Opening Call Call Interaction The Index futures Order Book starts with Call Interaction 5 minutes prior to Continuous Trading. Call Interaction lasts for 5 minutes till the start of the Continuous Trading. Call Interaction ends with uncross in the transition to Continuous Trading whereby determination of opening price and allocation of Transactions takes place. The Call Interaction phase allows full order management. Limit Orders, with the time in force GTC/GTD, with or without Hidden volume placed during Call Interaction or during continuous trading and stored in EMP is valid in the Opening Call Auction. I.e. long Orders are valid in the Opening Call Auction. Limit Orders, with or without Hidden volume can be entered during Call Interaction. Combination Orders are not valid during call interaction. During call interaction Stop Orders are not valid and cannot be entered. Market Orders with the Time in Force, Fill-and-Kill, can be placed and stored during Call Interaction and participates at EP and if any quantity remains after the Uncross it will be cancelled. See section 7.8 for ranking of Market Orders. Market-to-Limit Orders entered during Call Interaction are treated as Market Orders, participates in the Uncross at EP and if any quantity remains after the Uncross it will be stored in the Order Book at the EP. Allocation of Orders takes place in the transition from Call Interaction to Continuous Trading and is carried out according to the Price Time ranking process. The hidden volume will receive a time stamp only when the visible part of the order has been executed Closing Call Call Interaction The Index futures Order Book shifts directly into Call Interaction at the end of Continuous Trading. Call Interaction lasts for at least 90 and at the most 120 seconds from the end of Continuous Trading. Call Interaction ends when the Uncross is carried out. The Call Interaction phase allows full order management. Limit Orders, with the time in force GTC/GTD, with or without Hidden volume placed during Call Interaction or during continuous trading and stored in EMP is valid in the Closing Call Auction. I.e. long Orders are valid in Closing Call Auctions. 17(72)

18 A Limit Day Order, with or without Hidden volume placed during Call Interaction in the Opening Call Auction or during continuous trading and stored in EMP is valid in the Closing Call Auction. Limit Orders, with or without Hidden volume can be entered during Call Interaction. Combination Orders are not valid during call interaction. During call interaction Stop Orders are not valid and cannot be entered, however Stop Orders entered during continuous trading can be cancelled. Market Orders with the Time in Force, Fill-and-Kill, can be placed and stored during Call Interaction and participates at EP and if any quantity remains after the Uncross it will be cancelled. See section 7.8 for ranking of Market Orders. Market-to-Limit Orders entered during Call Interaction are treated as Market Orders, participates in the Uncross at EP and if any quantity remains after the Uncross it will be stored in the Order Book at the EP. Allocation of Orders is carried out randomly between 90 and 120 seconds after the end of continuous trading in the transition from Call Interaction to End of Trading according to the Price Time ranking process. The hidden volume will receive a time stamp only when the visible part of the order has been executed. Determination of closing price takes place in the allocation. 18(72)

19 4.3.4 Calculation of EP The prices used in the selection of EP are all existing prices between the highest and the lowest price where Limit Orders exist, extended with one tick up from the highest, and one tick down from the lowest price. During Call Auction the EP is calculated as follows: 1. The EP shall be the price at which the highest volume (trading volume) can be traded in the allocation, including Hidden volume orders. Trading volume can only be achieved if the highest bid price is higher than or is equivalent to the lowest ask price. If there is a highest trading volume on more than one price level, go to step If there is more than one price level where the tradable volume is the highest, the level with the lowest imbalance is selected. The imbalance is defined as the surplus from the aggregated buy quantity or aggregated sell quantity after allocation of Orders. If there is more than one price level with the lowest imbalance go to step The market pressure is used to decide the EP. - Only buy pressure select the highest price as EP - Only sell pressure select the lowest price as EP - Both buy and sell pressure then go to the next step - Only nil pressure then go to the next step 4. The price closest to the last updated of Last Match Price or Settlement Price shall be the EP. It is neither possible to calculate an EP, nor possible to match orders in the Uncross, when: - No crossing orders exist; or - Only market orders exist in the order book. 4.4 End of Trading The Uncross from the closing CLIN takes place in the transition to the EOTRD state and so do the release of Trade Reports that are subject to Deferred Publication. 4.5 Statistics In the STATS state, official High, Low, Last and Open Price is published. 4.6 Removal of Day Orders In the CLEAR state, day-orders in index derivatives will be cleared from the Order Book. All longer dated orders in index futures will remain in the order book to be part of 19(72)

20 the post-trade session, including combination orders in the two standardized index future time spreads on OMXS Post-Trade In the POSTR state, trading with Auto-match takes place in index futures on OMXS30, OMXSB, OMXC20 and OMXO20. Trading in the two standardized index future time spreads on OMXS30 is available while trading in all other Combinations is not available. Trading Statistics will be disseminated but will not be included in the End of Trading Statistics except for Turnover and Open Interest. Stop Orders and Market Orders are not valid during POSTR. 4.8 Terminating business day The TRMBD state is introduced to enable Trade Reporting electronically after trading hours. 4.9 Electronic Market Place Closed During the EMPC state Trade Reports are no longer accepted via members electronic connections Extraordinary closing and Trading Suspension Trading may be suspended by NASDAQ OMX Derivatives Markets either due to technical reasons or regulatory reasons. Suspensions are regulated in NASDAQ OMX Derivatives Markets Rules. Technical suspension means that trading is suspended when the Order Book(s) become inaccessible for technical reasons. Regulatory suspension means that the Order Book(s) are suspended due to rules and regulations. The Exchange shall provide the Exchange Members with information regarding closings and suspensions via suitably accessible information technology Suspension due to technical reasons (Extraordinary Closing) Technical disruptions are regulated in the Rules and Regulations of NASDAQ OMX Derivatives Markets. Trading shall be suspended if a technical disturbance causes a major part of the Members (market shares) to lose connection to the markets. When the Electronic Market Place (EMP) is closed, Orders may not be placed, changed or revoked and exchange transactions may not be executed. Trades done outside the EMP may not be reported for registration. 20(72)

21 Resuming trading after Extraordinary Closing After an extraordinary closing, trading shall be resumed as soon as the circumstances which caused the closing no longer exist and the conditions once again exist to maintain properly functioning exchange operations. Resuming trading may take place not earlier than 10 minutes after the notice thereof, unless all Exchange Members have received reasonable notice of an earlier re-opening. During the period prior to re-opening, the exchange trading system will be accessible for Order cancellation Suspension due to regulatory reasons (Trading Suspension) The provisions contained in the Securities Market Act and any relevant subordinate legislation shall apply to suspension of trading. If an underlying is object to trading suspension the derivatives connected to that underlying shall be suspended for trading Resuming trading after a Trading Suspension When a suspension ceases, trading is resumed and the restrictions on order entry ceases Flushing of Order Books (removal of Orders) Extraordinary Closing After an extraordinary closing the Orders stored in EMP normally remain there. In the event that an Order/s must be placed again, the Exchange will provide notice thereof. Trading Suspension After a trading suspension the Orders stored in EMP are normally removed. In the event that Orders will remain in the Order Book, the Exchange will provide notice thereof. 21(72)

22 5 Expiration cycles and listing of Series NASDAQ OMX Derivatives Markets is listing new expiration months according to the Quotation list in the Rules and Regulations of NASDAQ OMX Derivatives Markets. See appendix A. 5.1 Listing of new expiration months When a new expiration month is about to be listed the new Series will be available for trading on the Monday in the expiration week. 5.2 Series listed See appendix A for how many Series that shall be listed per expiration month in respective Market. Appendix B also shows the Strike Price interval and if there is a difference in the Strike Price interval depending on remaining Term. On the Bank Days following the initial listing day new Series are listed in accordance with appendix A if the last transaction price in the Contract Share exceeds the second highest or is less than the second lowest listed Exercise Price. 22(72)

23 6 Trade reporting Trades matched outside EMP shall be reported to the Exchange as soon as possible (main rule: not later than 5 minutes after the trade took place) in accordance with the NASDAQ OMX Derivative Market Rules. Time of agreement is a field that states when the trade was agreed upon. The field is optional. For Trade Reporting during sessions, see appendix I. Trades matched outside normal opening hours need to be reported / published as soon as possible. These trades need to be reported via telephone to the Exchange. Trade reports cannot be made via the Member s electronic connection if the number of contracts exceeds When reporting a trade the following trade report types and trade types are available. 6.1 Trade Report type One-Party Trade Reports Members are able to report each side of a trade for matching by the exchange. When both parties have reported their side of the trade and the required data matches, matching will occur Two-Party Trade Reports One member is able to report both sides of a trade (internal crossing) when both buyer and seller are represented by the same member firm Multi-leg Two-party Trade Reports A multi-leg Two-Party Trade Report makes it possible to enter a trade report for a combination of Instruments, where 2 up to 10 individual Instruments along with their prices can be entered in one transaction. The multi-leg Trade Report is only supported as a Two-Party Trade Report Unmatched Trade Reports Members or the Exchange can cancel unmatched Trade Reports. Else, unmatched Trade Reports will be cancelled by the system at the end of the trading day (day of entry of this report). 23(72)

24 6.1.5 Deferred Publication For trades matched outside EMP, NASDAQ OMX allows waivers from the principle of immediate publication of a reported trade if the trade meets the number of contracts according to the Minimum qualifying number of contracts in a transaction criteria set in appendix H; if the trade is made between a client and a members own account; and if the trade exposes the Member to a price risk. A request can be made for a trade to be deferred until end of trading day in an incoming trade report. NB! The trade will be published immediately if the number of contracts is not sufficient. For classification of underlying s, se appendix H. 24(72)

25 6.2 Trade Report Types The following Trade Types are supported for Manual Trades: Trade Report Types description Name Description Operation OMnet ext_t_state_c FIX TrdType (828) ST STOS OHT BT EGT BTX BTXO EGLT Standard Trade Electronically/Phone 0 0 Standard Trade, Outside Spread Electronically/Phone Off Hours Trade Electronically/Phone Block Trade Electronically/Phone Exchange Granted Trade Electronically/Phone Exchange Granted Trade, exceeding Maximum Lot Size Phone Exchange Granted Trade, exceeding Maximum Lot Size, Off Hours Phone Exchange Granted Trade, Late reported Phone Trade Report Types definitions Trade report type ST - Standard Trade STOS - Standard Trade Outside Spread OHT - Off Hours Trade BT - Block Trade Definition The agreed price shall, at the moment of Registration, be within or at the current BBO. The agreed price is outside the current BBO but has been within or at the current BBO during a period of 5 minutes prior to the trade report. Shall be used when continuous trading is not proceeding if the agreed price is outside the current BBO and has not been within or at the current BBO during a period of 5 minutes prior to the application for Registration or if the price has been within or at the BBO during the current trading day or if the agreed price is fair depending on the market conditions. Minimum size is contracts and if the agreed number of contracts equals or exceeds the relevant level, the trade is deferred and published in transition to End-of-Trading if reporting members choose deferred publication. If not the trade is immediately 25(72)

26 EGT Exchange Granted Trade BTX - Exchange Granted Trade, exceeding Maximum Lot Size BTXO - Exchange Granted Trade, exceeding Maximum Lot Size, Off Hours EGLT - Exchange Granted Trade, Late reported published at the time of reporting. The agreed price is outside the current BBO and has not been within or at the current BBO during a period of 5 minutes prior to the application for Registration. However the price must have been within or at the BBO during the current trading day. The agreed number of contracts exceeds the maximum lot size (currently ). Trade is deferred and published in transition to End-of-Trading if reporting members choose deferred publication. If not the trade is immediately published at the time of reporting. The agreed number of contracts exceeds the maximum lot size (currently ) and it is reported after continuous trading on the same day. Trade is immediately published at the time of reporting. Refers to trades from a previous date that by mistake was not reported on the trading day. In order to get a registration, Trading Surveillance must be contacted, via telephone, with a motivation to seek for approval. For details regarding Trade Information see appendix D. 26(72)

27 7 Order types, validity and priority When trading in EMP the following order types, attributes and validity are available. Orders cannot be placed in EMP if the number of contracts of the Order exceeds For Order management during sessions, see appendix I. 7.1 Order Types Limit Order A Limit Order is an Order, to sell or buy, at a maximum purchase price or minimum selling price. If not fully matched, it is stored in the Order Book in descending buy-price order or ascending sell-price order and joins the queue of orders having the same price according to time priority. If the price specified by a limit price is not valid according to the allowed tick sizes, it will be rejected. It will only execute at prices equal to or more generous than its specified limit price. Stored (during continuous trading) Limit Orders are valid, and new such Limit Orders can be placed during Call Interaction. Limit Orders can be accepted in part or in its entirety. In Order Books participating in the Post Trade session, stored Limit Orders will be cleared from the Order Books before the Post Trade session starts Market Order A market Order is an Order to sell or buy at the best available price and is therefore entered without a price. The Time in Force for a Market Order is always Fill-or-Kill or Fill-and-Kill. Any remaining quantity will be cancelled. Note that a Market order will trade through the Order Book until the entire quantity is filled. No Market Orders with the Time in Force, FOK, can be placed during Call Interaction. Market Orders are not valid in the Post Trade session. Market Orders with the Time in Force, FAK, can be placed and stored during Call Interaction and participates at EP and if any quantity remains after the Uncross it will be cancelled. If no EP has been established, these Orders are disseminated without price in the Market-by-Level data. Market Order is not a valid Order Type in Combinations. 27(72)

28 Market-to-Limit Order Market-to-Limit Order is an Order to sell or buy at the best visible price. The best visible price on the opposite side of the order book is used to determine the price of the Market-to-Limit Order and if the Order is partly matched the remainder is converted to a Limit Order priced at match price. In comparison with a normal Market Order, the Market-to-Limit Order only executes up to the best visible price level and therefore does not trade through the Order Book. During the continuous matching session state a Market-to-Limit Order is immediately cancelled if no match can be executed, e.g. if no Order exist on the opposite side of the market. Market-to-Limit Orders entered during Call Interaction are treated as Market Orders, participates in the Uncross at EP and if any quantity remains after the Uncross it will be stored in the Order Book at the EP. If no EP has been established, these Orders are disseminated without price in the Market-by-Level data. Market-to-Limit Order is not a valid Order Type in Combinations Stop Order Stop Orders are only available in Swedish Index futures and only as Day Orders. A Stop Order is an Order that is submitted automatically as a Limit Order or Market Order once a certain price condition of an Instrument is met (see Price triggering). A Stop Order is not visible to the market before it is converted to a Limit or Market Order. Stop Orders are not valid and cannot be entered during Auctions, however Stop Orders entered during continuous trading can be cancelled during Auctions. Stop Orders cannot be entered during, and are not valid in, the Post Trade session. A Stop Order can be one of the following types: Regular Stop Order According to the buy high sell low principle, a buy Order is submitted to the market when the price for an Instrument rises to a certain level and a sell Order is submitted when the price falls to a certain level. Market if Touched Stop Order According to the buy low sell high principle, a sell Order is submitted to the market when the price for an Instrument rises to a certain level and a buy Order is submitted when the price falls to a certain level. For the avoidance of doubt, if a Stop Order is triggered by a Transaction in EMP, that is afterwards deemed to be erroneous and therefore cancelled or price adjusted, any Transactions resulting from the Stop Order will be regarded as any other Transaction under the Rules and Regulations. Hence, such Transaction will be subject to the applicable sections in the Rules and Regulations regarding cancellation and price adjustment of erroneous Transactions. 28(72)

29 7.2 Order Price Limit Overview Order Price Limit is a Pre-Trade Price deviation check against a reference price meaning that the price instructions on an incoming order is compared against a reference price and if an order deviate more than an order book configured parameter, the order will be rejected before it can execute. Order Price Limit is not activated during auctions. This functionality is set market wide for all participants and the limits are set by the exchange Market and Market-to-Limit Orders Market Orders A Market Order with the time validity Fill-or-Kill will be entirely rejected if the whole order or part of the order would trade more aggressive than the order-price-limit. A Market Order with the time validity Fill-and-Kill will be traded with the quantity that is equal to, or less aggressive than, the order-price-limit. The part of the order that would trade more aggressive than the limit will be rejected. Market-to-Limit Orders A Market-to-Limit Order will be rejected if the matching price is outside the order-pricelimit limit. The best visible price on the opposite side of the order book is used to compare against the order-price-limit limit. If that price is outside the limit the order will be rejected One-sided Price Limits The functionality rejects incoming Buy orders with prices above the Upper Price Limit and Sell orders with prices below the Lower Price Limit. On the other hand, Buy orders with prices lower than the Lower Price Limit and Sell orders with prices above the Upper Price Limit are allowed to enter the system Reference Price The price used to decide the Upper and Lower Price Limit. The reference price selection differs depending on product. Orders and quotes are taken into consideration when defining the BBO and orders deriving from combinations ( bait orders ) are excluded. When using the BBO for calculating the Reference Price the quality of the BBO is validated. I.e. if the spread is too wide the BBO is disqualified Index futures Reference Price Rule The following set of rules for selecting reference prices is used: Rule I: 29(72)

30 1. The Last Match Price (LMP) is selected as reference price if the price is at or within Best Bid Offer (BBO). 2. If the LMP is not valid, Arithmetic mean of BBO is selected as reference price. 3. If there is no valid LMP nor BBO available, the underlying index value + the price difference between the index value and the settlement price for the applicable series at the end of the day before, shall be used as reference price. Rule I, is selected for series that are considered the shortest expiry of an index future. Rule II: 1. The underlying index value + the price difference between the index value and the settlement price for the applicable series at the end of the day before, shall be used as reference price. Rule II, is selected for series that are not considered the shortest expiry of an index future. On the expiration day, both the shortest and the 2nd shortest shall is considered the shortest expiry series. That is, the reference price for both the shortest and the 2nd shortest expiry series is selected according to the Reference Price Rule specified for shortest expiry series Single stock forwards and futures and Index and single stock options Reference Price Rule The following rule for selecting reference prices is used: Rule III: 1. The Last Match Price (LMP) is selected as reference price in the selected Series if the price is at or within Best Bid Offer (BBO). 2. If the LMP is not valid, Arithmetic mean of BBO is selected as reference price. 3. No reference price. (I.e. if no LMP or BBO is available no price limits will be calculated.) Rule III shall be selected for option series and single stock forwards and futures Combination Order Books Reference Price Rule The following rule for selecting reference prices is used: Rule IV: 1. Arithmetic mean of BBO is selected as reference price. 2. If there is no valid BBO available, the arithmetic mean of the implied-in BBO is selected as reference price 3. No reference price. (I.e. if no BBO or implied-in BBO is available no price limits will be calculated.) 30(72)

31 Rule IV shall be selected for combination orders If no reference is established whereby no price limits are active, orders entered in combinations series are not checked against the Order Price Limit functionality. However, Bait orders deriving from combinations are checked against Order Price Limit in the outright order books with the exception that a combination order at order entry executes what can be executed and then potential further bait orders are checked against Order Price Limits in the outright order books and if a Buy bait order has a price above the Upper limit it is rounded off down to the Upper limit and correspondingly if a Sell bait order has a price below Lower limit it is rounded off up to the Lower limit. 31(72)

32 7.2.5 Upper and Lower Price Limit The Upper and Lower Price Limit decide how much the price on an incoming order/quote can deviate from the reference price before it is rejected. The Upper limit is calculated as the reference price + allowed deviation and the Lower limit as the reference price allowed deviation Allowed deviation SEK, NOK and DKK From Price Lower Limit Upper Limit Pr Unit 0, , ,0000 Percent (%) 2,000 1,500 1,500 Absolute 10,000 3,000 3,000 Absolute 20,000 4,000 4,000 Absolute 30,000 5,000 5,000 Absolute Allowed deviation EUR From Price Lower Limit Upper Limit Pr Unit 0, , ,0000 Percent (%) 0,200 0,150 0,150 Absolute 1,000 0,300 0,300 Absolute 2,000 0,400 0,400 Absolute 3,000 0,500 0,500 Absolute Allowed deviation VINX From Price Lower Limit Upper Limit Pr Unit 0,000 1,7500 1,7500 Percent (%) Allowed deviation MAERSK From Price Lower Limit Upper Limit Pr Unit 0, , ,000 Absolute 500, , ,000 Absolute 1000, , ,000 Absolute 2000, , ,000 Absolute 3000, , ,000 Absolute 32(72)

33 Allowed deviation Combination order books in SEK, NOK and DKK From Price Lower Limit Upper Limit Pr Unit ,000 5,000 5,000 Absolute - 20,000 4,500 4,500 Absolute - 10,000 3,500 3,500 Absolute - 2,000 2,500 2,500 Absolute 2,000 3,500 3,500 Absolute 10,000 4,500 4,500 Absolute 20,000 5,000 5,000 Absolute Allowed deviation in the standardized index future time spread Combination order books in SEK, NOK and DKK From Price Lower Limit Upper Limit Pr Unit ,000 3,000 3,000 Absolute Allowed deviation Combination order books in EUR and VINX From Price Lower Limit Upper Limit Pr Unit ,000 0,500 0,500 Absolute - 2,000 0,450 0,450 Absolute - 1,000 0,350 0,350 Absolute - 0,200 0,250 0,250 Absolute 0,200 0,350 0,350 Absolute 1,000 0,450 0,450 Absolute 2,000 0,500 0,500 Absolute Allowed deviation Combination order books in MAERSK From Price Lower Limit Upper Limit Pr Unit , , ,000 Absolute , , ,000 Absolute , , ,000 Absolute , , ,000 Absolute - 500, , ,000 Absolute 500, , ,000 Absolute 1000, , ,000 Absolute 2000, , ,000 Absolute 3000, , ,000 Absolute 33(72)