Genium INET Market Model NASDAQ OMX Derivatives Markets Equity Derivatives Version 1.21 January 20, 2014 1(72)
Table of Contents 1 Introduction... 10 2 Overview of the equity derivatives markets... 11 2.1 Market structure for Nordic equity derivatives... 11 2.1.1 Standardized contracts... 11 2.1.2 On-request contracts on Finnish shares... 11 2.1.3 Tailor Made contracts... 11 2.1.4 Electronic exchange trading system (EMP)... 11 2.1.5 Manual exchange trading system (MPS)... 11 2.1.6 Registration of manual trades... 11 2.1.7 Market segments and instrument types... 12 2.2 Trading rights... 12 3 Trading hours and holiday schedules... 13 3.1 Normal trading hours... 13 3.2 Half day trading hours... 14 3.3 Session states under special circumstances... 14 3.4 Trading calendar and holiday schedule... 15 4 Sessions during the trading day... 16 For events during sessions, see appendix I.... 16 4.1 Pre-open session... 16 4.2 Continuous trading... 16 4.3 Call Auction... 16 4.3.1 Overview... 17 4.3.2 Opening Call... 17 4.3.3 Closing Call... 17 4.3.4 Calculation of EP... 19 4.4 End of Trading... 19 4.5 Statistics... 19 4.6 Removal of Day Orders... 19 4.7 Post-Trade... 20 4.8 Terminating business day... 20 4.9 Electronic Market Place Closed... 20 4.10 Extraordinary closing and Trading Suspension... 20 4.10.1 Suspension due to technical reasons (Extraordinary Closing)... 20 4.10.2 Resuming trading after Extraordinary Closing... 21 4.10.3 Suspension due to regulatory reasons (Trading Suspension)... 21 4.10.4 Resuming trading after a Trading Suspension... 21 4.10.5 Flushing of Order Books (removal of Orders)... 21 5 Expiration cycles and listing of Series... 22 5.1 Listing of new expiration months... 22 5.2 Series listed... 22 6 Trade reporting... 23 6.1 Trade Report type... 23 6.1.1 One-Party Trade Reports... 23 6.1.2 Two-Party Trade Reports... 23 6.1.3 Multi-leg Two-party Trade Reports... 23 6.1.4 Unmatched Trade Reports... 23 2(72)
6.1.5 Deferred Publication... 24 6.2 Trade Report Types... 25 6.2.1 Trade Report Types description... 25 6.2.2 Trade Report Types definitions... 25 7 Order types, validity and priority... 27 7.1 Order Types... 27 7.1.1 Limit Order... 27 7.1.2 Market Order... 27 7.1.3 Market-to-Limit Order... 28 Market-to-Limit Order is not a valid Order Type in Combinations.... 28 7.1.4 Stop Order... 28 7.2 Order Price Limit... 29 7.2.1 Overview... 29 7.2.2 Market and Market-to-Limit Orders... 29 7.2.3 One-sided Price Limits... 29 7.2.4 Reference Price... 29 7.2.5 Upper and Lower Price Limit... 32 7.3 Time in Force... 34 7.3.1 Day Order (Day)... 34 7.3.2 Good till Cancelled (GTC)... 34 7.3.3 Good till Date (GTD)... 34 7.3.4 Good till End of Session (GTS)... 34 7.3.5 Fill-or-Kill (FOK)... 34 7.3.6 Fill-and-Kill (FAK)... 35 7.4 Reserve Conditions... 36 7.5 Triggering Conditions... 36 7.5.1 Price Triggering... 36 7.5.2 Triggering of Session Changes... 36 7.6 Combination Orders... 37 The time in force GTC and GTD are valid in the two standardized index future time spreads on OMXS30.... 37 Combination orders in the two standardized index future time spreads on OMXS30 are valid during post trade.... 37 7.6.1 Pricing Combinations... 37 7.6.2 Standardized Combination... 37 7.6.3 Tailor-Made Combination... 38 7.6.4 Bait Orders (Derived Orders)... 38 7.6.5 Restrictions to bait generation... 38 7.6.6 Dissemination of Bait Orders... 39 7.7 Order modification... 39 7.8 Ranking of Orders... 39 7.9 Tick sizes... 39 8 Quotes... 40 8.1 Single Quotes... 40 8.2 Mass Quotes... 40 8.3 Replacing Quotes losing priority... 40 9 Connectivity and Protocols... 40 9.1 Trading... 40 9.2 Market Data and Transparency... 40 3(72)
10 Appendix A: Quotation list... 41 10.1 SWEDISH EQUITIES (SEax) stocks and depository receipts listed in SEK... 41 10.2 FINNISH EQUITIES (FIax) stocks and depository receipts listed in EUR... 43 10.3 DANISH Equities (DKax) stocks listed in DKK... 45 10.4 NASDAQ OMX NORWEGIAN EQUITIES (NNOax) stocks listed in NOK... 46 10.5 SWEDISH EQUITIES Index (OMXS30)... 47 10.6 SWEDISH EQUITIES - Index (OMXSB)... 48 10.7 NASDAQ OMX NORWEGIAN EQUITIES - Index (OMXO20)... 49 10.8 DANISH EQUITIES Index (OMXC20CAP)... 50 10.9 NORDIC EQUITIES - Index (VINX30)... 51 10.10 TM (NON-STANDARDISED PRODUCTS)... 52 10.11 BINARY OPTIONS, OVER UNDER Stocks and Index listed in SEK... 52 10.12 SWEDISH EQUITIES (SEetf) Exchange Traded Funds listed in SEK... 53 10.13 SWEDISH EQUITIES Weekly Options Index listed in SEK (OMXS30)... 54 11 Appendix B Tick-sizes... 55 12 Appendix C Daily fixing in futures... 56 12.1 Index futures... 56 12.1.1 The future nearest to expiration... 56 12.1.2 The futures not nearest to expiration... 56 12.2 Single Stock futures... 56 13 Appendix D Trade Information... 57 13.1 Electronically matched trades... 57 13.2 Reported trades... 57 13.2.1 ST- Standard Trade... 57 13.2.2 STOS- Standard Trade, Outside Spread... 57 13.2.3 OHT- Off Hours Trade... 57 13.2.4 BT- Block Trade... 58 13.2.5 EGT- Exchange Granted Trade... 58 13.2.6 BTX- Exchange Granted Trade, exceeding maximum lot size... 58 13.2.7 BTXO- Exchange Granted Trade, exceeding maximum lot size After Hours... 58 13.2.8 EGLT- Exchange Granted Trade, Late Reported... 58 14 Appendix E Ranking of Orders and Price triggering... 59 14.1 Exception 1 to the main rule regarding ranking... 59 14.2 Exception 2 to the main rule regarding ranking... 61 15 Appendix F Combinations... 63 15.1 During special circumstances matching may be prohibited.... 63 16 Appendix G - Market Transparency... 64 16.1 OMnet... 64 16.2 ITCH... 65 16.3 TIP... 66 17 Appendix H Deferred Publication... 67 17.1 Trade publication... 67 17.2 Classification of underlying s... 67 17.3 Minimum qualifying number of contracts... 70 18 Appendix I Order management, Trade reporting and events during sessions... 71 18.1 Index derivatives... 71 18.2 Single Stock derivatives... 72 4(72)
Revision History Date Revision Change Description April 8, 2010 1.0 Initial version for NASDAQ OMX Derivatives Markets April 29, 2010 1.1 Changes made in step 3 under section 4.3.4 Calculation of EP, and section 7.2.5 Fill-or-Kill under section Time in Force. May 10, 2010 1.2 Clarification regarding the calculation of EP price in section 4.3.4 Calculation of EP. June 7, 2010 1.3 Clarification of hidden orders in call interaction, see section 4.3.2 Call Interaction. September 17, 2010 October 11, 2010 1.4 Changes: 7.1.4 Stop Orders will only be available in Swedish index futures 7.5.7 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 7.5.1 Pricing combinations (new section) 7.5.4 Derived Orders, baits (new section) 7.5.5 Regeneration of baits during aggressive matching (new section) 7.5.6 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) 1.5 4.3.2 Call Interaction, clarification regarding Stop Orders 7.1.4 Stop Order, clarification regarding Call Interaction and Price triggering 7.4.1 Price triggering, clarification regarding Stop Orders 7.5.3 Tailor-Made Combination, clarification regarding maximum ratio 7.7 Ranking of Orders, exception to the main rule 5(72)
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, 2011 1.6 7.1.4 Stop Order, reference added 7.4.1 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 1.7 7.1.4 Stop Order, clarification regarding Stop Orders triggered by erroneous transactions 9 Updated Quotation lists due to changed rules regarding Series generation April 4, 2011 1.8 4.3 Changes valid as of April 4, 2011. Introduction of an Opening Call Auction on Index futures. Extension of the Call Interaction phase in the Closing Call Auction from 60 90 seconds to 90 120 seconds. 3.1 and 3.2 Changes of trading hours and schedules due to the changes on April 4, 2011. 7.1.4, 7.4.1 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. 7.4.2 Triggering on Session changes. The only available session to trigger on will be Call Interaction for Index futures. August 31, 2011 1.9 6.2 Trade types. Changed procedures when reporting EG2. November 14, 2011 1.10 Clarification 4.3.2.1 Call Interaction and 4.3.3.1 Call Interaction. Description of market transparency moved to section 9. 4.3.4 Calculation of EP 7.1.3 Market-to-Limit Order 7.5.4 Bait Orders 7.5.7 Dissemination of Bait Orders New sections 6(72)
Date Revision Change Description 9 and appendix G Description of Connectivity and Protocols April 2, 2012 1.11 11 Appendix B, Change of Danish tick sized for single stock options and futures June 15, 2012 1.12 Removal of Russian and Baltic derivatives Changed MPS accessibility hours August 6, 2012 1.13 3.1 Changed trading hours Norwegian derivatives September 3, 2012 1.14 Introduction of Weekly options on OMXS30 November 26, 2012 1.15 3.1 and 3.2 New trading schedules 4.3.3.2 Uncross session deleted, allocation moved to transition from CLIN to EOTRD 4.4-4.9 New sessions 6.1.5 Deferred publication 6.2.1-6.2.2 13 App. D New Trade Report Types and clarification 7.1.1 Clarification, day orders not participating in Post Trade 7.1.2 Market orders not valid in POSTR 7.1.4 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, 2013 1.16 7.2 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, 2013 1.17 7.2 Order Price Limit. Allowed deviations updated for options & futures on Maersk. May 6, 2013 1.18 3.1 Changed opening hours for Norwegian Single Stock. 3.1 & 3.2 Corrected time stamps for session state TRMBD. September 3, 2013 December 9, 2013 1.19 Section 11 Appendix B. Updated tick size table for Weekly Options. 1.20 3.1, 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, 7.3.2 and 7.3.3 GTC and GTD order are enabled in the two standardized index future time spreads on OMXS30 4.3 and 7.2.1 Call auction and Order Price 7(72)
Date Revision Change Description Limit overview Clarification, Order Price Limit is not activated during auctions 7.1.2 and 7.1.3 and 7.6 Market and Marketto-Limit orders no longer valid for combinations 7.1.3 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 7.2.2 Market and Market-to-Limit orders are validated by Order Price Limit 7.2.4 Clarification, the quality of the BBO is validated in order to be used when calculating the reference price 7.2.4.3 New Combination Order Book Reference Price Rule implemented 7.2.5.5 7.2.5.7 New deviation tables implemented for combination order books 7.6.4 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, 2014 1.21 Appendix 10 Quotation list Updated strike generation rules for Swedish Single Stock options 10.1 8(72)
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)
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)
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). 2.1.1 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. 2.1.2 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. 2.1.3 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. 2.1.4 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. 2.1.5 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 2.1.6 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)
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 2.2.10. 12(72)
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)
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 18:00 3.3 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)
3.4 Trading calendar and holiday schedule Trading calendar 2012-2014 More trading calendars can be found on: http://nordic.nasdaqomxtrader.com/trading/tradinghours/ 15(72)
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)
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. 4.3.2 Opening Call 4.3.2.1 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. 4.3.3 Closing Call 4.3.3.1 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)
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)
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 2. 2. 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 3. 3. 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)
the post-trade session, including combination orders in the two standardized index future time spreads on OMXS30. 4.7 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. 4.10 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. 4.10.1 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)
4.10.2 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. 4.10.3 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. 4.10.4 Resuming trading after a Trading Suspension When a suspension ceases, trading is resumed and the restrictions on order entry ceases. 4.10.5 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)
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)
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 50.000. When reporting a trade the following trade report types and trade types are available. 6.1 Trade Report type 6.1.1 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. 6.1.2 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. 6.1.3 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. 6.1.4 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)
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)
6.2 Trade Report Types The following Trade Types are supported for Manual Trades: 6.2.1 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 101 1001 Off Hours Trade Electronically/Phone 107 1007 Block Trade Electronically/Phone 108 1008 Exchange Granted Trade Electronically/Phone 102 52 Exchange Granted Trade, exceeding Maximum Lot Size Phone 105 2105 Exchange Granted Trade, exceeding Maximum Lot Size, Off Hours Phone 106 1006 Exchange Granted Trade, Late reported Phone 103 2103 6.2.2 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 1.000 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)
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 50.000). 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 50.000) 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)
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 50.000. For Order management during sessions, see appendix I. 7.1 Order Types 7.1.1 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. 7.1.2 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)
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. 7.1.3 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 7.4.1 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)
7.2 Order Price Limit 7.2.1 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. 7.2.2 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. 7.2.3 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. 7.2.4 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. 7.2.4.1 Index futures Reference Price Rule The following set of rules for selecting reference prices is used: Rule I: 29(72)
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. 7.2.4.2 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 7.2.4.3 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)
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)
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. 7.2.5.1 Allowed deviation SEK, NOK and DKK From Price Lower Limit Upper Limit Pr Unit 0,000 100,0000 100,0000 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 7.2.5.2 Allowed deviation EUR From Price Lower Limit Upper Limit Pr Unit 0,000 100,0000 100,0000 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 7.2.5.3 Allowed deviation VINX From Price Lower Limit Upper Limit Pr Unit 0,000 1,7500 1,7500 Percent (%) 7.2.5.4 Allowed deviation MAERSK From Price Lower Limit Upper Limit Pr Unit 0,000 150,000 150,000 Absolute 500,000 200,000 200,000 Absolute 1000,000 400,000 400,000 Absolute 2000,000 500,000 500,000 Absolute 3000,000 600,000 600,000 Absolute 32(72)
7.2.5.5 Allowed deviation Combination order books in SEK, NOK and DKK From Price Lower Limit Upper Limit Pr Unit - 999999,000 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 7.2.5.6 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 - 999999,000 3,000 3,000 Absolute 7.2.5.7 Allowed deviation Combination order books in EUR and VINX From Price Lower Limit Upper Limit Pr Unit - 999999,000 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 7.2.5.8 Allowed deviation Combination order books in MAERSK From Price Lower Limit Upper Limit Pr Unit - 999999,000 600,000 600,000 Absolute - 3000,000 550,000 550,000 Absolute - 2000,000 450,000 450,000 Absolute - 1000,000 350,000 350,000 Absolute - 500,000 250,000 250,000 Absolute 500,000 350,000 350,000 Absolute 1000,000 450,000 450,000 Absolute 2000,000 550,000 550,000 Absolute 3000,000 600,000 600,000 Absolute 33(72)
7.3 Time in Force 7.3.1 Day Order (Day) Day Order (also known as Fill and Store) is valid until the market close. A Day order is active for the trading day and any unexecuted portion will be cancelled at the end of the business day. Orders in the Index futures are also valid during the Call Auction. 7.3.2 Good till Cancelled (GTC) GTC Order (also known as Good till Expiration) is valid until it is cancelled and at the longest until the Expiration of the Series in question. If the Order is not matched during the day it will be inserted again in the order book the next morning when the system opens. The GTC orders will retain their original chronological order based on original entry time into the system. GTC orders are valid in the two standardized index future time spreads on OMXS30. Orders in the Index futures, apart from combination orders, are also valid during the Call Auction. GTC orders in the Index futures, including combination orders in the two standardized index future time spreads on OMXS30, are also valid during post-trade. 7.3.3 Good till Date (GTD) Order is valid until a specified Date in the future. If the Order is not matched during the day it will be inserted again in the order book the next morning when the system opens. The Date orders will retain their original chronological order based on original entry time into the system. GTD orders are valid in the two standardized index future time spreads on OMXS30. Orders in the Index futures, apart from combination orders, are also valid during the Call Auction. GTD orders in the Index futures, including combination orders in the two standardized index future time spreads on OMXS30, are also valid during post-trade. 7.3.4 Good till End of Session (GTS) GTS Orders specifies the Session Type until the Order shall remain in effect. The Order will be cancelled in a transition to a session not included in the current Session type. 7.3.5 Fill-or-Kill (FOK) No FOK Orders are stored in the Order Book. If a FOK Order is not matched immediately into trade(s) in full upon entry, the order is cancelled. FOK Orders can only be used during continuous trading. 34(72)
7.3.6 Fill-and-Kill (FAK) No FAK Orders are stored in the Order Book during continuous matching. If an FAK Order is not matched immediately into trade(s) in full or in part upon entry, the remaining part of the order is cancelled. FAK Orders placed during Call Auction will be stored in the Order Book but the remaining part of the order is cancelled after the Uncross. 35(72)
7.4 Reserve Conditions Reserve Orders (Hidden volume) In a Reserve Order, a certain portion (shown volume) of the total volume of an order is displayed in the Order Book. Both the displayed and non-displayed portions of the Reserve Order are available for potential execution against incoming orders. Reserve orders include an executable quantity that is only partially visible to the market. The quantity is automatically refreshed from a hidden quantity once the displayed quantity is fully executed. Refreshing the quantity (there is a time priority among reserve orders when it comes to refreshing) is regarded as a new order from a time priority point of view, however an incoming aggressive order will not trade through to the next level until all of the displayed and hidden quantities available are executed. Stored (during continuous trading) Reserve Orders are valid, and new such Reserve Orders can be placed during Call Interaction. Their total quantity is used for the EP calculation and the uncrossing. Their total quantity is displayed in market by price. 7.5 Triggering Conditions 7.5.1 Price Triggering Price triggering using the Last Match Price (LMP) is used for Stop Orders. Trade reporting and LMP originating from combination against combination updating Last prices does not cause any triggering. LMP originating from a combination against single orders causes triggering. Stop Orders will not be triggered during Auctions. Triggering conditions can be one of the following: * LMP >= Trigger Price * LMP <= Trigger Price 7.5.2 Triggering of Session Changes Triggering of session changes can be used to trigger on the session Call Interaction in Index futures, i.e. at the next auction. The Order is immediately triggered at Order entry if the condition is fulfilled. Triggering on the session Open is not valid. However, placing an Order during Call Interaction that triggers on the session Open will not be rejected immediately, it will be rejected when the condition is fulfilled. I.e. the Order will be rejected in the transition to the session state Open. 36(72)
7.6 Combination Orders The Combination Order refers to two or more Orders concerning different Series, and where the respective Orders are subject to the condition that all included Orders shall be executed simultaneously. Neither standardized nor Tailor-Made Combinations can be generated if the multiplier/contract size is not equal between the different Series. Matching a combination against single orders in it legs will always be prioritized, if possible, before combination against combination. The Combination Order may be standardized or Tailor-Made. The time in force GTC and GTD are valid in the two standardized index future time spreads on OMXS30. Combination orders in the two standardized index future time spreads on OMXS30 are valid during post trade. Combination Orders are not valid in Auctions. Market and Market-to-Limit Orders are not valid for Combination Orders. During special circumstances a combination may not be executed even though a possibility exists. See appendix F. 7.6.1 Pricing Combinations The Price for the Order shall be stated as a common net price. If buying the combination, the price of a bought leg (which is a buy-leg in the combination definition) is added, and the price of a sold leg is subtracted. The result of this is that the price for a combination order is: A positive value, when - The participant is buying the combination and is willing to pay, or - The participant is selling the combination and wants to be paid A negative value, when - The participant is buying the combination and wants to be paid, or - The participant is selling the combination and is willing to pay 7.6.2 Standardized Combination The standardized combination Order refers to two Orders in different Series. The Exchange determines which combinations are available, as well as possible proportions (relations) regarding volume between the included Orders. Standardized combination Orders can be placed as Limit Orders or Market Orders via the Enter Order functionality. Stored standardized combination Orders may lead to automatic storage of so-called derived (bait) Orders in EMP. 37(72)
7.6.3 Tailor-Made Combination Via the Tailor-Made combination functionality a member can define a combination that at Order placement are instantly listed as a standardized combination and thus subject to corresponding rules. The Tailor-Made combination refers to two or up to four Orders in different Series. Which Series as well as possible proportions (relations) regarding volume between the included Orders is determined by the user, however the maximum ratio is set to 1/4. Tailor-Made combination Orders can be placed as limit Orders during continuous trading (Trading Hours) via the Enter Tailor-Made Combination functionality. 7.6.4 Bait Orders (Derived Orders) A Bait Order is an Order not directly placed by an Exchange member, but which has been derived by the Exchange from a Combination Order and can be traded against as a normal Single Order. Bait Orders are derived from the best price level in the base and are disseminated in the single leg Order Books. Re-generation of baits during aggressive matching Combination Orders having Bait Orders generated will if possible be regenerated during aggressive matching. All regenerated baits during aggressive matching are regarded as a new order from a time priority point of view. An incoming single order will not trade through to the next level until all quantities available from combination orders with generated baits are executed. Bait orders deriving from combinations 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 Price Limit. 7.6.5 Restrictions to bait generation The Exchange reserves the right to limit the storing of derived Order Book Orders. Baits that are attached with volume restrictions will be generated and receive a time stamp for time prioritization, but not visible in the order book. If for example a combination order includes two Series where the ratio is to buy one contract of Series one and sell two contracts of Series two there will be a bait generated and visible in Series one. There will be a bait generated for Series two, but not visible in the order book, since that order is an all or none (at least two contracts) order. However it will match if there is a possibility. Bait orders are not generated if the base is fully committed as the base to another combination. During special circumstances a combination may not be executed even though a possibility exists. See appendix F. Bait orders are not generated against bait orders in the base but execution will take place if possible. 38(72)
7.6.6 Dissemination of Bait Orders Bait Orders calculated at a price which is not a valid tick in the Single Order Book are always rounded off to the nearest worse applicable price according the tick-size table. When an aggressive order hits a rounded Bait Order the trade will take place at the actual price. I.e. baits will be generated at the actual price but will only be shown in the order book according to the tick-size table for the order book and it is possible that incoming orders will be matched at a better price than what is visible in the order book. 7.7 Order modification The priority of a stored order is retained if the volume (shown and or hidden) is reduced, if the time validity is changed and if the identity of the client is changed. Other changes such as increase of the quantity or change of the price is equivalent to cancellation of the Order and the placing of a new Order. 7.8 Ranking of Orders The main rule for ranking of Orders is based firstly upon best price/net price and secondly by the longest storage time. Exception 1: An Order which would have had higher ranking according to the main rule but is preventing Exchange Transactions which otherwise could take place of an Order with Combination Terms can be by-passed provided that the Orders included in the Combination Term has different ratios. Only Orders which do not exceed three contracts can be by-passed. See appendix E 13.1. Exception 2: A bait which would have had higher ranking according to the main rule but is preventing execution which otherwise could take place of an Order can be by-passed provided that two passive and different combination orders are involved. Only baits, in Series also common to two passive combination orders with different terms, can be bypassed. See Appendix E 13.2. The storage time for derived Orders is the same as for the Order from which it is derived. If the derived Order is regenerated and the volume is increased due to an increased volume in the base, it receives a new time stamp. NB! In cases where the possibility exists for execution between two Orders with combination terms, the transaction shall be executed provided that the transaction cannot be executed against Limit Orders without combination terms upon the same or better terms. During Auctions, Market Orders are ranked as aggressively priced Limit Orders. Please note that this means that Market Orders are always ranked ahead of priced Orders. 7.9 Tick sizes Tick size is the smallest allowed price movement and is thereby also the smallest possible difference between the buy and sell price in an Instrument. Example of the tick sizes can be found in Appendix B. Please refer to the NASDAQ OMX Website for current tables. 39(72)
8 Quotes Market Makers are offered quoting capability. 8.1 Single Quotes Quoting is provided in one Series by a special type of transaction that includes both a bid and offer with corresponding prices and quantities. Price quotation can be singlesided or two-sided, i.e. the bid or offer or both the bid and offer can be provided in one transaction. 8.2 Mass Quotes Mass Quotes are supported to provide quoting in up to 37 Series in the same underlying using one transaction including both bids and offers with corresponding prices and quantities. Mass quotes can be single-sided or two-sided, i.e. the bids or offers or both the bids and offers can be provided in one transaction. 8.3 Replacing Quotes losing priority A previous quotation can be replaced by a new quotation in the same order book (it is possible to replace only one side with the other retaining its priority). This is done in an atomic manner to enable market makers to provide continuous quotes. Replacing and changing quotes always leads to lost priority. 9 Connectivity and Protocols 9.1 Trading Genium INET offers two Connectivity Protocols for Trading; OMnet and FIX. Both protocols support Full Order Management, Quoting and Trade Reporting. 9.2 Market Data and Transparency Market Data is available directly from Genium INET via two protocols; OMnet and ITCH. Market Data is also available from the Genium Consolidated Feed via the TIP protocol. Market Transparency is different throughout the trading day, depending on Trading Session and Protocol. See appendix G. 40(72)
10 Appendix A: Quotation list Series listed by the Exchange as set forth in the Exchange s clearing system. The following assets constitute Contract Base in Series listed by the Exchange: EQUITIES Exchange- and clearing listing 10.1 SWEDISH EQUITIES (SEax) stocks and depository receipts listed in SEK In the following categories of shares call and put Options, Forwards and Futures are listed Term and Expiration Months Elekta (EKTAB) Meda A (MEDA) 3 months: All months Eniro (ENRO) Millicom SDB (MIC) 12 months: Mar, June, Sept, Dec Getinge (GETIB) MTG B (MTGB) Hexagon (HEXB) Oriflame SDB (ORI) Holmen B (HOLMB) Stora Enso R (STER) ICA Gruppen (ICA) Swedish Match (SWMA) Kinnevik B (KINB) Lundin Mining (LUMI) Tietoenator (TIEN) ABB (ABB) Alfa Laval (ALFA) Sandvik (SAND) SCA B (SCAB) 3 months: All months 12 months: Mar, June, Sept, Dec Assa Abloy (ASSAB) Scania B (SCVB) 24 months: Dec AstraZeneca (AZN) SEB A (SEBA) Atlas Copco A (ATCOA) Securitas B (SECUB) SHB A (SHBA) Autoliv SDB (ALIV) SKF B (SKFB) Boliden AB (BOLI) Skanska B (SKAB) Electroux B (ELUXB) Hennes & Mauritz B (HMB) SSAB A (SSABA) Swedbank (SWEDA) Tele2 B (TEL2B) Husqvarna B (HUSQB) Trelleborg B (TRELB) Investor B (INVEB) Lundin Petroleum (LUPE) Nordea (NDA) Volvo B (VOLVB) Ericsson B (ERICB) Nokia (NOKI) TeliaSonera (TLSN) 3 months: All months 12 months: Mar, June, Sept, Dec 36 months: Dec 41(72)
Normal exercise price interval for categories of shares call and put Options (SEK) < 3 months term (SEK) < 6 months term (SEK) 0 16 0,25 0.5 1 16 30 0,5 1 2 30 70 1 2 4 70 150 2,5 5 10 150 310 5 10 20 310 510 10 20 40 510 15 30 60 > 6 months term (SEK) Additional options series on Swedish Equities may be listed on request following the framework below: 1. The requested strike must conform to the strike generation methodology detailed in the Nasdaq OMX Quotation List 2. The maturity is currently listed. 3. The strike may be listed when the following conditions are met: (a) The requested strike must not be lower than 50% ITM or greater than 50% OTM from the T 1 closing price of the nearest ATM option, for options with a maturity shorter than 3 month (b) For maturities greater than 3 months, the requested strike may not be greater than 100% from the T - 1 closing price of the nearest ATM option. (c) 0 (Zero) strike options will not be accepted 4. The strike request may only be eligible when reporting trades with a minimum of 250 contracts for all options. 5. The corresponding put/call option will be listed at the same time 6. NASDAQ OMX retains the right deny request for a new strike listing. 7. NASDAQ OMX retains the right to delist a strike if there is no open interest in the requested strike 8. Only members may submit requests 9. Requests may be made to Trading Operation at Nasdaq OMX before 16:30 CET Listing of Series: The following Series shall initially be listed for Options at the end of the preceding Bank Day: More than six months to expiration: 5 OTM, 1 ATM, and 5 ITM. Less than six months to expiration: 5 OTM, 1 ATM, and 5 ITM. On the Bank Days following the initial listing day new Series are listed in accordance with above. 42(72)
10.2 FINNISH EQUITIES (FIax) stocks and depository receipts listed in EUR Group 1 In the following categories of shares call and put Options and Forwards are listed Huhtamäki (HUH1V3) Kemira (KRA1V3) M-real B (MRLBV3) Metso (MEO1V3) Nokian Tyres (NRE1V3) Nordea FDR (NDA1V3) Outokumpu (OUT1V3) Rautaruukki (RTRKS3) YIT-Yhtymä (YTY1V3) Term and Expiration Months 3 months: Jan, Feb, Apr, May, July, Aug, Oct, Nov 6 months: Mar, June, Sep, Dec Additional options and futures series on the stock classes in Group 1 are listed on request (i.e. not regularly) up to a term of 24 months as apparent from the series designation. Group 2 In the following categories of shares Forwards are listed Elisa (ELI1V3) Fortum (FUM1V3) Neste Oil (NES1V3) * Nokia (NOK1V3) Sampo A (SAMAS3) Stora Enso R (STERV3) TeliaSonera (TLS1V3) TietoEnator (TIE1V3) UPM-Kymmene (UPM1V3) Term and Expiration Months 3 months: Jan, Feb, Apr, May, July, Aug, Oct, Nov 6 months: Mar, June, Sep, Dec Additional futures series on the stock classes in Group 2 are listed on request (i.e. not regularly) up to a term of 24 months as apparent from the series designation. * = Single Stock Futures on this stock class are only available on-request. 43(72)
Group 3 In the following categories of shares call and put Options or Forwards are listed on request with a Term of up to 24 months as apparent from the series designation. New underlying instruments will be listed on request after liquidity consideration in the respective stock class. AffectoGenimap (AFE1V3) Oriola-KD B (OKDBV3) Ahlstrom (AHL1V3) Outotec (OTE1V3) Amer Sports (AMEAS3) PKC Group (PKC1V3) CapMan B (CPMBV3) Pohjola Bank Plc. (POH1S3) Cargotec B (CGCBV3) Pöyry (POY1V3) Citycon (CTY1S3) Raisio Yhtym Vaihto-osake (RAIVV3) Comptel (CTL1V3) Ramirent (RMR1V3) Cramo (CRA1V3) Sanoma (SAA1V3) Digia Oyj (DIG1V3) Sievi Capital (SCI1V3) Efore (EFO1V3) Sponda (SDA1V3) F-Secure (FSC1V3) Stonesoft (SFT1V3) Fiskars A (FIS1V3) Stockmann B (STCBV3) HK Ruokatalo Group A (HKSAV3) Talvivaara Mining Company TLV1V3) Ixonos (XNS1V3) Technopolis (TPS1V3) Kesko B (KESBV3) Tecnomen (TEM1V3) Kone Corp (KNEBV3) Tekla (TLA1V3) Konecranes (KCR1V3) Teleste (TLT1V3) Lassila&Tikanoja (LAT1V3 ) Tikkurila (TIK1V3) Lemminkäinen (LEM1S3) Uponor (UNR1V3) Wärtsilä (WRT1V3) Normal exercise price interval for Group 1 and Group 3 Exercise price (EUR) < 6 months term > 6 months term Interval (EUR) Interval (EUR) 0-0.6 0.05 0.1 0.6 3 0.1 0.2 3 5 0.2 0.4 5 20 0.5 1 20 38 1 2 38 50 2 4 50-5 10 Listing of Series Group 1: The following Series shall initially be listed for Options at the end of the preceding Bank Day: More than six months to expiration: 5 OTM, 1 ATM, and 5 ITM. Less than six months to expiration: 5 OTM, 1 ATM, and 5 ITM. On the Bank Days following the initial listing day new Series are listed in accordance with above. 44(72)
10.3 DANISH Equities (DKax) stocks listed in DKK In the following categories of shares call and put Options and Futures are listed Term and Expiration Months 3 months: Jan, Feb, Apr, May, Jul, Aug, Oct, Nov 12 months: Mar, Jun, Sep, Dec Carlsberg B (CARLB) Chr. Hansen Holding (CHR) * Coloplast B (COLOB) * Danske Bank (DANSKE) DSV (DSV) D/S Norden (DNORD) FL Smidth & Co (FLS) GN Store Nord (GN) H. Lundbeck (LUN) Novo Nordisk B (NOVOB) Novozymes B (NZYMB) Pandora (PNDORA) Vestas Wind Systems (VWS) TDC (TDC) Tryg Vesta (TRYG) * = Only Single Stock Futures available on this stock class In the following categories of shares call and put Options and Futures are listed with only one (1) underlying Contract Share A.P. Møller-Mærsk B (MAERSK) Normal exercise price interval for categories of shares call and put Options (DKK): < 6 months term (DKK) 0-6 0.5 1 6 30 1 2 30 70 2.5 5 70 200 5 10 200 1000 10 20 1000 2000 50 100 2000 5000 100 200 5000 10000 250 500 10000 30000 500 1000 30000-1000 2000 Term and Expiration Months 3 months: Jan, Feb, Apr, May, Jul, Aug, Oct, Nov 12 months: Mar, Jun, Sep, Dec > 6 months term (DKK) Listing of Series: The following Series shall initially be listed for Options at the end of the preceding Bank Day: More than six months to expiration: 5 OTM, 1 ATM, and 5 ITM. Less than six months to expiration: 5 OTM, 1 ATM, and 5 ITM. On the Bank Days following the initial listing day new Series are listed in accordance with above. 45(72)
10.4 NASDAQ OMX NORWEGIAN EQUITIES (NNOax) stocks listed in NOK In the following category of shares call and put Options, Forwards and Futures are listed DnB NOR ASA (DNBNON) Gjensidige Forsikring ASA (GJFN) Marine Harvest ASA (MHGN) Norsk Hydro ASA (NHYN) Norske Skogsindustrier ASA (NSGN) Orkla ASA (ORKN) Petroleum Geo-Services ASA (PGSN) Renewable Energy Corp ASA (RECN) Royal Caribbean Cruises Ltd (RCLN) Seadrill Ltd (SDRLN*) Statoil ASA (STLN) Storebrand ASA (STBN) Subsea 7 S.A. (SUBCN) Telenor ASA (TELN) Yara International ASA (YARN) Term and Expiration Months 3 months: Jan, Feb, Apr, May, Jul, Aug, Oct, Nov 12 months: Mar, Jun, Sep, Dec * 100% dividend adjusted Normal exercise price interval for categories of shares call and put Options (USD) < 6 months term (USD) 0 10 0.25 0.5 10 20 1 2 20 50 3 6 50 150 5 10 150 250 10 20 250 610 20 40 610-30 60 > 6 months term (USD) Listing of Series: The following Series shall initially be listed for Options at the end of the preceding Bank Day: More than six months to expiration: 5 OTM, 1 ATM, and 5 ITM. Less than six months to expiration: 5 OTM, 1 ATM, and 5 ITM. On the Bank Days following the initial listing day new Series are listed in accordance with above 46(72)
10.5 SWEDISH EQUITIES Index (OMXS30) Expiration Months Call and Put Options, Futures Contracts 3 months 12 months 36 months FEB, APR, MAY, MAR, JUN, SEP, DEC JUL, AUG, OCT, DEC NOV Normal exercise price interval for categories of shares call and put Options: Exercise Price (SEK) Interval for Option contracts with a Term less than 15 days Interval for Option contracts with a Term less than 6 months 0 1 000 5 10 20 1 000-10 20 40 Start value: 125 (30/9 1986, Split 4:1 27/4) Interval for Option contracts with a Term more than 6 months Listing of Series: The following Series shall initially be listed for Options at the end of the preceding Bank Day: More than six months to expiration: 7 OTM, 1 ATM, and 13 ITM. Less than six months to expiration: 13 OTM, 1 ATM, and 25 ITM. On the Bank Days following the initial listing day new Series are listed in accordance with above if the Last Transaction Price in the Contract Share exceeds the second highest or is less than the second lowest listed Exercise Price. 47(72)
10.6 SWEDISH EQUITIES - Index (OMXSB) Expiration months 6 months 24 months Futures Contracts MAR, JUN, SEP DEC 48(72)
10.7 NASDAQ OMX NORWEGIAN EQUITIES - Index (OMXO20) Expiration months Call and Put Options, Futures Contracts 3 months 6 months 24 months JAN, FEB, APR, MAY, JUL, AUG, OCT, MAR, JUN, SEP DEC NOV Normal exercise price interval for categories of shares call and put Options: Exercise Price (NOK) Interval for Option contracts with a Term less than 6 months 0 150 3 6 150 500 5 10 500 1000 10 20 1000-20 40 Interval for Option contracts with a Term more than 6 months Listing of Series: The following Series shall initially be listed for Options at the end of the preceding Bank Day: More than six months to expiration: 5 OTM, 1 ATM, and 5 ITM. Less than six months to expiration: 5 OTM, 1 ATM, and 5 ITM. On the Bank Days following the initial listing day new Series are listed in accordance with above. 49(72)
10.8 DANISH EQUITIES Index (OMXC20CAP) Expiration months Call and Put Options, Futures Contracts 3 months 9 Months JAN, FEB, APR, MAY, JUL, MAR, JUN, SEP, DEC AUG, OCT, NOV Normal exercise price interval for categories of shares call and put Options: Exercise Price (DKK) Interval for Option contracts with a Term less than 6 months 0 500 5 10 500 1000 10 20 1000 20 40 Interval for Option contracts with a Term more than 6 months Listing of Series: The following Series shall initially be listed for Options at the end of the preceding Bank Day: More than six months to expiration: 5 OTM, 1 ATM, and 5 ITM. Less than six months to expiration: 5 OTM, 1 ATM, and 5 ITM. On the Bank Days following the initial listing day new Series are listed in accordance with above. 50(72)
10.9 NORDIC EQUITIES - Index (VINX30) Expiration months Call and Put Options, Futures Contracts 3 months All months Normal exercise price interval for categories of shares call and put Options: Exercise Price (EUR) Interval for Option contracts with a Term less than 6 months 0 1000 10 20 1000 20 40 Interval for Option contracts with a Term more than 6 months Listing of Series: The following Series shall initially be listed for Options at the end of the preceding Bank Day: More than six months to expiration: 5 OTM, 1 ATM, and 5 ITM. Less than six months to expiration: 5 OTM, 1 ATM, and 5 ITM. On the Bank Days following the initial listing day new Series are listed in accordance with above. 51(72)
10.10 TM (NON-STANDARDISED PRODUCTS) TM Contracts are registered following acceptance of application for Registration. 10.11 BINARY OPTIONS, OVER UNDER Stocks and Index listed in SEK Group 1 In the following categories of instruments OverUnder are listed with a Term of three months ABB (ABB) Ericsson B (ERICB) Hennes & Mauritz B (HMB) Nokia (NOKIA) Nordea (NDA) OMXS30 index (OMXS30) SEB A (SEBA) SHB A (SHBA) Swedbank (SWEDA) TeliaSonera (TLSN) Volvo B (VOLVB) Expiration months 3 months Group 1 All months Exercise price intervals Same as for standard options on the underlying instrument in question 52(72)
10.12 SWEDISH EQUITIES (SEetf) Exchange Traded Funds listed in SEK In the following categories of Exchange Traded Funds call and put Options are listed XACT OMXS30 (XACT) Term and Expiration Months 3 months: All months 12 months: Mar, June, Sept, Dec Normal exercise price interval for call and put Options (SEK) < 6 months term (SEK) 0 50 1 2 50 150 2 4 150 500 5 10 500 10 20 > 6 months term (SEK) Listing of Series OMXS30: The following Series shall initially be listed for Options at the end of the preceding Bank Day: 4 OTM, 1 ATM, and 4 ITM. On the Bank Days following the initial listing day new Series are listed in accordance with above if the Last Transaction Price in the Contract Share exceeds the second highest or is less than the second lowest listed Exercise Price. Listing of Series Swedish Stocks: The following Series shall initially be listed for Options at the end of the preceding Bank Day: 3 OTM, 1 ATM, and 3 ITM. On the Bank Days following the initial listing day new Series are listed in accordance with above if the Last Transaction Price in the Contract Share exceeds the second highest or is less than the second lowest listed Exercise Price. 53(72)
10.13 SWEDISH EQUITIES Weekly Options Index listed in SEK (OMXS30) Expiration weeks Weekly Options will be listed for every week in each month except the expiry week of Monthly Options (normally the third Friday of the month) Example: for a month of four weeks with four Fridays Weekly Options will be see an expiry on week 1, 2, 4 and when applicable 5. Example: if we are on Tuesday the first week of the month, Weekly Options with expiry week 1 and 2 will be available for trading. Exercise price interval for weekly call and put options Index Level <1,000 >1,000 Interval 5 Index points 10 Index points Listing of Series The following Series shall initially be listed for Weekly Options on Thursday after the close each week: 10 OTM, 1 ATM and 10 ITM On the Bank Days following the initial listing day new Series are listed in accordance with above. 54(72)
11 Appendix B Tick-sizes Market segment Options Futures/Forwards Binary options Weekly Options Price interval Tick size Price interval Tick size Tick size Price interval Danish stock < 0.10 0.01 < 0.10 0.01 0.10-1.0 0.10 0.10 4.00 0.05 1.0-4.0 0.25 > 4.00 0.25 > 4.00 0.50 Maersk 25 Maersk 25 Danish index < 0.10 0.01 < 0.10 0.01 0.10 4.00 0.05 > 0.10 0.05 > 4.00 0.25 Finnish stock 0.01 0.01 Tick size Norwegian < 0.10 0.01 0.01 stock 0.10 4.00 0.05 > 4.00 0.25 Norwegian < 0.10 0.01 < 1000 0.10 index 0.10 4.00 0.05 > 1000 0.25 > 4.00 0.25 Swedish stock < 0.10 0.01 0.01 0.01 0.10 4.00 0.05 > 4.00 0.25 Swedish index < 0.10 0.01 < 0.10 0.01 0.01 < 0.10 0.01 0.10 4.00 0.05 0.10 4.00 0.05 0.10 4.00 0.05 > 4.00 0.25 4.00 0.10 > 4.00 0.25 50.00 0.25 > 50.00 Euro index < 0.10 0.01 0.10 0.10 4.00 0.05 > 4.00 0.10 55(72)
12 Appendix C Daily fixing in futures 12.1 Index futures 12.1.1 The future nearest to expiration The fixing value is equal to the Last Paid Price if the Last Paid Price is at or within the closing BBO. If the Last Paid Price is outside the closing BBO the average of the BBO is used given that both a bid and ask price exist. If there is no closing BBO the fixing value is theoretically calculated on the basis of the underlying value. On the expiration day the future second nearest to expiration is considered to be the future nearest to expiration. On the expiration day regarding the future nearest to expiration the fixing is determined with a VWAP. 12.1.2 The futures not nearest to expiration The fixing is theoretically calculated on the basis of the fixing value of the future nearest to expiration. 12.2 Single Stock futures The fixing values, for all Single Stock futures, are theoretically calculated on the basis of the underlying prices. 56(72)
13 Appendix D Trade Information 13.1 Electronically matched trades Electronically matched trades updates: Last price Last quantity High Low Open price Turnover Open Interest 13.2 Reported trades 13.2.1 ST- Standard Trade Updates: Last price Last quantity High Low Open price Turnover Open Interest Last Trade Report price Last Trade Report quantity 13.2.2 STOS- Standard Trade, Outside Spread Updates: High Low Turnover Open Interest Last Trade Report price Last Trade Report quantity 13.2.3 OHT- Off Hours Trade Updates: Turnover Open Interest Last Trade Report price Last Trade Report quantity 57(72)
13.2.4 BT- Block Trade Updates: High Low Turnover Open Interest Last Trade Report price Last Trade Report quantity 13.2.5 EGT- Exchange Granted Trade Updates: High Low Turnover Open Interest Last Trade Report price Last Trade Report quantity 13.2.6 BTX- Exchange Granted Trade, exceeding maximum lot size Updates: High Low Turnover Open Interest Last Trade Report price Last Trade Report quantity 13.2.7 BTXO- Exchange Granted Trade, exceeding maximum lot size After Hours Updates: Turnover Open Interest Last Trade Report price Last Trade Report quantity 13.2.8 EGLT- Exchange Granted Trade, Late Reported Trade is not published publicly. 58(72)
14 Appendix E Ranking of Orders and Price triggering 14.1 Exception 1 to the main rule regarding ranking A single order which would have had higher ranking according to the main rule but is preventing execution which otherwise could take place with a combination order can be by-passed provided that the legs in the Combination have different ratios. Only Orders which do not exceed three contracts can be by-passed. See example below. Given the following Order Books: No bait is generated in Order Book A (the combo calculates against the best price level in Order Book B,3@4,5 and that Order is to small). No bait is visible in Order Book B since all or none Orders are not allowed, i.e. the combo has to sell at least 4 contracts or multiples of 4 contracts. The combo can actually sell 40@4,25. Order Book A 100@16-100@18 Order Book B 100@4 3@4,5-100@5 Combination Order Book A/B ratio buying 1 of Order Book A and selling 4 of Order Book B 10/40@1-59(72)
An incoming Order to buy 60@4,25 (in green) in Order Book B: Results in the following trades: Order Book A, 10 @ 18 Order Book B, 40 @ 4,25 Order Book A 100@16-100@18 Order Book B 100@4 60@4,25 3@4,5-100@5 Combination Order Book A/B ratio buying 1 of Order Book A and selling 4 of Order Book B 10/40@1 - Leaving the resulting Order Books: The buy Order of 3@4,5 has been by-passed due to insufficient quantity. Order Book A 100@16-90@18 Order Book B 100@4 20@4,25 3@4,5-100@5 Combination Order Book A/B ratio buying 1 of Order Book A and selling 4 of Order Book B - 60(72)
14.2 Exception 2 to the main rule regarding ranking A bait which would have had higher ranking according to the main rule but is preventing execution which otherwise could take place with a single order can be bypassed provided that two passive and different combination orders are involved. Only baits, in Series also common to two passive combination orders with different terms, can be by-passed. See example below. Given the following Order Books: Single orders in black, baits in different colors generated from the combination order books with corresponding colors. Note that baits are only generated against single orders in the base for example; the bid 10@1105,25 in order book C is calculated against 1104 in order book B. Order Book A 50@1103-50@1103,25 10@1103,25 Order Book B 50@1104 10@1104,25-50@1104,5 50@1105 Order Book C 50@1105 10@1105,25-50@1106,25 Combination Order Book B/A ratio buying 1 of Order Book B and selling 1 of Order Book A 10@1,25 - Combination Order Book C/B ratio buying 1 of Order Book C and selling 1 of Order Book B 10@1,25-61(72)
An incoming Order to sell 10@1105,25 in Order Book C: Results in the following trades: Order Book C, 10@1105,25 Order Book B, 10@1104 Leaving the resulting Order Books: Order Book A 50@1103-50@1103,25 10@1103,25 Order Book B 40@1104 10@1104,25-50@1104,5 Order Book C 50@1105-50@1106,25 Combination Order Book B/A ratio buying 1 of Order Book B and selling 1 of Order Book A 10@1,25 - Combination Order Book C/B ratio buying 1 of Order Book C and selling 1 of Order Book B - Note that the bid 10@1, in combination C/B is selling at 1104 and not 1104,25 because a passive combination never trades against another passive combination i/e the LMP will be outside BBO. The bait, 10@1104,25 in order book B was therefore by-passed. This can only happen in the order book that combination B/A and C/B have in common. 62(72)
15 Appendix F Combinations 15.1 During special circumstances matching may be prohibited. Due to the fact that bait orders are not generated if the base is fully committed as the base to another combination, there are special situations where a combination may not be executed even though a possibility exists. If the bases in the combination are already fully committed to other combinations, incoming orders will not be executed (even though it seems to be possible) towards the combination since the combination needs a generated bait to trigger re-calculation due to changed BBO. If the combination order is changed (leading to a new order entry) the combination will be triggered with a re-calculation and if still possible it will be executed. Any new order sent in to the combination will lead to a re-calculation and if still possible it will be executed. However if the new combination order has a better price than the blocked combination order, that order will be executed first. 63(72)
16 Appendix G - Market Transparency 16.1 OMnet Type of Data No-matching Auto-match Call Auction - Market-by-Order Not disseminated in real time. Anonymous full Order Depth of stored orders with their shown quantity retrieved if queried. - Market-by-Level Five best price levels with aggregated shown quantity. Not disseminated in real time. Anonymous full Order Depth of stored orders with their shown quantity retrieved if queried. Five best price levels with aggregated shown quantity. No. Five best price levels with aggregated shown and hidden quantity. All orders priced at or better than the EP are included in the first price level. - Equilibrium Data N/A N/A EP and aggregated shown and hidden equilibrium quantity. Bid or ask price of surplus that will remain in the order book after the Uncross. Surplus quantity that will remain in the order book after the Uncross. Public Deal Information (Trade Ticker) Trade Reports disseminated on a trade-bytrade basis. Trade Reports and electronically matched trades disseminated on a trade-by-trade basis. Trade Reports disseminated on a trade-bytrade basis, uncross trades at session transition. 64(72)
16.2 ITCH Type of Data No-matching Auto-match Call Auction - Market-by-Order Anonymous full Order Depth of stored orders with their shown quantity disseminated in real time. Anonymous full Order Depth of stored orders with their shown quantity disseminated in real time. - Market-by-Level No No No No order depth disseminated during Call Interaction. Anonymous full Order Depth of stored order with their shown quantity disseminated once uncrossed. - Equilibrium Data N/A N/A EP and aggregated shown and hidden equilibrium quantity on bid and ask side. Public Deal Information (Trade Ticker) No Electronically matched trades disseminated on a trade-by-trade basis. Uncross trades at session transition. 65(72)
16.3 TIP Type of Data No-matching Auto-match Call Auction - Market-by-Order Not disseminated in real time. Anonymous full Order Depth of stored orders with their shown quantity retrieved if queried. - Market-by-Level Five best price levels with aggregated shown quantity. Not disseminated in real time. Anonymous full Order Depth of stored orders with their shown quantity retrieved if queried. Five best price levels with aggregated shown quantity. No. Five best price levels with aggregated shown and hidden quantity. All orders priced at or better than the EP are included in the first price level. - Equilibrium Data N/A N/A EP and aggregated shown and hidden equilibrium quantity. Bid or ask price of surplus that will remain in the order book after the Uncross. Surplus quantity that will remain in the order book after the Uncross. Public Deal Information (Trade Ticker) Trade Reports disseminated on a trade-bytrade basis. Trade Reports and electronically matched trades disseminated on a trade-by-trade basis. Trade Reports disseminated on a trade-bytrade basis, uncross trades at session transition. 66(72)
17 Appendix H Deferred Publication 17.1 Trade 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 [XX]; 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. 17.2 Classification of underlying s Swedish Equities: SE-ax, OMXS30, OMXSB and ETF options Class in terms of average daily turnover (ADT) in equities in number of shares Group 1 Group 2 Group 3 Group 4 Group 5 ADT < 1.500.000 1.500.000 < ADT < 2.500.000 2.500.000 < ADT < 5.000.000 5.000.000 < ADT < 10.000.000 ADT > 10.000.000 ALIV AZN ENRO GETIB HEXB HOLMB ICA KINB MEDA MIC MTGB OMXSB ORI PAR STER SWMA TIEN ABB ALFA ASSAB HUSQB INVEB LUPE NOKI SCVB SECUB SHBA SKAB SSABA TEL2B ATCOA BOLI ELUXB HMB LUMI SCAB SKFB SAND SEBA SWEDA ERICB NDA OMXS30 TLSN VOLVB 67(72)
TRELB Danish Equities: DK-ax and OMXC20CAP Class in terms of average daily turnover (ADT) in equities in number of shares Group 1 Group 2 Group 3 Group 4 Group 5 ADT < 1.500.000 1.500.000 < ADT < 2.500.000 2.500.000 < ADT < 5.000.000 5.000.000 < ADT < 10.000.000 ADT > 10.000.000 CARLB DANSKE DNORD DSV FLS GN LUN MAERSK NOVOB NZYM PNDORA TORM TRYG TDC VWS OMXC20CAP Norwegian Equities: NNO-ax and OMXO20 Class in terms of average daily turnover (ADT) in equities in number of shares Group 1 Group 2 Group 3 Group 4 Group 5 ADT < 1.500.000 1.500.000 < ADT < 2.500.000 2.500.000 < ADT < 5.000.000 5.000.000 < ADT < 10.000.000 ADT > 10.000.000 GJFN NSGN RCLN YARN ORKLA PGSN SDRLN SUBCN DNBN NHYN TELN OMXO20 RECN STBN STLN MHGN 68(72)
Finnish Equities: FI-ax Class in terms of average daily turnover (ADT) in equities in number of shares Group 1 Group 2 Group 3 Group 4 Group 5 ADT < 1.500.000 1.500.000 < ADT < 2.500.000 2.500.000 < ADT < 5.000.000 5.000.000 < ADT < 10.000.000 ADT > 10.000.000 AHL1V3 AMEAS3 BAS1V CGCBV3 CPMBV3 CRA1V3 CTY1S3 DOV1V3 EFO1V3 ELI1V3 FIS1V3 FSC1V3 HKSAV3 HUH1V3 KCR1V3 KESBV3 KNEBV3 KRA1V3 LEM1S3 MEO1V3 METSB3 NDA1V3 NES1V3 NRE1V3 OKDBV3 OTE1V3 PKC1V3 POH1S3 POY1V3 RAIVV3 REG1V3 RMR1V3 RTRKS3 RUG1V3 SAA1V3 SAMAS3 SCI1V3 FUM1V3 STERV3 UPM1V3 OUT1V3 NOKIV3 69(72)
SDA1V3 SFT1V3 STCBV3 TEM1V3 TIE1V3 TII1V3 TIK1V3 TLS1V3 TLT1V3 TLV1V3 TRH1V3 TTM1V3 UNR1V3 WRT1V3 YTY1V3 17.3 Minimum qualifying number of contracts Permitted delay for publication Minimum qualifying number of contracts in a transaction for permitted delay Group 1 Group 2 Group 3 Group 4 Group 5 Until end of trading day 1.000 2.000 3.000 4.000 5.000 70(72)
18 Appendix I Order management, Trade reporting and events during sessions 18.1 Index derivatives Genium INET session state Type EMP Pre-Open EMP Call Interaction EMP Continuous Trading EMP Call Interaction EMP End of Trading EMP Statistics EMP Day Orders are 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 Order management Futures Order management Options Order management Combos No matching Auction Auto-match Auction No matching No matching No matching Auto-match No matching No matching Delete (long) Delete Full Full Full None None None Full Orders None Delete Delete (long) (long) Delete Delete Full None None None None Orders Orders None Trade Reporting (trade report types) Electronically Trade Reporting (trade report types) Phone EGLT EGLT At Transition None None Full None None None None None None None ST, STOS, BT, EGT, OHT OHT OHT None OHT OHT ST, STOS, BT, EGT, BTX, OHT, BTXO, OHT, BTXO, OHT, BTXO, OHT, BTXO, OHT, BTXO, EGLT EGLT EGLT EGLT None EGLT EGLT Uncross CLIN Uncross CLIN Release of Deferred Trades End of trade Statistics Automatic delete of Day Orders Settlement Prices (~17:40) OHT, BTXO, EGLT (until 19:00 CET) Final Turnover & Open Interest (~19:25) 71(72)
18.2 Single Stock derivatives Genium INET session state Type Order management Futures & Options Order management Combos Trade Reporting (trade report types) Electronically Trade Reporting (trade report types) Phone At Transition EMP Pre-Open EMP Continuous Trading EMP End of Trading EMP Statistics EMP Terminating business day EMP Electronic Market Place Closed PREOP OPEN EOTRD STATS TRMBD EMPC No matching Auto-match No matching No matching No matching No matching Delete (long) Delete Full None None Orders None None Full None None None None EGLT ST, STOS, BT, EGT OHT OHT OHT ST, STOS, BT, EGT, BTX, OHT, BTXO, OHT, BTXO, OHT, BTXO, EGLT EGLT EGLT EGLT Release of Deferred Trades End of trade Statistics Settlement Prices (~17:40) OHT, BTXO, EGLT (Until 19:00 CET) Final Turnover & Open Interest (~19:25) 72(72)