Nikkei-TOCOM Commodity Index Futures (Suspended)
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Contract Month Transaction
Date of Listing
May 2, 2011
TOCOM NEXT: Nikkei-TOCOM Commodity Index Market (Trial listing)
Type of Trading
Index Futures Transaction (Cash-settled against the Index)
(Contract Month Transaction, which has expiry date)
Nikkei-TOCOM Commodity Index
Computerized Individual Auction
Two nearby contract months (either March, June, September or December) within a 6 month period, each contract being available to trade for 6 months (*1).
Last Trading Day
Day session on the business day preceding the last business day of the current contract month.
First Trading Day of a New Contract Month
Day Session on a business day following the Last Trading Day of the current contract month.
Final Settlement Day
The last business day of the current contract month. (All remaining positions are cash-settled against Final Settlement Index Point)
Final Settlement Index Point (Index point used for final settlement)
Index point calculated based on opening prices of the underlying commodity futures contracts for the Day Session in accordance with the Nikkei-TOCOM Commodity Index Detailed Rules. If there are no transaction and thus no opening price either for an underlying commodity futures contract in the Day Session on the Final Settlement Day, TOCOM shall specify a price to be used to calculate the Final Settlement Index Point.
(Final Settlement Index Point is calculated to the first decimal place by rounding the second decimal place.)
Daily Settlement Index Point (*2)
Volume weighted average price (VWAP) calculated from the Execution Index Prices and traded volume for a certain time period before the end of Day Session.
Day Session: 9:00 a.m. to 3:30 p.m. (JST)
Night Session: 5:00 p.m. to 4:00 a.m. (JST)
JPY10,000 × Execution Index Price
(1.0 point = JPY10,000)
Circuit Breaker Trigger Level
The CB trigger level is to be set everyday at the start of a clearing period (i.e. the start of a Night Session at 5:00 p.m.) and is based on the Settlement Index Point of the previous clearing period (or the Settlement Index Point of the preceding contract month, in case of a new contract month)
As SPAN Margining System started from January 4, 2011, Japan Commodity Clearing House (JCCH) will set its parameters based on historical price fluctuation.
Please see the website of Japan Commodity Clearing House (JCCH) for more details.
Customer Position Limit (for each long/short position)
*1. Except March 2012 contract whose trading period lasts more than 6 months (June 2012 contract will be generated from December 30, 2011, from which regular cycle is applied).
*2. Index point (of the underlying Index) is updated approximately every 5 minutes on TOCOM website.