Stock Index Futures and Options
I. Formula for Calculating Final Settlement Prices of Domestic Stock Index Contracts
1. Legal Basis
Article 13 of the TAIFEX Trading Rules for Taiwan Stock Exchange Stock Index (TAIEX) Futures, Taiwan Stock Exchange Electronic Sector Index Futures, Taiwan Stock Exchange Banking and Insurance Sector Index Futures, Mini-TAIEX Futures, FTSE/TWSE Taiwan 50 Index Futures, Taipei Exchange Stock Index Futures, Taiwan Stock Exchange Non-Finance Non-Electronics Sub-Index Futures, TPEx 200 Index Futures, FTSE4Good TIP Taiwan ESG Index Futures and TIP Taiwan Market Biotechnology and Medical Care Index Futures Contracts; Article 16 of the TAIFEX Trading Rules for Taiwan Stock Exchange Capitalization Weighted Stock Index Options, Taiwan Stock Exchange Electronics Sector Index Options and Taiwan Stock Exchange Finance Sector Index Options Contracts
2. Formula for Calculating Final Settlement Prices
The final settlement price of each of the above mentioned contracts shall be determined based on the simple arithmetic mean index of the underlying index during the last 30 minutes of trading before market close of the Taiwan Stock Exchange or Taipei Exchange on the final settlement day, consisting of each disclosed underlying index during the trading period from 1:00 p.m. to 1:25 p.m. and the last index.
The aforesaid arithmetic mean index shall be rounded to the nearest minimum price fluctuation as specified by each contract or, where the final settlement price is an exact uneven multiple of one half of the minimum price fluctuation, to the nearest higher minimum price fluctuation. If the Taiwan Stock Exchange or Taipei Exchange postpones market close or matching, TAIFEX may extend the aforementioned 30-minute sampling time.
In case a suspension of trading is announced by Taiwan Stock Exchange or Taipei Exchange according to respective rules(Measures for Handling Malfunctions and Telecommunications Disruptions in Trading Systems or Trading Information Transmission Systems) and it is unable to resume normal operation prior to the last 30 minutes of daily trading session, the final settlement price is calculated on the basis of each disclosed underlying index during the last 30 minutes prior to the last disclosed underlying index; if the duration of normal trading session is less than 30 minutes, the final settlement price is calculated on the basis of disclosed underlying index during the total normal trading session. The sampled underlying index shall not outnumber the samples in the preceding paragraph.
II. Formula for Calculating Final Settlement Prices of Foreign Stock Index Contracts
1. Legal Basis
Article 13 of the TAIFEX Trading Rules for Tokyo Stock Price Index Futures Contracts, Dow Jones Industrial Average Index Futures contracts, S&P 500 Index Futures Contracts, Nasdaq-100 Index futures Contracts, FTSE® 100 Index Futures Contracts.
2. Formula for Calculating Final Settlement Prices
(1) TAIFEX Tokyo Stock Price Index Futures Contracts：
The final settlement price of the Contracts is set at the Special Quotation for the Index as announced and calculated by the TSE on the next TSE business day following the last trading day.
(2) TAIFEX Dow Jones Industry Average Index futures and TAIFEX S&P 500 Index Futures Contracts：
The final settlement price of TAIFEX Dow Jones Industry Average futures shall be determined based on the Special Opening Quotation of Dow Jones Industry Average index calculated by SPDJI on the last trading day of Dow Jones Industry Average futures.
The final settlement price of TAIFEX S&P 500 Index futures shall be determined based on the Special Opening Quotation of S&P 500 Index calculated by SPDJI on the last trading day of S&P 500 Index futures
(3) TAIFEX Nasdaq-100 Index futures Contracts：
The final settlement price of Nasdaq-100 Index futures shall be determined based on the Special Opening Quotation of the Nasdaq-100 Index® calculated by Nasdaq on the last trading day of Nasdaq-100 Index futures.
(4) TAIFEX FTSE® 100 Index Futures Contracts：
The final settlement price of FTSE® 100 Index Futures shall be determined based on the Expiry Value for the FTSE® 100 Index as calculated by FTSE on the last trading day.
III. Formula for Calculating Contract Values of Stock Index Futures Expired Positions
The contract value of each NTD-denominated stock index futures expired position shall be determined by multiplying the Final Settlement Price of the Contract by the value of each index point, with amounts of less than NT$1.00 unconditionally rounded down.
Nasdaq®, Nasdaq-100® and Nasdaq-100 Index® are trademarks of Nasdaq, Inc. (which with its affiliates are the Corporations) and are licensed for use by Taiwan Futures Exchange Corporation. TAIFEX Nasdaq-100 Futures have not been passed on by the Corporations as to their legality or suitability. TAIFEX Nasdaq-100 Futures are not issued, endorsed, sold, or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO TAIFEX NASDAQ-100 FUTURES.
All rights in the FTSE4Good TIP Taiwan ESG Index are vested in FTSE and TIP. Neither FTSE nor TIP assumes any liability for any errors or omissions, etc. from the use of the Index or related data. For full disclaimer, please visit: https://www.taifex.com.tw/enl/eng2/e4F
All rights in the FTSE 100 Index vest in FTSE or its licensors. FTSE and its affiliates and licensors do not: (i) sponsor, endorse or promote any financial or derivative product; or (ii) accept any liability whatsoever to any person arising out of the use of any financial or derivative product, the FTSE 100 Index or related data. For full disclaimer, please visit: https://www.taifex.com.tw/enl/eng2/f1F
