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  • No : 5028
  • Updated Date : 2018/07/02 07:41
  • Modified on : 2019/06/24 14:19
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[J-GATE]Is First Trading Date set for combination series (calendar spread) same as actual first trading day?

Is the First Trading Date, which is set as series information for combination series (calendar series), set as same as the actual First Trading Date ?
Category : 

Answer

The date set for First Trading Date for combination series does not necessarily match with the actual first trading date.
 
 
(Premise)
 ・As for First Trading Date in Combination Series,
   It is set the date of a last combination series between the first trading date of each leg series.
・First Trading Date, which is the closest to the generation date of combination series
  among First Trading Dates of each leg series, is set to First Trading Date for combination series.
 ・According to the generation rule (combination of calendar spreads) for combination series related to each product,
   the combination series is generated through with the night batch process when the contract  (expiration) month
   for the leg series gets updated.
・The combination series is generated at the night batch process as per the generation rule (a combination of calendar spread) for combination series per each products.
 
 
1. Matching case
For example, in the calendar spread series for TOPIX index future "Contract Month September 2018 and September 2019",
June 8, 2018 is set as the First Trading Date and it matches with actual First Trading Date.
 
(Description)
 On June 8, 2018, by reaching SQ date, June 2018 series is replaced by Sep 2018
 which becomes near-contract month and Sep 2019 starts being traded as the far-contract month.
 (= First trading date for September 2019 series is June 8, 2018)

SCO series for calendar spread trading are generated making 4 series including Sep 2018 as the first contract month.
Jun 08,2018 being the First Trading Date for Sep 2019 which is the most recent trading start date is set to the First Trading Date for the calendar spread series "September 2018 - September 2019" containing September 2019 as the fifth contract month. This matches the actual First Trading Date.
In addition to the above, there are matching cases for SCO series for JGB futures and overseas indices futures.
 
 
2. Not matching cases
For example, in the case of calendar spread series for TOPIX index future "September 2018 and September 2019",
Mar.98,2018 is set for the First Trading Date while Jun.09,2017 is the actual First Trading Date.
 
(Description)
On June 8, 2018, by reaching SQ date, June 2018 series is replaced by Sep 2018 which becomes near-contract month.
The June 2019 series has already been trading as the far-contract month, as explained the above.
(= First trading date for September 2019 series is March 9, 2018)
 
The calendar spread series "September 2018 and June 2019" including June 2019 as the fifth contract month is generated
and Mar.09,2018, being First Trading Date for June 2019 series which is the most recent one, is set as the First Trading Date.
 
 
3. How to confirm the actual First Trading Date in J-GATE ?
Since there are cases where First Trading Date does not match as explained in the above #2,
please keep track on the First Trading Date when the combination series is generated at the time of replacement of the contract month.
 
As explained in the premise, since SCO series are automatically generated at the night batch process when contract month is replaced,
please retrieve the information for new combination series by DQ126 after online on the first trading date of the series.

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