Sector Index Futures

Introduction to Sector Index Futures


Sector Index Futures is a futures contract with sector index as an underlying. Initially there will be a total of 5 underlying sectors available for trading: Energy and Utilities (ENERG), Food and Beverage (FOOD), Banking (BANK), Commerce (COMM) and Information and Communication Technology (ICT). Similar to the SET50 Index Futures, Sector Index Futures expand the set of tools available to help you manage sector rotation in a portfolio more efficiently. With these contracts, you can seek profits based on how you expect certain market sectors to perform or hedge your sector-related risk. These contracts give investor the ability to individually target and trade major sectors comprising the SET Index.

Characteristics and Specifications
TFEX has defined the characteristics and specifications for Sector Index Futures, as follow:

Items

Description

Underlying

Sector Index computed and disseminated by the Stock Exchange of Thailand. Currently, there are 5 Sector Futures as following:

 

Banking 

Information & Communication Technology

Energy & Utilities

Commerce

Food and Beverage

Ticker Symbol

BANK

ICT

ENERG

COMM

FOOD

Multiplier

THB 1,000 per index point

THB 1,000 per 
index point

THB 10 per 
index point

THB 10 per 
index point

THB 10 per 
index point

Settlement Month

 March, June, September, December up to 4 quarters

Price Quotation

 Sector index price

Minimum Tick Size
(Tick Value)

0.10 index point (or THB 100 per contract)

 0.10 index point
(or THB 100 per contract)

1 index point (or THB 10 per contract)

1 index point (or THB 10 per contract)

1 index point (or THB 10 per contract)

Daily Price Limit

 ± 30% of the latest settlement price

Trading Hour

 

Pre-open : 09:15 - 09:45 hrs.
Morning session : 09:45 - 12:30 hrs.
Pre-open : 14:00 - 14:30 hrs.
Afternoon session : 14:30 - 16:55 hrs.

Speculative Position Limit

 Net 20,000 contracts in any sector futures contract on one side of the market in any contract month or all contract months combined.

Last Trading Day

 The business day immediately preceding the last business day of the contract month. Time at which trading ceases on Last Trading Day is 16:30 hrs.

Final Settlement Price

 The final settlement price shall be the numerical value of the Sector Indices, rounded down to the nearest two decimal points as determined by the exchange, and shall be the average value of the Sector Indices taken during last 15 minutes and the closing index value, after deleting the three highest and three lowest values.

Settlement Method

Cash Settlement

Margin Requirement

Investors are require to deposit Initial Margin with their respective broker before trading futures contract. Brokers will then calculate the profit and loss and add or subtract funds at the end of day via a processed call Mark-to-Market.

- If losses occur and causes the margin account to drop below the maintenance Margin level,
- Investors are require to deposit additional funds to meet the Initial Margin requirement.
- If there are profits above the Initial Margin, Investors can withdraw their funds from their account.

According to the rules and regulations, the initial margin for local investors should be at least 1.35 times the maintenance margin set by Thailand Clearing House Co., Ltd. (TCH). However, as a mutual agreement between brokers and the Futures Industry Club (FI Club), the initial margin is set at 1.9 times the maintenance margin and 1.35 times the maintenance margin for local investor and institutional investor, respectively.

Margin Requirement: Click here

 

Commission Fee
The commission is VAT exclusive, for offline and Internet trading as follows:

1. BANK Index Futures

No. of Contract

Commission Fee
(Baht per Contract)

 Offline

Internet trading

1 - 10

190

172

11- 40

150

136

41 - 200

110

100

More than 200

90

82

*Until 30/04/2013

2.ICT Index Futures

No. of Contract

Commission Fee
(Baht per Contract)

 Offline

Internet trading

1 - 50

47.5

43

51 - 200

37.5

34

201 - 1,000

27.5

25

More than 1,000

22.5

20.5

*Until 30/04/2013


3.ENERG Index Futures

No. of Contract

Commission Fee
(Baht per Contract)

 Offline

Internet trading

1 - 25

95

86

26 - 100

75

68

101 - 500

55

50

More than 500

45

41

*Until 30/04/2013

4.COMM Index Futures

No. of Contract

Commission Fee
(Baht per Contract)

 Offline

Internet trading

1 - 25

95

86

26 - 100

75

68

101 - 500

55

50

More than 500

45

41

*Until 30/04/2013

5. FOOD Index Futures

No. of Contract

Commission Fee
(Baht per Contract)

 Offline

Internet trading

1 - 50

47.5

43

51 - 200

37.5

34

201 - 1,000

27.5

25

More than 1,000

22.5

20.5

*Until 30/04/2013