Building a transparent and liquid Index Options market on-screen
The JSE Index Options Market-Making Scheme aims to enhance transparency and drive liquidity with real-time on-screen quotes. Investors can trade index option contracts while accurately hedging their exposure.
The JSE Index Options Market-Making Scheme in the Equity Derivatives Market provides real-time on-screen pricing for the ALSI Top 40 Index options contract. This enables better pricing, improvements in spreads and depth of the order book, which leads to consistent valuation of trading books.
Traders can voluntarily post competitive bids and offers on-screen for various option strikes and expiries, with no obligations imposed on participants.
The JSE has adopted a maker-taker fee model which automatically charges a zero fee on the liquidity providers’ side of the trade on index options. We also offer a market-making incentive scheme linked to formalised obligations applicable to market-makers. This expanded the universe of eligible contracts available under the scheme.
- Visible Index Option prices on-screen
- Tighter Bid/Offer spreads
- Enhanced liquidity
How does it work?
The first six months of phase 1 of the project rollout will enable you to voluntarily post competitive bids and offers on-screen for various option strikes and expiries, with no obligations imposed on participants.
The JSE has adopted a Maker-Taker fee model which automatically charges a Zero Fee to the liquidity providers’ side of the trade on Index Options.
In phase 2 we will introduce a Market-Making incentive scheme linked to formalised obligations applicable to market-makers, and expand the universe of eligible contracts under the scheme.
|Phase 1: Best Efforts Basis||Phase 2: Market Making Scheme|
|Instrument Scope||ALSI Index options||ALSI Index options|
|Participants||Open to all market participants||Open to designated Market Makers|
|Minimum Presence||No Minimum presence obligations||50% with two-way quotes (excluding auctions)|
|Minimum Quality||100 Index Contracts||100 Index contracts, Bid and Offer size should be of comparable size|
|Minimum Spread||Competitive bid-offer spreads but this is not a formal requirement||2 Volatility points|
|Exceptional Market Conditions||No quoting obligations/Suspension of performance Monitoring||No quoting obligations/Suspension of performance Monitoring|
|Monitoring and reporting||No monitoring process||The compliance with the obligations will be continuously monitored by the JSE. The Market Makers will be informed of their monthly compliances with the above requirements|