How do you Calculate the Cash Settlement for Futures Contracts?

Certain futures cannot, or only with great difficulty, be delivered physically.

The actual delivery of shares, in line with their percentage weighting in the index, is harly possible in practice. Such delivery is clearly unattractive for market participants, and it is also not common international practice.

As individual shares of an index cannot, or only at high cost, be delivered in line with the exact percentage weighting in the index (and similarly, the reference interest rate of money market futures contracts generally cannot be delivered, and 'delivering' a cash deposit would entail excessive credit risk), the exchange stipulates a multiplier for each index point, or calculates the value of price changes on the basis of the future's contract size.

 

Current price 9,000 points
Value of an index point EUR 25
Minimum price movement: 0.5 points (= EUR 12.50)
→ Contract size 9,000 points x EUR 25/points = EUR 225,000

 

Scenario:
Buyer purchases futures contract at 9,000 points, seller sells futures contract at 9,000 points.

Development 1 btn  Development 2 btn

Go to top