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Short selling strategies risks and rewards phần 2

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Fabozzi Tùy chọn thực và lựa chọn Embedded chứng khoán bởi William T. Moore vốn ngân sách: Lý thuyết và thực hành bằng Pamela P. Peterson và Frank J. Fabozzi Các quỹ giao dịch bằng tay bởi Gary L. Gastineau Quan điểm chuyên nghiệp trên cố định Quản lý danh mục đầu tư thu nhập, Volume 3 thay đổi nội dung bởi Frank J. | 26 THE MECHANICS OF SHORT SELLING EXHIBIT 3.3 Continued Last Trading Day Settlement Day and Time Settlement Price Calculation The third Friday of the delivery month. 10 00 A.M. EST on the next business day following the last trading day. The Settlement System will calculate the Daily Settlement Price based on reported prices in the two minute period prior to the time specified for contract settlement. The first ninety seconds of the settlement period will be used to monitor spread levels. The Settlement Price will be determined during the final 30 seconds of the settlement period according to the following criteria a. A single traded price during the last thirty seconds will be the Settlement Price. b. If more than one trade occurs during the last thirty seconds of the Settlement Range the trade weighted average of the prices rounded to the nearest tick will be the Settlement Price. c. If no trade occurs during the last 30 seconds of the Settlement Range the price midway between the active bids and offers at the time the settlement price is calculated rounded to the nearest tick will be the Settlement Price. d. In the circumstances where there is no traded price nor updated bid ask spread during the last 30 seconds of trading the settlement price of that contract month shall be the settlement price of the 1st quarterly delivery month plus or minus the latest observed calendar spread differential between the first quarterly delivery month and the contract month in question. In the event that the relevant spread price differential is not readily observable in order to identify appropriate settlement prices Exchange Market Services may take into account the following criteria as applicable 1 spread price differentials between other contract months of the same contract and 2 price levels and or spread price differentials in a related market. EDSP Calculation Exchange Delivery Settlement Price Delivery Size The official closing price of the underlying stock on the .