TOPIX futures offer global investors an additional product to capture benchmark Japanese equity exposure. TOPIX futures enhance CME’s suite of broad-based equity index futures and offer market participants additional opportunities for spread trading and fine-tuning their exposure.
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The Tokyo Stock Price Index (TOPIX) is a free-float adjusted market capitalization-weighted index that is calculated based on all domestic common stocks listed on the Tokyo Stock Exchange (TSE) First Section. TOPIX reflects the measure of current market capitalization and is used as a benchmark for investment in Japanese stocks.
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- Access to the broader Japanese stock market in a single trade
- Around-the-clock electronic trading
- Execution flexibility with Basis Trade at Index Close (BTIC) capability on CME Globex
- Counterparty risk mitigation through CME Clearing
- Capital efficiency through margin offsets against other equity index futures
Basis Trade at Index Close (BTIC) enables market participants to execute a basis trade relative to the official close for the underlying index for more efficient cash management.
- BTIC transactions provide the bridge between the cash index close and the futures market.
- At any point during the trading session, a buyer and seller agree to a “basis,” which represents the spread between the futures and the cash index.
- Once the closing cash index level is determined, the futures trade occurs at the closing index level plus the agreed upon basis.
- BTIC allows investors to trade futures prices that are directly derived from the official cash index close without slippage risk.
- Benchmark trading against the close
- Index rebalancing and reinvestment (adds/deletes)
- Option expiration delta trading
- Balance sheet management
- Hedging of OTC swaps and options
- Cash equitization
| TOPIX futures (TPY) vs | Ratio (TOPIX:Other) | Margin Credit |
| Nikkei 225 USD futures | 1:1 | 70% |
| Nikkei 225 Yen futures | 1:1 | 70% |
| E-mini Dow ($5) futures | 3:2 | 65% |
| E-mini S&P 500 futures | 3:2 | 65% |
| E-mini NASDAQ-100 futures | 3:2 | 55% |
| E-mini Russell 2000 futures | 1:1 | 45% |
| E-mini S&P MidCap 400 futures | 2:1 | 60% |
Margin offsets are indicative as of January 12, 2018 and subject to change.
Contract Size
¥ 5,000 x TOPIX (Tokyo Stock Price Index)
Underlying Index
TPX Index
Minimum Price Fluctuation (Tick Size)
0.50 index points (JPY 2,500) for outrights and calendar spreads
0.10 index points (JPY 500) for BTIC
CME Globex Trading Hours
Outrights: Sunday – Friday 5:00 p.m. – 4:00 p.m. Chicago Time/CT.
BTIC: Sunday – Friday 5:00 p.m. – 12:00 a.m. / 1:00 a.m. CT (3:00 p.m. Tokyo Time)
Contract Months
Five quarterly months in the March Quarterly Cycle (Mar, Jun, Sep, Dec)
Trading Code
Outright: TPY
BTIC: TPB
Platform
CME Direct, CQG, Fidessa, FIS/SunGard, ION, TT
Trading Code
Outright: TPYA Index
BTIC: TPTA Index
Platform
Bloomberg (Front Month)
Trading Code
Outright: TPYc1
BTIC: TPBc1
Platform
Thomson Reuters (Front Month)
Trading Code
Outright: @TPY
BTIC: @TPB
Platform
DTN (ProphetX)
TOPIX® is a trademark of Tokyo Stock Exchange, Inc. Chicago Mercantile Exchange Inc. has been licensed by Tokyo Stock Exchange, Inc. to use TOPIX®. Tokyo Stock Exchange, Inc. shall not be responsible for any damage resulting from the sale of the Licensed Product.
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