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Additional Recognised Strategies Templates for TMC

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Additional Recognised Strategies Templates for TMC 13 April 2018 Exchange Notice Derivatives – Product Information 48/18 Additional Recognised Strategies Templates for TMC This notice is to inform members that as of 16 April 2018, Nasdaq Derivatives Markets is introducing additional templates to the scope of recognised strategies for the purpose of Tailor-Made Combinations (TMC). The updated list of recognised strategies can be found on pages 2-3 of this notice. Appendix G of the Genium INET Market Model document will be updated accordingly on 23 April 2018. For further information concerning this exchange notice please contact product managers Mikael Siewertz or Joakim Fernlund, telephone +46 8 405 60 00. Nasdaq Derivatives Markets Nasdaq Derivatives Markets Mikael Siewertz Joakim Fernlund Equity Derivatives Products Equity Derivatives Products NASDAQ DERIVATIVES MARKETS • Secondary name to NASDAQ Stockholm AB • SE-105 78 Stockholm • SWEDEN • Tel. + 46 8 405 60 00 Fax +46 8 405 60 01 • Copenhagen Office: P.O. Box 1040 • DK-1007 Copenhagen K • DENMARK • Tel. +45 33 93 33 66 • Fax +45 33 12 86 13 Helsinki Office: P.O. Box 361 • FI- 00131 Helsinki • FINLAND • Tel. +358 9 6166 71 • Fax +358 9 6166 7368 • Reg. No. 556383-9058 Recognised Strategies (TMC) The tables below list the recognised strategies that may be created and traded using the TMC functionality. For any type of strategy, all leg series most have the same underlying index or stock as well as the same contract size. With respect to weekly index options all relevant spreads and combinations in the table below are supported. As for weekly single stock options, vertical spreads as well as horizontal spreads between consecutive weeks and between weeks and months are enabled. Strategy Legs Description (buy perspective) Same exp all legs Vertical, Horizontal and Diagonal Call Spreads 2 Buy 1 Call, any strike No Sell 1 Call, any strike Vertical, Horizontal and Diagonal Put Spreads 2 Buy 1 Put, any strike No Sell 1 Put, any strike Horizontal Futures Spread* 2 Buy 1 Fut, far month No Sell 1 Fut, near month Horizontal Forwards Spread* 2 Buy 1 Fwd, far month No Sell 1 Fwd, near month Straddle, Strangle and Guts 2 Buy 1 Call, any strike No Buy 1 Put, any strike Risk Reversal and Synthetic 2 Buy 1 Call, any strike No Sell 1 Put, same or lower strike 1:2 Ratio Call Spread 2 Buy 1 Call, any strike No Sell 2 Calls, higher strike 1: 2 Ratio Put Spread 2 Buy 1 Put, any strike No Sell 2 Puts, lower strike Call Butterfly 3 Buy 1 Call, any strike Yes Sell 2 Calls, higher strike Buy 1 Call, even higher strike Put Butterfly 3 Buy 1 Put, any strike Yes Sell 2 Puts, lower strike Buy 1 Put, even lower strike Call Ladder 3 Buy 1 Call, any strike Yes Sell 1 Call, higher strike Sell 1 Call, even higher strike Put Ladder 3 Buy 1 Put, any strike Yes Sell 1 Put, lower strike Sell 1 Put, even lower strike Near Call vs. Far Call Spread 3 Buy 1 Call, any strike, far month No Sell 1 Call, higher strike than leg 1, far month Sell 1 Call, any strike, near month Far Call vs. Near Call Spread 3 Buy 1 Call, any strike, far month No Sell 1 Call, any strike, near month Buy 1 Call, higher strike than leg 1, near month NASDAQ DERIVATIVES MARKETS • Secondary name to NASDAQ Stockholm AB • SE-105 78 Stockholm • SWEDEN • Tel. + 46 8 405 60 00 Fax +46 8 405 60 01 • Copenhagen Office: P.O. Box 1040 • DK-1007 Copenhagen K • DENMARK • Tel. +45 33 93 33 66 • Fax +45 33 12 86 13 Helsinki Office: P.O. Box 361 • FI- 00131 Helsinki • FINLAND • Tel. +358 9 6166 71 • Fax +358 9 6166 7368 • Reg. No. 556383-9058 Strategy Legs Description (buy perspective) Same exp all legs Near Put vs. Far Put Spread 3 Buy 1 Put, any strike, far month No Sell 1 Put, lower strike than leg 1, far month Sell 1 Put, any strike, near month Far Put vs. Near Put Spread 3 Buy 1 Put, any strike, far month No Sell 1 Put, any strike, near month Buy 1 Put, lower strike than leg 1, near month Iron Butterfly 4 Buy 1 Call, any strike Yes Sell 1 Call, higher strike Buy 1 Put, same strike as leg 1 Sell 1 Put, lower strike Call Condor 4 Buy 1 Call, any strike Yes Sell 1 Call, higher strike Sell 1 Call, even higher strike Buy 1 Call, yet even higher strike Put Condor 4 Buy 1 Put, any strike Yes Sell 1 Put, lower strike Sell 1 Put, even lower strike Buy 1 Put, yet even lower strike Condor 4 Buy 1 Call, any strike Yes Sell 1 Call, higher strike Buy 1 Put, lower strike than leg 1 Sell 1 Put, even lower strike Box 4 Buy 1 Call, low strike Yes Sell 1 Call, high strike Buy 1 Put, same high strike Sell 1 Put, same low strike Jelly Roll 4 Buy 1 Call, same strike, far month No Sell 1 Call, same strike, near month Sell 1 Put, same strike, same far month Buy 1 Put, same strike, same near month Call vs. Straddle, Strangle or Guts 3 Buy 1 Call, any strike No Sell 1 Call, any strike Sell 1 Put, any strike Put vs. Straddle, Strangle or Guts 3 Buy 1 Call, any strike No Buy 1 Put, any strike Sell 1 Put, any strike *Only available for single stock forwards/futures, horizontal index futures spreads are available as standardised time spread combinations. NASDAQ DERIVATIVES MARKETS • Secondary name to NASDAQ Stockholm AB • SE-105 78 Stockholm • SWEDEN • Tel. + 46 8 405 60 00 Fax +46 8 405 60 01 • Copenhagen Office: P.O. Box 1040 • DK-1007 Copenhagen K • DENMARK • Tel. +45 33 93 33 66 • Fax +45 33 12 86 13 Helsinki Office: P.O. Box 361 • FI- 00131 Helsinki • FINLAND • Tel. +358 9 6166 71 • Fax +358 9 6166 7368 • Reg. No. 556383-9058 .
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