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Derivatives


Introduction:

The launch of the Derivatives Market is one of the Financial Sector Development Program (FSDP) key initiatives under the Kingdom’s Vision 2030. This market enhances Saudi Exchange’s products offering and complements recent developments to the financial market infrastructure. Below you will find more information about the market characteristics. Additionally, we have provided some useful links that will direct you to more educational content.

General Information 

Derivatives Market Brochure

Index Future Brochure

What is MT30?

Single Stock Futures Brochure

What is the Derivatives Market?

How to Trade Index Futures?

How to Trade Single Stock Futures (SSFs)?

Derivatives Trading Guide

 

Exchange Traded Instruments:

Opening Days Opening Auction Continuous Trading Closing Auction Settlement Cycle Minimum Lot Transaction costs* Security Format
Index Futures
Sunday - Thursday 09:00–09:30 09:30– 15:30 LTP T+0 One contract SAR 25 Electronic Form
Single Stock Futures
Sunday - Thursday 09:00–09:30 09:30– 15:30 LTP T+0 One contract 2.5 Bps Electronic Form


*Excludes brokerage fees

Negotiated Deals:


Negotiated Deals occur when both sellers and buyers determine the quantity and price of the Listed Derivatives Product contract involved in the transaction.

Product Minimum trade size
MT30 Index Futures SAR 1,000,000 
Single Stock Futures SAR 1,000,000

Derivatives Market Features

Opening Price:

Open of the market takes place by an auction for Futures Contracts. The auction shall be based on the bids and asks entered during the Opening Auction. The market will open and uncross on a variable basis between 09:30:00am and 09:30:30am every trading day.

Closing Price:

Last Traded Price

IntraDay:

Matching takes place based on price and time priority.

Daily settlement price :

The Daily Settlement Price of the Futures Contracts is calculated based on a methodology determined and disclosed by the Exchange in the Listed Derivatives Products Specifications

Theoretical Future Price calculation:

Where:

Spot - Spot/underlying price
r - interest rate
DivYield- Dividend yield
TTE - time to expiry in years

Final settlement price:

The Final Settlement Price of the Futures Contracts is calculated based on a formula determined and disclosed by the Exchange in the Listed Derivatives Products Specifications

Tick Sizes:

Minimum price fluctuation of the Futures Contract will be specified by the Exchange in the Listed Derivatives Products Specifications.

Order Types:

  • Limit Order
  • Market Order

Order Conditions:

  • Fill or Kill (“FoK”) 
  • Fill and Kill (“FaK”) 
  • Hidden Quantity 

Order Validity:

  • The First Session
  • Day
  • Good till Cancelled (“GTC”)
  • Good till Date (“GTD”)

Minimum Trade Size:

One Contract

Fluctuation Limits:

  Derivatives Market
Daily Upper Limit +20% from previous day’s closing
Daily Lower Limit -20% from previous day’s closing

Derivatives Underlying :

Product Underlying
MT30 Index Futures MT30 (MSCI Tadawul 30)
Aramco Futures Aramco
AlRajhi Futures AlRajhi
Alinma Futures Alinma Bank
SABIC Futures SABIC
stc Futures stc
Saudi Kayan Futures Saudi Kayan
Saudi Electricity Futures Saudi Electricity
Almarai Futures Almarai
Maaden Futures Maaden
SNB Futures SNB

Contract Months and Year Code:

Example of contract code would be: (Product Code + Expiry Year + Expiry Month) (SF30 + 1 + F )

Month Month Code
January F
February G
March H
April J
May K
June M
July N
August Q
September U
October V
November X
December Z
Year Year Code
2022 2
2023 3
2024 4
2025 5
2026 6

Corporate action codes:

In case of corporate action, the long name of contracts post Corporate action will contain the below codes in the following sequence:

# of Corporate action Code
First Corporate action X
Second Corporate action Y
Third Corporate action Z
Forth Corporate action Q
Fifth Corporate action R

Accessibility by Market participant

‘ONSHORE’ INVESTORS
ASSET CLASSES SECONDARY MARKET ACCESS CHANNEL VOTING RIGHTS PUBLIC OFFERING PARTICIPATION PRIVATE PLACEMENT PARTICIPATION CAPITAL GAINS TAX/ZAKAT WITH-HOLDING TAX OTHER RESTRICTIONS
SAUDI INVESTORS
Derivatives Direct Access No No No 0% 0% Not applicable
RESIDENT FOREIGN INVESTORS & GCC RESIDENT INVESTORS
Derivatives Direct Access No No No 0% 0%  
‘OFFSHORE’ INVESTORS
NON-RESIDENT FOREIGN INVESTORS
Derivatives Direct / Indirect No No No 0% 0% QFI Limits

Post-Trade Features

ITEM DESCRIPTION
Clearing Members General Clearing Member (GCM) and Direct Clearing Members (DCM) connected to Muqassa
Settlement Mode Cash Settlement
Settlement Currency All transactions are settled in Saudi Riyals.
Settlement Cycle Contract are Marked to Market on a daily basis.
Margins Initial Margin, Variation Margin, Add-on Margins.
Short Selling Short selling is embedded in Derivatives market products.

Trading Cycle and Times

Trading Cycle:

Step 1: Buyers and sellers submit orders via the member where their accounts are maintained. This may be achieved through one of the channels provided by the member which includes, but not limited to, electronic trading platform. These orders represent the agreement between the member and the investor to execute a specific business transaction as per the investor order.
Step 2: Orders are entered into the member’s Order Management System (OMS). In accordance with market conditions and the requirement of the investor, the orders within the bank’s OMS are forwarded to the Saudi Exchange via a high-speed network.
Step 3: Saudi Exchange attempts to match orders according to price and time priority. A variety of order types and special terms are available to the trader. Unmatched orders are maintained in Saudi Exchange until they are matched, canceled or expire.
Step 4: For matched orders, trades are generated and reported electronically to Muqassa.
Step 5: The execution of the buy and sell orders that together form a trade; consists of one or more contracts and occurs when the same price is specified by buy and sells orders, for a specified number of contracts.

Trading Time:

Trading Days: One session, Sunday through Thursday except official holidays

Session Time Schedule for Listed Derivatives Products (as per the official time in the Kingdom)
First Session: Pre-open (Opening Auction) 09:00 – 09:30
Second Session: Market Open - Trading 9:30 – 15:30
Third Session: Market Closed 15:30 – 16:00

Official Holidays in the Kingdom of Saudi Arabia are:

  • National Day of Saudi Arabia (23 September).
  • Eid Al-Fitr and Eid Al-Adha.
  • Founding day of Saudi Arabia (22 February) 

Market will be closed during these holidays and announced on Saudi Exchange website

Derivatives Exchange Membership Fees

Service Fees(SAR) Frequency
Derivatives Membership Fees
Application fee 30,000 One time
Annual membership 10,000 Annual
Other Derivatives Membership Fees
Trading Workstation Usage fees for new members per station 11,700 One time
Annual Trading Workstation Usage fees per station 3,650 Annual

Settlement Cycle (T+0)

What is meant by settlement of derivatives contracts?
To debit or credit on a daily basis a margin account based on the close of that day's trading session. The buyer and seller are then aware of the risk of their portfolios and margins, if any. Cash settlement takes place when buyers and sellers contracts are settled against the final settlement price by crediting and debiting their respective accounts with profit or loss.
A T+0 Settlement Cycle means that the Contracts are Marked to Market on a daily basis.

Position limits

Product Market Wide Position limit (MWPL) Client Position limit
Index Futures  NA 10,000 contract
Single Stock Futures  20% Open Interest of the Free float number of shares of the underlying security converted into equivalent number of contracts 3% Open Interest of MWPL