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An instrument is defined as the logical container for one or many product-contract combinations. Each instrument carries a property and is actionable for the purposes of order entry and trade reporting. An instrument is referenced by a numeric identifier in Delta1, this identifier is referred to as a marketplace security id or MPSecID. Block and EFP transactions utilizing security futures are reportable to the Delta1 trade reporting engine as off-exchange, bilaterally negotiated transactions. All matched trades or reported transactions that occur on Delta1 are cleared as a security future with the appropriate designation (spread, EFP, block, or outright). 

Overview:

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What are Products and Contracts?

A product refers to a security future issue with defining characteristics and a contract refers to the expiration instance of that product. Products have codes used in exchange reports, audit trails, clearing house files, and back office systems.

  • All Delta1 trades clear as a product-contract, where product-contract is the combination of a product and an available contract.
  • Only product-contracts are settled
  • Open interest can only be carried in a product-contract

Below are some examples of product and contract configurations (note that a single product can have multiple contracts): 

Product Clearing CodeCharacteristicsSecurityContracts
IGZ1D
  • T+2 settlement
  • No Dividend Risk issue
  • Contracts expire on the 3rd Friday of the month


IGZ Equity

  • October 18, 2019
  • November 15, 2019
  • December 20, 2019
  • March 20, 2020

IGZ1J

  • T+2 settlement
  • No Dividend Risk issue
  • Contracts expire on the 2nd Friday of the month


IGZ Equity

  • October 11, 2019
  • November 8, 2019

IGZ1M

  • T+1 settlement
  • No Dividend Risk issue
  • Contracts expire on the 1st Monday of the month

IGZ Equity

  • October 4, 2019

Types of Instruments

Available for trading in the Central Limit Order Book

Instrument

Description

Clearing Effect

SSF

Outright single stock future

1 x Outright single stock future

Calendar Spread

(STARS™ / CS)

Combination of two single stock futures product-contracts priced as the difference between the back leg and the front leg.

2 x Outright single stock futures

Available for reporting to the Trade Reporting Engine

Instrument

Description

Clearing Effect

Block

Outright single stock future

1 x Outright single stock future with a block indicator

EFP

Exchange future for physical, combination trade priced as the differential between an SSF and its underlying security

1 x Outright security future with an EFP indicator

Block Calendar Spread

(STARS™ Only)

Combination of two single stock futures product-contracts priced as the difference between the back leg and the front leg.

2 x Outright single stock futures with a block indicator