Delisting of contracts
- Decline in liquidity of the contract
Public Tender Offer and/or Exchange Offer or Merger
- market makers for the contract shall be exonerated from the quotation obligations referred to in Article IA.9.2.9;
- series for which the open interest is nil shall cease to be tradable;
- new series and maturities shall not be created;
- series for which the open interest is positive shall continue to be traded until they mature or until the open interest is nil.
- order the closure and cash settlement of open positions on the basis of the TFV(1) or
- substitute, in accordance with principles of financial equivalence, the security to be delivered with that of the bidder
Stock options and stock future contracts can be delisted for two reasons:
1. Decline in liquidity of the contract
It may occur that the liquidity of stock options and stock futures may decrease to such a point to cause a disruption in the regular and continuous performance of trading. In such an event, Borsa Italiana may decide to exclude from trading the stock option and/or stock future contracts, inhibiting the generation of new strikes and/or contracts starting from a determined date.
After verifying the existence of the conditions referred to in Article 4.7.2, paragraph 5, Borsa Italiana shall inform Consob and the market, at least 20 days in advance, of the start of the exclusion procedure. The procedure shall start on the first trading day following the first upcoming maturity. The time limits referred to in paragraph 1 may be modified by Borsa Italiana in the event of a total-acquisition tender offer where this significantly reduces the free float.
From the first day of the effectiveness of the exclusion of a contract:
2. Public Tender Offer and/or Exchange Offer or Merger
In the event of illiquidity of the underlying asset as a consequence of a Public Tender Offer and/or Exchange Offer or a Merger, which causes a procedure for the revocation of listing or exclusion from trading, Borsa Italiana may:
using the following criteria:
Methodology: how does it work?
In order to calculate the Theoretical Fair Value, Borsa Italiana shall consider:
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the arithmetic mean of the volatilities implicit in the daily settlement prices provided by CC&G on the ten days before the date of the announcement of the offer (5) |
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those estimated consistent with the residual life of the contract (6) by CC&G and used to calculate the daily closing prices on the day preceding the delisting of the stock option and/or futures contracts |
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Euribor, consistent with the residual life of the contract, observed on the last day before the closure and cash settlement of stock option and futures contracts |
Calculation(3) In order to calculate the TFV the value of the underlying is defined taking into consideration some variables (exchange rate, official price, etc.), used the day preceding the delisting of the stock option and stock futures contracts.
(4) In order to define the volatility, in case of abnormal situations, Borsa Italiana may apply adjustments using the linear interpolation.
(5) The date of the announcement of the offer will be the date on which the bidder issued a press release (article 114 d.lgs. n. 58/1998) informing the market of the essential financial elements of the transaction. In cases of revision of offers or competing offers recourse will be made to the volatilities calculated at the time of the first Offer. In case of merger, the date of the announcement (article 114 del d.lgs. n. 58/1998) is the date in which the essential financial elements of the corporate action are communicated to the market.
(6) In order to define the residual life, Borsa Italiana uses the solar calendar.
Timetable
The timetable related to the calculation of the TFV in case of closure and cash settlement of open positions due to a Public Tender Offer and/or Exchange Offer or a Merger is summarized as follows:
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For further information, please download the Theoretical Fair Value flyer.