Market making obligations on index, stock and power futures

Market makers on the IDEM market play a relevant role improving the liquidity of the market and the efficiency of the price discovery process.

Market makers must fulfill obligations in terms of series and expiries to be quoted, minimum quantity to be quoted, maximum spread allowed and time. Right now, there are more than 20 market making firms displaying bids and offers on a continuous basis or responding to "requests for quotes" on several underlyings. The list of market making firms active on the IDEM is available on Borsa Italiana's website.

MARKET MAKING STATUSES

Every exchange participant to the IDEM may apply for admission as market maker, provided that they have the necessary qualification to fulfil the obligations required.

Members can choos among three different market making status:

Primary Market Maker (PMM): continuous quotation obligation, available for options and futures, also for electricity futures listed on IDEX
Market Maker (MM): obligation to respond to quote requests, available for options and for electricity futures
Liquidity Provider (LP): continuous quotation obligation, available for options and for electricity futures listed on IDEX

Furthermore, members of Borsa Italiana may apply for admission as "Specialists" if the company intends to use another company (belonging to the same group and authorised to trade in its home country) to undertake market making activity.
Specialists can choose among three market making status:

Primary Specialist (PS): continuous quotation obligation, same obligations as PMM
Specialist (S): obligation to respond to quote requests, same obligations as MM
Liquidity Provider Specialist (LPS): continuous quotation obligation, same obligations as LP

FTSE MIB INDEX FUTURES AND MINI-FUTURES

Futures on the FTSE MIB index with maturity up to 1 year (four quarterly expiries) and mini-futures on the FTSE MIB index with maturity up to 6 months (two quarterly expiries)are listed on the IDEM.
Market makers and specialists on the FTSE MIB index futures and mini-futures need to fulfill the following obligations.

Obligation Type	PMM/PS on FTSE/MIB Index Futures	PMM/PS on FTSE/MIB Index MiniFuture
Expiries	First expiry	First expiry
Minimum quotation size	10 contracts	15 contracts
Maximum spread	45 index points	45 index points
Time allowed to restore quotations	2 minutes after the quote being hit	2 minutes after the quote being hit
Quotation hours	9.30am-5.20pm	9.30am-5.20pm
Reference epsilon	90%	90%

FTSE MIB DIVIDEND INDEX FUTURES

Futures on the FTSE MIB Dividend index with maturity up to 5 years are listed on the IDEM.
Market makers and specialists on the FTSE MIB Dividend index futures need to fulfil the following obligations.

continuous quotes from 09:30 to 17:20 for all the maturities being traded
time to restore quotations: 2 minutes
minimum quantities and spreads as shown in the following table:

Maturity	Miminum Quantity	Maximum Spread
First and second year	30 contracts	80 index points
Third and fourth year	20 contracts	90 index points
Fifth year	10 contracts	100 index points

ITALIAN STOCK FUTURES

Stock futures with expiries up to 1 year are listed on the IDEM.
Market makers and specialists on stock futures need to fulfill the following obligations.

Obligation Type	Obligations for PMM/PS on stock futures
Expiries	First expiry
Minimum quotation size	25, 15 or 5 contracts depending on the underlying
Maximum spread	Depending on the underyling
Time allowed to restore quotations	2 minutes from after the quote being hit
Quotation hours	9.30am-5.20pm
Reference epsilon	90%

Spread obligations for stock futures

Market makers and specialists, displaying bids and offers on the orderbook must observe the following tables for stock futures.

Spread Table "A" Bid price (Euro)	Spread (Euro)
From 0.01 to 4.00	0.02
From 4.01 to 8.00	0.03
From 8.01 to 12.00	0.04
From 12.01 to 16.00	0.05
From 16.01 to 20.00	0.07
Greater than 20.01	0.12

Spread Table "B" Bid price (Euro)	Spread (Euro)
From 0.00 to 4.00	0.04
From 0.00 to 4.00	0.05
From 0.00 to 4.00	0.06
From 4.01 to 10.00	0.08
From 10.01 to 20.00	0.10
Greater than 20.01	0.15

Spread Table "C" Bid price (Euro)	Spread (Euro)
From 0.00 to 4.00	0.06
From 0.00 to 4.00	0.08
From 0.00 to 4.00	0.10
From 4.01 to 10.00	0.12
From 10.01 to 20.00	0.15
Greater than 20.01	0.25

Borsa Italiana defines the allocation of stock futures into spread tables at least once a year and announce the new allocation with official notice.

PAN-EUROPEAN STOCK FUTURES

Pan-European Stock futures with expiries up to 1 year are listed on the IDEM.
Primary market makers and Primary specialists on Pan-European stock futures need to fulfill the following obligations.

Obligation Type	Obligations for PMM/PS on stock futures
Expiries	First expiry
Minimum quotation size	10, 20, 30, 40, 50 contracts according to liquidity
Maximum spread	€ 0.30
Time allowed to restore quotations	2 minutes from after the quote being hit
Quotation hours	9.30am-5.20pm
Reference epsilon	90%

MARKET MAKING ON POWER FUTURES

Futures on power with monthly, quarterly and yearly delivery dates.
Market makers and specialists on power futures need to fulfill the following obligations.

Delivery period	Minimum number of contracts	Maximum Spread €
Monthly	10	2,5
Quarterly	5	3
Yearly	5	3

Liquidity provider have to quotes continuous on all the monthly expiries, or quarterly or yearly.

The Market Maker have to quotes from 9.00 am to 5.40 pm.

Exemptions from quotation obligations
Borsa Italiana may temporarily relieve market makers from their obligations under the following circumstances:

Suspension from trading of the underlying of the financial instrument or suspension from trading of a significant percentage of the financial instruments included in the index where the reference underlying is the index (IDEM Equity)
Anomalous increases in the volatility of the price or bid-ask spread of the underlying of the financial instrument or anomalous increases in the volatility of the underlying index (IDEM Equity); anomalous increases in the volatility of the price of the financial instrument (IDEX)
Any other circumstances preventing the regular performance of the market.(IDEM Equity and IDEX)

Further details on market makers and specialists on the IDEM market are available on the Instruction to the Rules of Borsa Italiana S.p.A.

Last update: February 9 2012 - 16:08