Material name
Date
Material Type
Language
Format
Size
Mais liquidez
Maior volume de negociação e mais eficiência em mercados relacionados, com o aumento do tempo de pregão.
DI Futures (VWAP + TAS)
New DI Futures settlement price mode
As part of the scheduled improvements implemented together with the market, we are improving the pricing methodology for DI Futures Contract, which is traded under the DI1 ticker.
The new model takes into account orders and trades carried out in a time window based on the volume weighted average price (VWAP) to define the settlement price. In addition, an instrument will also be created to trade the DI Futures at the settlement price plus a spread: TAS (Trade At Settlement).
The goal is to eliminate distortions that currently occur given the long time window of the closing call, thus reducing the need to use theoretical models for pricing (fallbacks).
Sign up and follow up the project
Product benefits
Maior precisão
Preço de ajuste robusto mesmo em momentos de alta volatilidade.
Ampliação de oportunidades
A marcação simultânea de todos os vencimentos possibilita a arbitragem entre eles, tornando a curva de juros mais aderente.
TAS (Trade at Settlement)
Instrumento que permite negociar o Futuro de DI a preço de ajuste acrescido de diferencial.
Greater Ease in Price Trading
New DI Futures settlement price model
The Volume-Weighted Average Price (VWAP) is used to balance a period's average price per trading volume. The algorithm prevents price distortions even in high volatility scenarios.
B3 is launching a new DI Futures Contract pricing model using this methodology. The goal is to provide more adherent prices taking into account orders and trades carried out in a time window on a weighted average (VWAP). Currently, the first contract month of the U.S. Dollar Futures Contract (DOL) uses the same methodology.
TAS (Trade at Settlement) is an instrument that allows the DI Futures Contract to be traded at the settlement price plus a spread during the entire trading session through the end of the settlement window. The spread traded on TAS can be negative, positive or zero (flat).
The underlying asset of the DI Futures Contract is the average daily rate of Interbank Deposits (DI), which is calculated and disclosed by B3 between the trade date and the expiration date, and is used to hedge and manage the interest rate risk of assets/liabilities benchmarked to DI.
Timeline
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12/12/2022
Go-live
Available to the market
Technical details
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Catalog changes
N/A
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Main systems
RTC e Sinacor.
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Main related functions
Nenhuma função relacionada.
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Certification roadmap
N/A
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What is the Sinacor version?
v22.3
