WIG20 futures contracts

Trading on the Warsaw Stock Exchange (WSE) involves more than just stock shares and bonds. Derivatives, for example, are gaining popularity. An unquestionable success for WSE was the introduction of futures contracts 16th Jan, 1998. The contracts instantly made an astonishing impact, one that has carried on to this day.

As an organizer of trading in contracts, the WSE develops standards-detailed profiles of the contracts. Clearing and accounting procedures, and the amount of security deposits are determined by the National Securities Depository, which acts as the clearing house. Trading in futures contracts is conducted through a system of fixed quotes. Fixing takes place at the opening and closing of each session, as is the case with other instruments subjected to fixed quotations. Required deposit for a single contract is around 11% of contract value (that gives 2500-3000 PLN per contract as of Jul, 2008), which gives financial leverage ca. 9 times.

Contract naming convention is FW20krr, where:
F – type of instrument (futures)
W20 – abbreviated name of underlying instrument (WIG20)
k– delivery month code (H – March, M – June, U – September, Z – December)
rr – two last digits of delivery year (updated 22nd Sep 2008)

Contracts for TechWIG and mWIG40 indexes exists, however the derivatives on WIG20 index enjoy the highest popularity among individual and institutional investors: