“VobOmatik” Automated VOB Trading System

Brief

Turkish Futures and Options Exchange (VOB) has been established on 4th of February 2005 and been operating since then.  The market depth and volatility have been developing rapidly causing from the high interest of domestic and international investors.

The Future and Options Exchanges worldwide are the result of increasing demand for alternative investment  and risk management tools.  The exchanges are derivatives markets that operates on commodities or financial instruments where there are certain predefined quantity, maturity and delivery terms.  They are mainly created for risk management reasons and gives a general idea on the future price expectations.

 What are the instruments currently traded in VOB?

In the exchange (VOB) only registered and quoted instruments can be traded.  That means it can not be registered all the derivatives to the exchange.  For the quotation it is required a very long and detailed application procedure in the Turkish Capital Markets Board.  To be able to registered and traded in VOB, it is required an efficient delivery (spot) market as well as  aproper asset back.

As of today it is traded currency, index, interest and commodity contracts in VOB.  In currency there are TL/USD, TL/EUR and TL/USD Physical delivery, TL/EUR Physicak delivery contracts.  In index ISE( Istanbul Stock Exchange) 30 and ISE 100 contracts are available.  Interest contract is G-DIBS where the commodities are cotton, wheat and gold.

However in our automated trading system we mainly involve in ISE30 index contracts.  Further information will be on this contracts mainly.

The Contract Details of ISE30 index futures.

The based asset back is the average price value of all ISE30 listed companies.  Contract size calculation formula is (ISE30/1000)X100 in Turkish Lira value.  The quotation value is base + 3 digits i.e. 94,365.  The price move limit is +/- %15 from the average of T-1.  PIPS value is 0,025 or 2.5 TL in value.  Beginning margin is 800 TL that is roughly 400 Euros.  Continuation margin, margin call is 75% of beginning 600 TL.  Spread margin is 50% of beginning margin 400 TL or 300 TL for each position.  The maturities are February, April, June, August, October and December.   The total contracts are set as the closest 3 maturities plus December contracts.   Maturity date and last transaction dates are the last business day.  Settlement type is cash serttlement. 

The settlement prices are set as follows:  The settlement price at maturity is the simple average of 10 random ISE30 values in the last 15 minutes of the last trade session.    The day end settlement price is the weighed average of all contracts realised in the last 10 minutes of the session.  Session hours are Monday –Friday 09:15-17:15.

In futures contracts you can be either long(buy) or Short (sell) position.  As far as you carry your position, for each position, that means you are open.  Your each position can be closed by placing or executing  another contrary position.  If the contracts are even the net value will be your settlement value, profit or loss.  If any remaining contracts are open these will be your positions.