Moscow Exchange adds negative pricing support for Brent futures contracts
Moscow Exchange, or Moskovskaya Birzha MMVB-RTS PAO (MCX:MOEX), today announces that it is expanding the list of derivative instruments for which negative prices will be available.
Effective November 2, 2020, 19:00 Moscow Time, new instruments with negative prices will be implemented for T1 test environment, specifically Brent futures contracts.
On November 5, 2020, negative prices will also be implemented for T0 test environment. Negative prices for Brent futures contracts will be translated according to the following schedule:
- 5.11.2020: Intermediate clearing session – negative prices will be set as available for Brent futures contracts (it is already set in production, this is for the participants who want to see how it happens online).
- 5.11.2020: Evening clearing session – the settlement price will be set as 11$ manually. This will show a case for price changing to value which will require using Bachelier model
- 6.11.2020: Intermediate clearing session – switching to Bachelier model
- 6.11.2020: After intermediate clearing session ends – manual extension for limits to negative values
- 6.11.2020: After evening clearing session ends – the futures will be available for trading with negative price values
Let’s recall that the Moscow Exchange introduced negative pricing support back in July 2020. At first, the Exchange implemented negative pricing support for two instruments – natural gas (NG) futures and Light Sweet Crude Oil (CL) futures.