Equity Derivative Reports

 All Contracts

Contains all tradable instruments including the margins and the clearing fees.

The report is made available at midnight on each trading day.

 Close Out Prices

Provides the official closing prices per contract code. The frequency of this report is daily to accommodate both the Anyday and quarterly expiries.

The report is made available at midnight on the trading day when the expiries closeout take place.

 Daily Market Statistics

Provides daily statistics for all the contracts traded in the Equity Derivatives market.

The report is made available at midnight on each trading day.

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 Dividends

This record contains dividend assumptions and declared dividends for the market to recreate JSE's MTM valuations for the Single Stock Futures.  It is important component in calculating the dividend value.

The report is made available at midnight on each trading day.

 Margin Requirements

Provides information necessary for Clearing Members to recalculate initial market margin and for end of day balancing purposes.

The report is made available on a fortnightly basis at midnight on the respective trading day.

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Provides monthly statistics for all the contracts traded in the month in the Equity Derivatives market.

The report is made available at midnight on the last trading day of the month.

 MTM All Report

Provides the daily closing price for all instruments that meet one or more of the below criteria:

  • All futures contracts
  • All option contracts with an existing open interest
  • All option contracts that traded on the day

The report is made available at midnight, in PDF, on each trading day.

 Risk Parameters Report

This report provides  the risk arrays on the options and used to recalculate option margin requirements.  All contracts are included irrespective of whether they were traded or not.  18 scenarios will be populated; the last 2 scenarios (19 & 20) will only be populated on an adhoc basis.

The report is made available at midnight on each trading day.

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 South African Rates Report

These reports presents the various rates that are relevant to the market as per 10:00am and 11:00am (SA time).

The reports are made available by no later than 15 minutes after 10:00am (SA time), and 11:00am (SA time) on each trading day.

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 Volatility Surface Report

The data in this report is used to determine the volatility skew (adjustment) that needs to be applied to the At-the-money volatility of an option during the daily valuation of index and single stock option contract. The volatility surfaces will be disseminated daily but the inputs will be updated on an adhoc basis approximately every fortnight. N.B. This report contains both EDM and FXM Volatility Surfaces data.

The report is made available at midnight on each trading day.

 Options Daily Traded

Contains all the Option trades and volatilities done on the day.

The report is made available at midnight on each trading day.

 All EDM Contracts Open Interest

All the active instruments for the Equity Derivatives market for the day, detailing the number of contracts traded as well as the total Open Interest per instrument.


Disclaimer

All data and information provided by the JSE, except as otherwise indicated, is proprietary to the JSE. You may not copy, reproduce, ​​modify, reformat, download, store, distribute, publish or transmit any data and information, except for your personal use. For the avoidance of doubt, you may not develop or create any product that uses, is based on, or is developed in connection with any of the data and information available on this site. You are not permitted (except where you have been given express written permission by the JSE) to use the data and information for commercial gain

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