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CAC 40 Index futures |
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The CAC 40 futures is based on the CAC 40 "Premier Marché" index (the 40 "blue chips" weighted index of "Premier Marché" of the Euronext Paris Stock Exchange) with a base value of 1,000 (as of December 31, 1987) and valued 10 times the futures-quoted index in Euros.
The launching on February 1, 1995 of two six-monthly maturities (in addition to the already existing three monthly and three quarterly ones) increased the number of maturities from 6 to 8, thus extending the quotation horizon from 10/12 months to 19/24 months.
After ten years, the CAC 40 futures contract has experienced a tremendous growth in trading volume. As such, it has earned its place as the first stock index futures contract in Europe.
Should you have any question about the CAC 40 futures and option contracts,
please email Eric Andreetti 
or
call him on +33 (0) 1 49.27.19.89.
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| Year 2000 Daily Average | ||||||
| 71 568 contracts traded | ||||||
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Specifications |
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| CAC 40 Index futures (10 euros) | |
| Symbol | FCE |
| Underlying Instrument | CAC 40 index, reported with 2 decimals, composed of 40 "Blue Chips" stocks listed on the "Premier Marché", "Second Marché" and "Nouveau Marché" calculated on line by the Euronex Paris SA, displayed every 30 seconds |
| Trading Unit | Index Value x EUR 10 |
| Price Quotation | Index with 1 decimal |
| Minimum Price Fluctuation (tick) | 0.5 index point, i.e., EUR 5 |
| Contract Cycles | 3 spot months, 3 quarterly (March(H), June(M), September(U), December(Z)) and 2 half-yearly delivery months (March (H), September (U)) |
| Regular Initial Margin | EUR 225 pt (2250 euros) |
| Last Trading Day |
Last trading day of the delivery month at 4:00 p.m. |
| First Trading Day |
First trading day following the last trading day of the previous delivery month |
| Settlement | Cash-settlement Liquidation price = arithmetic average (rounded to 1 decimal) of each CAC 40 index value calculated and reported between 3:40 pm and 4:00 pm, the first index value after 4:00 pm being included |
| Daily Price Limit | +/- 200 index points |
| LIFFE CONNECT Trading Hours | Day session : 08:00 am - 5:30 pm Globex session : 5:30 pm - 8:00 pm (Paris Time) |
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Calendar
(Date: DD/MM/YY) |
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| delivery month | first trading day | last trading day |
| Oct 2004 | Mon 18/10/04 | Fri 15/10/04 |
| Nov 2004 | Mon 22/11/04 | Fri 19/11/04 |
| Jan 2005 | Mon 24/01/05 | Fri 21/01/05 |
| Feb 2005 | Mon 21/02/05 | Fri 18/02/05 |
| Mar 2005 | Sat 21/05/05 | Fri 18/03/05 |
| Apr 2005 | Mon 18/04/05 | Fri 15/04/05 |
| May 2005 | Mon 23/05/05 | Fri 20/05/05 |
| Jun 2005 | Mon 20/06/05 | Fri 17/06/05 |
| Jul 2005 | Mon 18/07/05 | Fri 15/07/05 |
| Aug 2005 | Mon 22/08/05 | Fri 19/08/05 |
| Sep 2005 | Mon 19/09/05 | Fri 16/09/05 |
| Oct 2005 | Tue 25/10/05 | Fri 21/10/05 |
| Nov 2005 | Mon 21/11/05 | Fri 18/11/05 |
| Dec 2005 | Mon 19/12/05 | Fri 16/12/05 |
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Final Settlement Procedure |
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1. Settlement Procedure
At the end of a delivery month for the CAC 40 Index Futures contract of Euronext Paris SA,
contracts remaining open result in cash payment of the difference between the
final settlement price of the day before and the last settlement price.
2. Calendar
The calendar is expressed in French business days.
D is the last business day of the delivery month.
On D, the last settlement price is determined at the end of
the last trading session of the current month. This price is published by Euronext Paris
SA.
On D+1, Matif SA receives or delivers the financial difference corresponding to
each contracts remaining open (last margin call). On the same day, the initial
margins for the contracts being executed are returned by ClearnetSBF SA
3. Determination of the last settlement price
The last settlement price is the reference to determine the last margin call on
the last trading day for the CAC 40 Index Futures contract. It is a medium
index calculated between 3:40 pm and 4:00 pm on the last trading day.
This index is determined by the Euronext Paris SA and it corresponds to the arithmetic mean of the CAC 40
Index prices calculated after 3:40 pm till 4:00 pm, including the first price
published after 4:00pm. (41 prices since the CAC 40 Index is calculated
every 30 seconds).
The delivery index is published with two decimals and the last margin call is
done by ClearnetSBF SA taking into account this characteristic (no round off is made
as contrary to the quotation of the futures contract which is determined with
only a single decimal).
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Vendor Codes |
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| VENDORS | CODES |
| ADP | MTG |
| Bloomberg | CFA[my] |
| Bridge | FR@FCE |
| datastream | FCX |
| Fides | MS |
| Future Source [C or P]=Call or Put | MCT |
| GL Trade | FCE |
| Matif | FCE |
| Reuters | FCE: < F3 > |
| S & P Comstock [my]=maturity, [sss]=strike | bFCE[my] |
| Telekurs | FCE |
| Telerate | (code page: 3221) FCE |
Should you require any further information, please do not hesitate to contact us
| © Euronext Paris SA - 2000 |