These index expiries occur:
- On the third Friday of every month for the FTSE 100 Index Options.
- On the third Friday of every quarter (March, June, September and December) for the FTSE 100 and FTSE 250 Index Futures.
On the relevant day the auction call in each security starts at 10:10am. Uncrossing is scheduled to take place from 10.15am (a random start time of up to 30 seconds is applied). For the duration of the EDSP intra-day auction continuous electronic trading is suspended in the securities concerned.
The prime purpose of the auction is to concentrate liquidity in the constituent securities and establish a price for NYSE Liffe’s expiring index contracts. NYSE Liffe declares the final settlement price (the EDSP) against which all outstanding open positions in that delivery/expiry month are settled.
The current EDSP intra-day auction follows the same functionality as the London Stock Exchange’s daily closing auction process with the variation that tighter price monitoring parameters are applied.
A single 2 minute market order extension is invoked if the auction matching process would result in market orders remaining unexecuted on the order book.
http://www.londonstockexchange.com/t...ment-price.htm