Volatility during JSE quarterly close out

[Guest chrisd]

I have some resource CFD shorts running with stops and wondering what to do over the JSE quarterly close out. What is the actual date and time of the close out ? Are the Stops I have active during the close out period ? Is there a lot of volatility over the close out period which I believe is less than an hour ?

[LukeM]

Which specific market are you referring to? When you mention the JSE, are you looking at Shares themselves or Options or maybe even Futures? Let me know and I'll try and help asap. 

[LukeM]

Apologies for my ignorance , I’ve just had a chat with one of my colleagues from our South African office who’s filled me in on the Quarterly Close Out and how it works!

 

Similar to the auction at the start or the end of the trading day, at 12:00pm on the third Thursday of each quarter (i.e. earlier Today), all JSE stocks will trip into an auction in order to determine the close out price. Like an auction at the beginning or end of the day volume will increase during the 15 minute process and prices may seem skewed however your stop won’t be filled basis any prices during this time.

 

The result of these auctions, otherwise known as the ‘uncrossing’ price, then feeds into the SA40 calculation to give the final settlement for the quarterly futures.

 

For more information you can see the JSE’s website here: https://www.jse.co.za/trade/derivative-market/equity-derivatives