04 - Statistics and Contract Specifications
The DI1 contract has changed its specifications ( Tick Size, Round Lot, Contract Months, Trading Hours) we are working in the vídeo updates. Please, consider the text information
Contract specifications
| Underlying | Effective interest rate, defined as the capitalized daily Interbank Deposit (DI) rates verified on the period between the trading day and the last trading day |
|---|---|
| Ticker | DI1 |
| Bloomberg Ticker | OD |
| Contract Size | Unit price (PU) multiplied by the amount in Brazilian Reals (BRL) of each point (BRL1.00). Each DI1 Futures Contract is worth 100,000 points at expiration |
| Quotation | Effective annual interest rate based on a 252-business day year, to three decimal places |
| Tick Size | 1st to 3rd contract month: 0.002% 4th to 60th contract month: 0.005% Other contract months: 0.01% |
| Round lot | 1 Contracts |
| Last Trading Day | Last trading day preceding the expiration date |
| Expiration Date | 1st business day of the contract month |
| Contract Months | To 1 year: monthly From 1 to 5 years: quarterly on a January cycle From 6 to 15 years: annualy on a January cycle |
| Contract Months | Cash Settlement. Based on contract size at expiration: 100,000 points (100,000 BRL) |
| RV01 | Brazilian Real (BRL) value of a 1 basis point change in the interest rate. Because the DI1 is a contract traded on the spot rate, its RV01 is variable and depends on both (i) the maturity of the contract traded and (ii) the days to its maturity |
Trading Hours
| Regular Trading Hours | 9:00 a.m. to 6:00 p.m. |
|---|---|
| *The adjustment price is calculated using the VWAP methodology between 4:10 p.m and 4:20 p.m. | |
Ticker Symbol Definition
The ticker symbol that investors will find on their trading screen is composed of 3 parts: AAA (ticker) + B (contract month) + C (expiration year).
The table below shows the code letter for each month:
| January | February | March | April | May | June | July | August | Septemper | October | November | December |
|---|---|---|---|---|---|---|---|---|---|---|---|
| F | G | H | J | K | M | N | Q | U | V | X | Z |
The table below shows the code letter for each month:
