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Options on One-Day Interbank Deposit Futures

  • The product

    The underlying contract of the option is the DI Futures Contract maturing after the option expiration date, which can be in up to 3 months (D11), 6 months (D12), 12 months (D13) or variable according to the most liquid maturities (D14, D15, D16, D17, D18 and D19).

    Therefore, the option refers to the average DI rate between the option expiration date and the maturity of the DI Futures Contract.

    Each option is equivalent to the exposure to a DI Futures Contract, with the strike price defined as interest rate. Because these are European options, the exercise only occurs at the maturity of the contract if the option expires in the money.

  • Specifications
    UnderlyingThe One-Day Interbank Deposit Futures Contract (DI Futures), whose expiration shall be determined in accordance with the type of series.
    TickerD11/ D12/ D13/ D14/ D15/ D16/ D17/ D18/ D19
    Option styleEuropean.
    Contract sizeEach option contract is based on a One-Day Interbank Deposit Futures Contract (DI Futures).
    QuotationOption premium expressed in Brazilian Reais (R$) to two decimal places.
    Tick sizeR$0.01.
    Round-lot5 contracts.
    Last trading dayThe trading session immediately preceding the expiration date.
    Expiration dateThe first trading session of the contract month.
    Contract months- Type 1, 2 and 3 options: the first month in any quarter with a DI Futures Contract authorized for trading at B3;

    - Type 4, 5, 6, 7, 8 and 9 options: all months.
    Settlement on expirationPhysical settlement (with opening position in the DI Futures contract).
    Option exerciseOn the expiration date, the option exercise is performed manually by the option holder respecting the trading hours pre-established by B3. If the option is not exercised it will be closed out by its writer.
  • Benefits
    • Hedging against interest rate fluctuation
    • Provides hedging / exposure to forward interest rate
    • By combining several options, it is possible to create strategies that enable hedging or speculating on decisions about changes to the basic interest rate (Monetary Policy Committee - Copom)