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Rolling Gold Index Contracts
A Rolling Gold Contract is a standardized perpetual contract to sell and buy products with no intention for settlement or delivery. The aim of this transaction is to profit from the daily price and interest differential.
Since this contract can be rolled over perpetually, it serves as an ideal investment instrument for both long-term and short-term hedging. This type of transaction is especially unique because the underlying price is the Spot price instead of a Forward price, so it is not categorized as a Futures Contract.
The Rolling Gold Contract basically involves the translation of gold spot price in Loco London term (US$ per troy ounce) to gold spot price in Rupiah term (Rp per gram). By dividing the Loco London US$ per troy ounce price by 31.103, the price is translated into the gold price in US$ per gram. Subsequently, by multiplying the figure by the prevailing exchange rate of Rp/US$, the price of Rolling Gold contract is determined.
However, the recent switch to a free-floating currency exchange system increased the volatility of Rupiah and highlighted the need to hedging on US Dollar transactions. Thus, the Jakarta Futures Exchange created the Rolling Gold Index Contract to allow both hedging and profit making from Rp/US$ transactions.
The Rolling Gold Index Contract is actually a ratio of the Rolling Gold settlement price in Jakarta Futures Exchange to Loco London’s gold price in gram. By dividing the JFX’s Rolling Gold settlement price by the gold price in US$ per gram, the rate of Rp/US$ is established. Hence, the Rolling Gold Index Contract truly reveals the movement of the exchange rate of US$ and Rupiah.
Contract Specifications for Rolling Gold Index Contract:
| Contract Size | Rp 10,000 per index point |
| Contract Code | KIE |
| Contract Basis | Settlement price of Rolling Gold Contract divided by Loco London physical gold market price. |
| Unique Contract Characteristics | Rolling contract, whose open positions at the end of each trading day,will be rolled over automatically to the next trading day and be carried forward until they are closed. |
| Trading Hours (Indonesian Western Time) |
Monday to Friday 08:30 - 17:00 |
| Interest Rate Differential | On each trading day the Exchange collects the one-month interest rate differential between USD and Rupiah from seven determined banks. Of the seven differentials collected, the lowest and highest are eliminated. The arithmetical mean of the remaining 5 is announced as the interest rate differential of each trading day.
At the end of each trading day, the Clearing House debits the value of one-day interest rate differential to open accounts with long positions and credit the value to open accounts with short positions. With reference to the interest rate differential announced by the Exchange, the brokers may set their own level of interest rates at which they credit or debit their client accounts daily, provided, however, the level of interest rates shall not exceed half percent (50 basis points) per annum above or below the Exchange-announced interest rate differential. |
| Settlement Point | Settlement Point is determined by the Exchange based on the Settlement Price of Rolling Gold Contract divided by Loco London physical gold market price per gram, rounded to the nearest 5 point. The physical gold market price of Loco London is determined by averaging the best bid and best offer which are displayed on Reuters terminal at 05:00 P.M. Indonesian Western Time. |
| Settlement Price | Settlement Price is determined by the Exchange based on the Loco London physical gold market price displayed on Reuters terminal at 05:00 P.M. Western Indonesian Time (WIT) and is converted to Rupiah/gram by using the currency exchange rate displayed on Reuters at 05:00 P.M. WIT. The price and the currency rate used are determined by averaging their respective best bid and best offer. |
| Minimum Price Fluctuation (tick) | 5 (five) index points (Rp.50,000 per contract lot) |
| Daily Price Limit | None |
| Speculative Position Limit | 1000 contract units |
| Reportable Position Limit | 500 contract units |
| Last Trading Day | None |
| Margin* | Rp 8,000,000.00 for both day and overnight trade |
| * Subject to exchange requirements | |
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