Deutsche Börse performs a backward rollover when calculating the Dax in the morning.
Starting July 22, prices for all 40 individual stocks must be available before the main German index can be calculated, the exchange operator announced on Thursday. Since March, the exchange had already calculated the first level of the Dax if only one price was available after the start of trading at 9 a.m. – the previous day’s closing levels were then included in the index for the other stocks. However, this has met with resistance from providers of structured products, such as knock-out certificates on the Dax, which depend on the exact levels of the index, a spokesperson for the exchange said on Thursday.
However, the first level of the Dax should be available by 9:06 a.m. at the latest. If the index value has not yet been traded by then, only the value of the previous day will be included in the calculation. Over the past ten years, an average of two minutes and 13 seconds have elapsed from the start of trading until all Dax shares have been traded, the spokesman said.
Slightly different rules apply to the other indices of the Dax family – MDax, SDax and TecDax: In their case, at least three quarters of all securities must have been traded before the index was determined, i.e. 38 for the MDax, 53 for the ‘SDax and 23 for the TecDax. However, the spokesperson explained, in this case too there should be a first result at 9.06 am at the latest.
However, the calculation of the Dax closing level, which was also changed in the spring, will remain unchanged. Xetra trading will end at 17:30 as usual, but the latest price movements will be included in the index calculation until 18:00. Previously, the exchange had already determined the Xetra closing price at the end of the closing auction, a few minutes after 17:30.
(Reporting by Alexander Hübner, Editing by Sabine Ehrhardt. For any questions, please contact our editorial team at [email protected] (for politics and business) or [email protected] (for business and markets).
