Principles and conventions

Financial Equivalence Principle

Adjustments of Future and Option Contracts are based on the principle of financial equivalence of the value of the Future and Option Contracts before and after the Corporate Action.

Adjustments on Future and Option Contracts

Adjustments might entail: The adjustment of the Exercise Price of an Option Contract or of the Daily Settlement Price of a Future Contract. The Contract Size may also be adjusted using the Adjustment coefficient method. As a result, the original Contract Size will be recalculated and will be communicated to the market in due time via a Market Notice.

The replacement of the Underlying of Option or Future Contracts with another Underlying on the basis of a determined ratio (Replacement method);

The calculation of Theoretical Fair Value (TFV) of Option or Future Contracts.


The Exercise Price of Option Contracts or the Daily Settlement Price of Future Contracts adjusted by means of the Adjustment coefficient (K) are rounded to 4 decimals, while the Contract Sizes are rounded to the nearest integer.

The Adjustment coefficient (K) is rounded to 6 decimals.

When rounding, numbers from 0 to 4 shall be rounded down and numbers from 5 to 9 shall be rounded up.

Under special circumstances an alternate policy might be applied, in this case communication to the market will be provided in due time via Market Notice.

Modification of instrument identification codes (ISIN)

New instrument identification codes (ISIN) are assigned to adjusted Option and Future Contracts. Codes are assigned with the presence of additional letters on the end of a series code to indicate a Corporate Action has occurred on the Underlying Instrument


  Corporate action number   





















Early exercise

For American style Options, early exercise of Stock Option Contracts is suspended on the day before the Ex-day or on the last day of the takeover bid period.

Contracts to be adjusted

Derivative Contracts with open interest on the Ex-Day are subject to adjustment. Derivative Contracts with no open interest are deleted from the trading system. More specifically, Option Contracts are deleted only if both calls and puts with same Exercise Price and maturity have no open interest.

Creation of new series on Ex-Day

Option or Future series available for trading starting from the Ex-Day are generated on the basis of the adjusted reference price.

Adjustment effective day

The adjustments are effective on the first Trading Day on which the Corporate Action is effective.

Under special circumstances it may be appropriate to suspend the Derivative Contracts on the Ex-Day and to adjust their terms on the following Trading Day.

Adjustment details

Details of adjustments will be published as soon as sufficient information has been made available by the Issuer or Depository Bank in conjunction with the Issuer to an extent that LSE Derivatives have sufficient certainty that an adjustment of Derivative Contracts will take effect.

The adjustment details of Option or Future Contracts are published by means of LSE Derivatives Market Notices through email to subscribers and updated on the LSE Derivatives website. New notices will be published as more information is released by the Issuer or Depository Bank in conjunction with the Issuer.

LSE Derivatives will endeavour to follow the procedures set out in this Policy Document. In certain situations this may not be possible or appropriate, if this is the case LSE Derivatives will reserve the right to determine the appropriate action.


The information on this page is solely intended as information. Although this information is issued in good faith, no representation or warranty, express or implied, is or will be made. No responsibility or liability is or will be accepted by LSE Plc. or by any of its officers, employees, or agents in relation to the accuracy of completeness of this information. Any such liability is expressly disclaimed.