Equity derivatives let an investor take, hedge or finance exposure to the South African equity market without owning the underlying shares. The exposure is carried on margin rather than paid for in full, which is what makes them efficient — and what makes understanding the contract mechanics more than an academic exercise.
This is a reference, not advice. The listed range and its terms are set by the exchange and change over time, so confirm current listings and terms with the desk before trading.
Index futures
An index future is a cash-settled contract on the level of an equity index. Nothing is delivered: the position is valued at a fixed rand amount per index point, and the profit or loss settles in cash. The Top 40 complex is where the great majority of South African index volume sits.
| Contract | Code | Value per point | Underlying |
|---|---|---|---|
| Top 40 index future | ALSI | R10 | FTSE/JSE Top 40 (J200) |
| Mini Top 40 index future | ALMI | R1 | FTSE/JSE Top 40 (J200) |
Scroll the table sideways to see every column.
The arithmetic is direct. With the Top 40 at, say, 75 000 points, one ALSI contract carries R750 000 of index exposure and one ALMI carries R75 000. Both are quoted in whole index points on screen, with off-screen trades bookable to four decimals, and both are cash settled. The mini exists so that a smaller portfolio can hedge in proportion rather than being forced into a position ten times larger than it needs.
Beyond the Top 40, index futures are listed across the wider FTSE/JSE series, on BRICS and MSCI indices, and on exchange-traded funds tracking international indices — which is how a South African account reaches offshore index exposure in rand. The listed set is revised as indices are added and retired, so the desk confirms what is currently trading rather than working from a static list.
How expiry works
Index futures expire on the quarterly cycle — March, June, September and December — and the expiry price is set by an intraday closing auction beginning at 12h00 South African time on the third Thursday of the month, moving to the previous business day if that is a public holiday.
The auction is deliberately hard to manipulate. It runs on a volume-maximising algorithm between 12h00 and 12h15, and it extends itself — by four minutes if a constituent share moves sharply, another four if the price stays far from the last pre-auction trade, and a further two if market and limit orders are badly imbalanced. An expiry auction can therefore run up to 25 minutes, and the uncrossing price it produces is the expiry price. If you are carrying a position into expiry, it does not settle at a moment you can predict to the second.
The other instruments
Single stock futures
A futures contract on one listed share rather than an index. It gives the price exposure of holding the share while carrying it on margin, which is why it is used both to take a position in a specific company and to obtain financed equity exposure against an existing holding. Contract size is set per share by the exchange, and terms differ between counters — the desk confirms the specific contract before trading.
Dividend futures
A contract on the dividends a share or index is expected to pay over a defined period, separating dividend risk from price risk. That separation is the entire point: a holder can hedge or take a view on the income stream on its own, without touching the underlying price exposure.
Options on index and single stock futures
Options are written on the equity futures, giving the right rather than the obligation to take the underlying futures position. They are used to cap downside on a portfolio while leaving upside open — the same logic as an option over a grain position, applied to equity.
Market hours
| 08h25 – 08h30 | Opening auction for the ALSI expiries |
|---|---|
| 08h30 – 17h30 | Market open |
| 17h30 – 18h15 | Administration period — allocations and reporting only |
These are longer hours than the grain market, which trades a three-hour session. A client running both will find the equity book still open long after the SAFEX close.
The rest of the desk
Equity derivatives sit alongside the desk's core commodity business. Clients running broader portfolios reach all three markets through one account.
Commodities
Our specialisation. Grain futures and options on SAFEX, plus metals, energy and rand-quanto contracts — see the SAFEX contract specifications.
Currency derivatives
Ten listed rand pairs, options and any-day contracts — see the currency derivatives specifications.
Equity derivatives
This page. Index futures, single stock futures, dividend futures and the options written on them.
Common questions
Why trade an index future instead of buying the shares?
Cost and speed. One contract replaces forty separate share purchases, the exposure is carried on margin rather than paid for in full, and it can be reversed in a single trade. For hedging an existing portfolio it is the more direct instrument — you keep the shares and offset the market risk.
What is the difference between ALSI and ALMI?
Only size. Both track the FTSE/JSE Top 40. ALSI is R10 per index point, ALMI is R1 — a tenth of the exposure, for portfolios where a full contract would over-hedge.
Can I hold equity, currency and commodity positions in one account?
Yes. Applied Derivatives is an independent JSE member across all three markets. Commodities are where the desk's depth is, but the account and the margining sit together rather than in three separate places.