Glossary — Japanese Index Derivatives for Global Traders

Terms that appear on this site, and the official file each one comes from. Japanese readings are given where you are likely to meet them in JPX documents.

Contracts and expiry

• SQ (Special Quotation) — the settlement price for expiring options and futures, calculated from the opening prices of all 225 constituents on the second Friday of the month. Not the same as the index open. Full explanation
• Major SQ — March, June, September and December, when futures expire alongside options.
• Genkyoku (限月) — contract month. JPX codes these as YYMM, for example 2609 for September 2026.
• Large / mini / micro — Nikkei futures and options in three sizes. Multipliers are ¥1,000, ¥100 and ¥10 respectively. To compare volume across them, convert to large-equivalents by dividing mini by 10 and micro by 100.
• Night session — an evening trading session overlapping US hours, so Japanese index derivatives react to US moves before the Tokyo cash market reopens.

Positioning

• Tategyoku (建玉) — open interest. Contracts still outstanding, as opposed to volume, which counts activity.
• Wall — a strike carrying unusually heavy open interest, often treated as a reference level. Restrict candidates to strikes near spot: the largest open interest in the chain is frequently a deep out-of-the-money legacy position. Why
• Teguchi (手口) — trading-participant data. JPX publishes daily volume and weekly open interest by named firm, with no US equivalent. How to read it
• COT — the CFTC's Commitments of Traders report, covering CME-listed Nikkei futures. Anonymous categories, weekly, useful alongside the JPX participant data.

Volatility and flow

• Nikkei VI — Japan's implied volatility index, the local equivalent of the VIX.
• Put/call ratio — put volume divided by call volume. For Nikkei large contracts the measured average is 1.57, so 1.0 is not neutral. Full explanation
• Gamma exposure (GEX) — an estimate of how much dealer hedging amplifies or dampens index moves, expressed per 1% move. Depends on an unpublished assumption about dealer positioning. Full explanation
• Implied volatility by strike — published by JPX in the daily settlement file, which is what makes gamma estimation possible from free data alone.

Data sources used on this site

• JPX — open interest by strike, put and call volume, participant volume and positions, daily settlement prices including per-strike implied volatility
• CFTC — Commitments of Traders, weekly
• CBOE — put/call ratios and SPX option chains
• FRED — rates, credit spreads and inflation expectations

All are public. We publish aggregates and estimates rather than redistributing raw exchange data.

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