--- title: "ESMA Q&A 2304 — Q&A — Q&A on lot sizes and position limits [Answer Published]" shortTitle: "ESMA Q&A 2304 — Q&A — Q&A on lot sizes and position limits [Answer Published]" answer_id: ESMA_QA_2304 topic: "Position limits" status: "Answer Published" type: qa instrument_type: qa authority: ESMA binding: false binding_character: non_binding legal_status: in_force regulation: "MiFID II" mifid_level3: true mica_level2: false legal_basis: "MiFID II" date: 11 October 2024 source_link: https://www.esma.europa.eu/publications-data/questions-answers/2304 lifecycle: "Answer Published" text_version: "ESMA Q&A register, 11 October 2024" source_url: "https://www.esma.europa.eu/publications-data/questions-answers/2304" check_status: matched verified: true last_checked: 2026-10-26 checked_against: "the ESMA publication" source: prepared_by: "ESMA" published_by: "ESMA" published_in: "ESMA Q&A tool" evidence: prepared_by: "ESMA Answer" locator: "ESMA Q&A entry ESMA_QA_2304: field 'ESMA Answer', no 'Answer provided by' line" document_type: "qa_answer" legal_nature: "not_legislation" addressees: "not stated in the document" dates: published_on: "2024-10-11" question_submitted_on: "2024-10-11" locators: published_on: "ESMA Q&A Excel export ESMA_QA_2304, column 'Esma responses', date line" question_submitted_on: "ESMA Q&A Excel export ESMA_QA_2304, column 'Date of submission'" lifecycle_label: "Answer Published" --- **Answer by ESMA, published in its Q&A tool · not legislation · published 11 Oct 2024 [Answer Published]** *Answer Published · ESMA Q&A register, 11 October 2024 · Checked against the ESMA publication on 26 Oct 2026 · [Official source](https://www.esma.europa.eu/publications-data/questions-answers/2304)* | | | |---|---| | **Full title** | ESMA Q&A 2304 — Q&A — Q&A on lot sizes and position limits \[Answer Published\] | | **Prepared by** | ESMA | | **Published by** | ESMA, in the ESMA Q&A tool | | **Reference** | ESMA_QA_2304 | | **Document type** | Q&A | | **Legal nature** | Not legislation | | **Addressees** | Not stated in the document | | **Dates** | Published 11 October 2024; question submitted 11 October 2024 | | **Legal basis** | MiFID II | | **Related instruments** | None recorded | | **Text on this page** | Word for word — the full text of the ESMA publication | **Q&A on lot sizes and position limits** ### Question In the gas derivatives market, lot sizes defined in the contract specification by trading venues do not represent a standard quantity of the underlying across all market areas, for the same maturity. How should the open interest in lots be calculated for gas derivatives, for the application of position limits in Article 57(1) of MiFID II? *** ### Answer In most European gas market areas, the unit of trading is MWh/h. However, in some market areas the market trading convention is different. For example, the unit of trading is MWh/day in French PEG and Spanish PVB and Ktherms/day in UK NBP. Those differences are reflected in the unit of trading of associated derivatives contracts and their lot sizes: one lot of PEG or PVB gas derivative contract is 24 times smaller than one lot of the TTF gas derivative contact, for the same maturity. Taking the example of a monthly contract, one lot of TTF represents 720MWh while one lot of PEG and PVB represent 30MWh. Gas derivatives are traded on EU trading venues and therefore subject to positions limits where the open interest equals or exceeds 300,000 lots over a one-year period, in accordance with Article 57(1) of MiFID II. Due to the differences in unit of trading explained above, the open interest of contracts with smaller lot sizes may exceed the 300,000 lot threshold even though, when converted to MWh, their open interest is much smaller compared to contracts with larger lot sizes. In other words, those contracts may exceed the threshold due to historical market conventions rather than actual liquidity. This goes against the original intention of the position limit regime, which aims to set position limits only on contracts with significant liquidity. Therefore, it is necessary to ensure a consistent calculation of open interest in gas derivatives contracts to assess the 300 000 lot threshold and set position limits for critical or significant commodity derivatives under Articles 11(1) and 13 of RTS 21a. For such position limit assessment, the open interest should be calculated “equivalent lot”, where one equivalent lot of all gas derivative contracts represent the same quantity of MWh as the benchmark TTF derivative contract for the same maturity. The conversion from lots to equivalent lots, based on contracts existing in August 2024, is provided below for illustration purposes: Hub Unit of trading Lot size set by venues Conversion of lot size in MWh Equivalent lot for the application of position limits THE, PSV, TTF, CEGH VTP, ETF, ZTP, CZ VTP, MGP MWh/h 1 lot = 1MW Daily contract: 1 lot = 1MW\*24 hours = 24MWh Monthly contract: 1 lot = 1MW\*24hours\*30days = 720MWh 1 equivalent lot = 1 lot (no conversion) \[Monthly contract\] 1 equivalent lot = 720MWh PEG, PVB MWh/d 1 lot = Daily contract: 1 lot = \* 24 hours = 1MWh Monthly contract: 1 lot = \*30days = 30MWh 1 equivalent lot = = 24 lots \[Monthly contract\] 1 equivalent lot = 24 lots = 24 \* 30MWh = 720MWh NBP Ktherms/d 1 lot =1,000therms/d 1 therm ~ 29.31KWh Daily contract: 1 lot = 1000terms/d\*1day~29.31MWh Monthly contract: 1 lot = 1000terms/d\*30days ~ 879.21MWh 1 equivalent lot = ~ 0.82 lot \[Monthly contract\] 1 equivalent lot = 0.82 lots = 0.82 \* 879.21MWh ~720MWh LNG JKM MMBtu 1 lot = 10,000MMBtu Monthly contract: 1 lot = 10,000MMBtu = 2,930.710701722MWh 1 equivalent lot = ~ 0.25 lots \[Monthly contract\] 1 equivalent lot = 0.25 lots = 0.25 \* 2,930MWh ~ 720MWh *** **Source:** [ESMA original document](https://www.esma.europa.eu/publications-data/questions-answers/2304)