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SYDNEY (Dow Jones)--The Sydney Futures Exchange, part of ASX Ltd. (ASX.AU), warned late Wednesday that the expiry of the September SPI 200 index futures contract could cause "unexpected levels of price volatility" when the Australian share market opens Thursday.

In a statement, the SFE said circumstances particular to the September contract have led to large futures positions being accumulated.

"Traders have advised that they may seek to reduce their exposures by permitting futures positions to expire and by trading out of physical equities during the opening auction on the day of expiry," it said.

"As a result, SFE wishes to advise traders that the aforementioned market operations have the potential to lead to a much larger level of liquidity being provided in physical equity transactions during Thursday's ASX opening price auction than is usually the case.

"This could lead to unexpected levels of price volatility - traders who are unwilling to accept this price risk may look to exit positions before this," it said.

September futures expire at 0200 GMT.

The S&P/ASX 200 index last traded at 6356.1 points.