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Dec 19, 2016

Eurex

Introduction of customisable option multiplier for options volatility strategies

After the Trade Entry Service (TES) functionality has been introduced with Release 4.0, T7 provides two different possibilities for delta-neutral hedging of options trades:


• Futures vola trades referring to a plain vanilla option trade or to a leg trade of a standard or non-standard options strategy (two transactions approach),
• Options volatility strategies combining plain vanilla options or standard options strategies on the one side with an underlying futures leg on the other side (one transaction approach).


According to the T7 4.0 Final Release Notes (§ 2.1.5 TES Types and TES Type Eligibility), on-exchange options trades are not allowed to be used as a reference for a vola trade anymore. In order to continue supporting delta-hedging for on-exchange options trades, the Management Board of Eurex Deutschland and the Executive Board of Eurex Zürich AG decided to introduce customisable option multipliers for options volatility strategies effective 16 January 2017.


The customisable multiplier is already available in the T7 simulation environment.

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