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Sep 23, 2019

Eurex

Options on VSTOXX® Futures: Reduction of the smallest price change (tick)

Eurex Circular 092/19

1.    Introduction

The Management Board of Eurex Deutschland decided to reduce the smallest price change (tick) for options on VSTOXX® Futures (OVS2) from 0.05 index points to 0.025 index points. 

The change will be effective 30 September 2019.
 
2.    Required action

Please ensure that your trading and clearing infrastructure accommodate the change.

3.    Details of the initiative

Effective 30 September 2019, the smallest price change (tick) in options on VSTOXX® Futures will be changed from 0.05 to 0.025 index points. Accordingly, the value that represents a tick will be reduced from EUR 5 to EUR 2.50 and the number of decimals will increase from two to three.

Both on-book and off-book transactions will be affected.

4.    Technical distribution of the product and instrument configuration

The new price granularity is valid for all instruments and will be distributed via the “instrument snapshot” in RDI (Reference Data Interface). The respective instrument attributes are: 

  • InstrumentPricePrecision:     3
  • MinPriceIncrement:     0.025
  • MinPriceIncrementAmount:     1

    
The valid limit order price granularity for different instrument types and trade types can be found in the “product snapshot” in the field “TickRules”. 

Attachment: 

  • Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
Recipients:All Trading Participants of Eurex Deutschland and Vendors
Target groups:Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination
Contact:Product R&D Equity and Index, Sascha Semroch, T +49-69-211-1 50 78, sascha.semroch@eurexchange.com
Web:www.eurexchange.com
Authorized by:Michael Peters

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