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UPDATE:
In the previously published Eurex Circular 102/20 and in deviation from the overall logic of the Equity 01 Product Specific Supplement in Attachment 3, size requirements for five equity options were inconsistent between ESX50 and country packages (Eurex IDs: PPX, DB1, ENL5, AI3A, BSD2). The updated Equity 01 Product Specific Supplement in the Attachment 3 to this circular contains the amended country package size requirements for the five products (marked in yellow) such that they now match the ESX50 package. The rest of the circular remains unchanged.
1. Introduction
The Management Board of Eurex Deutschland took the decision to amend the liquidity classes and quotation requirements for equity options with effect from 1 February 2021.
This circular contains all information on the introduction of the new products and the updated sections of the relevant Rules and Regulations of Eurex Deutschland.
Production start: 1 February 2021
2. Action required
Please note: According to the standard Eurex procedure, quotes below the product-specific required minimum quote size are rejected. Providers should adapt their quotation behaviour accordingly.
3. Details of the initiative
With effect from 1 February 2021, there will be amendments to the liquidity classes of equity options and the associated Larger Size (LBB) and Tighter Spread Building Blocks (TBB). Additionally, quotation requirements such as maturity range and strike price window will be linked to the liquidity class of the individual product. An overview of the changes can be taken from the table in Attachment 1.
Additionally, for equity options, single stock futures and stock tracking futures, a clarification was added regarding quotation requirements in case of specific corporate actions, e.g. stock split. Please refer to the General Supplement (Attachment 2) and the Product Specific Supplements (PSS) to the Liquidity Provider Agreement (Attachments 3-5) for more details.
In the course of January 2021, the full list of products with the respective liquidity classes and quotation requirements will be made available as a single XLS file on the Eurex website www.eurex.com under the following path:
Trade > Market-Making and Liquidity provisioning
After the effective date, please refer to the standard files for liquidity classes and MMPM parameters on the Common Report Engine.
Mistrade ranges
Mistrade ranges for existing products will be adjusted in line with the new quotation requirements and will be published as of start of trading on the Eurex website under the link:
Trade > Markets > Equity > Equity Options
Attachments:
Further information
Recipients: | All Trading Participants of Eurex Deutschland and Vendors | |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination | |
Contact: | Pricing & Market Making, eurex.pricing@eurex.com | |
Web: | www.eurex.com | |
Authorised by: | Michael Peters |
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