25 May 2021

Eurex

Equity Index Derivatives: Passive Liquidity Protection: Stepwise rollout into index options in 2021 and 2022

Eurex Circular 045/21 Equity Index Derivatives: Passive Liquidity Protection: Stepwise rollout into index options in 2021 and 2022


1.  Introduction

With this circular, we would like to inform you about the planned rollout of the Passive Liquidity Protection (PLP) into further Eurex index option products which will start with the first step on 31 May 2021 with the FTSE 100 index option (OTUK). The deferral time for OTUK will be set to three milliseconds. PLP will be available in the Eurex simulation for OTUK with production-like deferral times starting 26 May 2021.

Simulation start: 26 May 2021

Production start: 31 May 2021

In addition, Eurex is planning to activate PLP in further index options in September 2021 and February 2022. Exact production start dates and deferral times for the rollout will be communicated in a separate Eurex circular within the next weeks.

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2.  Action required

There is no particular action required. Participants who are interested in the PLP functionality for the newly supported products should use the Eurex simulation environment for testing as of 26 May 2021. Already today, the Eurex simulation environment allows testing of PLP in various products (e.g. equity options and ODAX).

3.  Details of the initiative

The PLP functionality was initially activated in June 2019 for the German and French equity options. On 24 August 2020, the first index option, i.e. the DAX® index option (ODAX), including its weekly contracts, followed. After encouraging results, Eurex plans the stepwise rollout of the PLP functionality into all index option products starting with FTSE 100 index option (OTUK) on 31 May 2021. The deferral times for OTUK will be set to three milliseconds.

As a second step, PLP will be activated for the following products in September 2021:

  • all index option products, excluding:
    • Eurex Daily Futures on KOSPI 200 Options (OKS2),
    • EURO STOXX 50® index option (OESX)
    • EURO STOXX 50® weekly index options (OES1 to OES4) and
    • EURO STOXX 50® month end index option (OMSX)

In a third step, PLP will be activated for the following products in February 2022:

  • EURO STOXX 50® index option (OESX)
  • EURO STOXX 50® weekly index options (OES1 to OES4) and
  • EURO STOXX 50® month end index option (OMSX)

Exact dates and deferral times for the rollout in September 2021 and February 2022 will be communicated in a separate Eurex circular in the following weeks.

With the activation of PLP, all aggressive order transactions, i.e. order transactions that are executable upon arrival at the matching engine, will be delayed by a segment-specific deferral time before they are able to interact with the order book.

The Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (Contract Specifications) have been amended with effect from 31 May 2021 to incorporate all products where PLP is activated with the respective deferral times according to Eurex circulars 027/19, 042/19, 032/20 and 045/21. Please see the amended sections in the Attachment.

The full version of the updated Contract Specifications will be published on the Eurex website as of production start under:

Rules & Regs > Eurex Rules & Regulations > Contract Specifications

For more information on the PLP functionality as well as impact on Eurex interfaces, please refer to the respective Eurex Functional Reference Guide available on the Eurex website under the following link:

Support > Initiatives & Releases > Archive > T7 Release 8.0

Further information is also available on the dedicated PLP website under this link:

Trade > Eurex PLP


Further information

Recipients:

All Trading Participants of Eurex Deutschland and Vendors

Target groups:

Front Office/Trading

Contact:

client.services@eurex.com 

Related Eurex circular:

032/20

Web:

Support > Initiatives & Releases > Archive > T7 Release 8.0
Trade > Eurex PLP

Authorized by

Randolf Roth


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