09 Jun 2022


Volatility Derivatives: EURO STOXX 50® Variance Futures – change in contract specifications

Eurex Circular 060/22 Volatility Derivatives: EURO STOXX 50® Variance Futures – change in contract specifications

1.  Introduction

The Management Board of Eurex Deutschland decided, effective 27 June 2022, to change the contract specifications of EURO STOXX 50® Variance Futures (EVAR). Eurex will also resume trading in the product on 27 June 2022.

The product will change from “Trade at Index Close” (TAIC) to “Trade at Market” (TAM) for transactions concluded in the order book and transactions that are entered via the T7 Trade Entry Services (TES) (off-book transactions).

As a result, PRELIMINARY futures prices are no longer calculated. Instead, Variance futures transactions are immediately converted into FINAL futures prices and can be hence booked as such in real time.

The change will streamline the handling of the contract in clients’ back-offices. The reconciliation of the conversion from volatility strikes into Variance futures prices will also become easier as some conversion parameters will be removed or set to constant values.

The changes will provide clients easy access to trading listed Variance on the EURO STOXX 50® index.

For implementation of the changes, the Contract Specifications for Futures Products and Options Products at Eurex Deutschland (hereafter: Contract Specifications) will be amended with effect from 27 June 2022, as detailed in the Attachment.

This circular contains all information on the changes and the amended sections of the relevant Rules and Regulations of Eurex Deutschland.

Production start: 27 June 2022

2.  Required action

There is no action required for the participants.

3.  Details 

In order to replicate the payoff profile of OTC Variance Swaps that “strike” on the closing price of the underlying index, Variance Futures transactions were converted intraday from “volatility strikes” into PRELIMINARY futures prices and from “Notional Vega” to a quantity in Variance futures. The futures prices were updated at the end of the day with the price information of the EURO STOXX 50® index close and booked again at FINAL futures prices.

This “double booking” process is no longer required.

The “realized variance” is the conversion parameter that needed the update with the end-of-day closing price of the EURO STOXX 50® index to produce the FINAL futures price. With the migration to “Trade at Market” (TAM) the realized variance will now be updated:

  • for order book transactions by the last available price of the EURO STOXX 50® index that is available to the T7 trading system;
  • for off-book transactions by the user defined underlying price that is entered into the TES interface.

In both cases, the underlying price that was used to update the realized variance is reported in the real time broadcasts and the end-of-day trade reports.

At the end of the day, the realized variance is updated by the closing price of the EURO STOXX 50® index to calculate the daily settlement price. This closing price will then go into the record of all daily index closing prices that are used to calculate the realized variance on final settlement day.

The underlying prices that are used intraday will not create additional variance observations.

In addition to the calculation of the realized variance, further simplifications are made to the contract:

  • The conversion factor “Discount Factor” is no longer used.
  • The conversion factor “Accumulated Return on Modified Variation Margin (ARMVM)” is no longer used.
  • The conversion factor “Standard Strike” is set to the constant value of 400 across all expiries.

For the detailed amendments to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (Contract Specifications), please see the Attachment.

The full version of the updated Contract Specifications will be published on the Eurex website www.eurex.com as of start of trading under:

Rules & Regs > Eurex Rules & Regulations > 03. Contract Specifications


  • Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland

Further information


All Trading Participants of Eurex Deutschland and Vendors

Target groups:

Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination

Related circular:

Eurex Circular 016/22





Authorized by:

Randolf Roth

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