14 Jun 2022

Eurex

Equity Index Derivatives: Introduction on Inter Product Spreads between futures on the EURO STOXX 50® and Quanto Futures on the EURO STOXX 50® (USD)

Eurex Circular 063/22 Equity Index Derivatives: Introduction on Inter Product Spreads between futures on the EURO STOXX 50® and Quanto Futures on the EURO STOXX 50® (USD)

1.  Introduction

The Management Board of Eurex Deutschland decided, effective 20 June 2022, to make Inter Product Spreads (IPS) available between

  • futures on the EURO STOXX 50® index (FESX)

and 

  • Quanto futures on the EURO STOXX 50® index (FESQ) 

The Quanto futures cash settle in US dollar against the final settlement price of the EURO STOXX 50® index.

In order to promote the trading activity in the new Inter Product Spread, the Executive Board of Eurex Clearing AG has decided, effective 20 June 2022, to offer a fee holiday on transactions in Quanto futures on the EURO STOXX 50® index (FESQ) until 31 December 2022.

Simulation: The Inter Product Spreads are already available in Simulation.

Production start: 20 June 2022

2.  Required action

No particular action is required.

3.  Details of the initiative

The Inter Product Spread (IPS) between the two futures contracts enables market participants to buy a contract in one futures instrument and simultaneously sell one contract in the other futures instrument that is part of the IPS. Only futures instruments of the same maturity are part of an IPS. The IPS between EURO STOXX 50® Index (FESX) and Quanto-Futures on EURO STOXX 50® Index (FESQ) trade in a separate order book.

The buyer of the IPS between futures on EURO STOXX 50® index (FESX) and Quanto futures on EURO STOXX 50® index (FESQ) purchases one contract in FESQ and sells one contract in FESX.

The IPS price is quoted in index points and will be added to the last price in FESX:

Leg price FESQ = Last price of FESX plus traded IPS price

Effective 20 June 2022, Eurex will make available IPS pairs in all maturities.
 

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:

Derivatives Trading Operations, tel. +49-69-211-1 12 10, eurextrading@eurex.com

Web:

www.eurex.com

Authorized by:

Randolf Roth


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