A member of
Eurex
1. Introduction
With this circular, we would like to inform you about the planned stepwise activation of Eurex Pre-Trade Risk Limits (PTRL) in Eurex Options products which will start with the first step on 21 August 2023 with the Single Stock Options segment (OSTK). PTRL will be available in the Eurex simulation for all OSTK starting 10 August 2023.
In addition, Eurex is planning to activate PTRL in more Options products in late Q4 2023. Exact production start dates for the remaining activations will be communicated in a separate Eurex circular within the next months.
2. Required action
There is no particular action required. Participants who are interested in using PTRL for the newly supported products should use the Eurex simulation environment for testing as of 10 August 2023.
3. Details
Eurex offers an enhanced calculation for the PTRL consumption for Options. A different aggregation logic for orders and quotes is performed as compared to Futures products to address the different position effect of orders and quotes entered and executed for Options products. The logic follows the implementation already applied for the Market Maker Protection Delta Statistics Definitions. Thus, T7 aggregates orders and quotes based on the trade side (Buy or Sell) in combination with the Options type (Put or Call) differentiation respective to their contribution towards a long or short position.
Additionally, a Quote Weighting Coefficient (QWC) is introduced. The QWC weighs all incoming quotes as well as the accumulated open quantity of all quotes for the Open Long Quantity (i.e. Buy Calls and Sell Puts) and the Open Short Quantity (i.e. Buy Puts and Sell Calls) respectively. QWC will be defined by the Clearing Members and Trading Participants and will be valid for both limits (short and long). The QWC can be configurable by the Participants in the same way as the Netting Coefficient for Future PTRL definitions. Default value for the QWC is 1.0000 which results in a quote consuming PTRL limits according to their entered volumes as long as it is resting in the order book.
Delta-equivalent Future quantities for PTRL for Options is offered to reflect the individual instruments’ appropriate risk contribution. A per-instrument risk weighing will be introduced and applied on each order/quote entry and respective execution based on each option instruments’ delta. For this, each order and quote quantity either resting in the book or executed, will be translated into a futures delta-equivalent quantity by adjusting the Options order volumes by the instrument-specific delta. The theoretical, fixed-day delta of the instrument is already distributed via the T7 reference data.
For more details, please see the respective Eurex T7 11.0 Release Notes on the Eurex website www.eurex.com under the following link:
Support > Initiatives & Releases > T7 Release 11.0 > Overview & Functionality > T7 Release 11.0 Final Functional Technical Release Notes.
Further information
Recipients: | All Trading Participants of Eurex Deutschland and Vendors, Multi-Member System Providers | |
Target groups: | Front Office/Trading, Middle + Backoffice | |
Contact: | client.services@eurex.com | |
Web: | www.eurex.com | |
Authorized by: | Jonas Ullmann |
Market Status ⓘ
XEUR
The market status window is an indication regarding the current technical availability of the trading system. It indicates whether news board messages regarding current technical issues of the trading system have been published or will be published shortly.
Please find further information about incident handling in the Emergency Playbook published on the Eurex webpage under Support --> Emergencies and safeguards. Detailed information about incident communication, market re-opening procedures and best practices for order and trade reconciliation can be found in the chapters 4.2, 4.3 and 4.5, respectively. Concrete information for the respective incident will be published during the incident via newsboard message.
We strongly recommend not to take any decisions based on the indications in the market status window but to always check the production news board for comprehensive information on an incident.
An instant update of the Market Status requires an enabled up-to date Java™ version within the browser.