15 Apr 2024


Index Total Return Futures: Introduction of Delta Neutral TAM trades in T7 Entry Services

Eurex Circular 039/24 Index Total Return Futures: Introduction of Delta Neutral TAM trades in T7 Entry Services

1. Introduction

The Management Board of Eurex Deutschland took the decisions with effect from 22 April 2024:

  • To introduce a new T7 Entry Services (TES) type, Delta Neutral TAM (Trade at Market) trades (“Delta TAM") for Index Total Return Futures (TRF), to support delta neutral strategies entered into the T7 trading system via T7 Entry Services, 
  • To amend the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (“Contract Specifications”) as outlined in the Attachment.

This circular contains all information on the introduction of the Delta TAM trades and the updated sections of the relevant Rules and Regulations of Eurex Deutschland.

Simulation: The new functionality for Delta TAM trades is already available for testing in the simulation environment.

Start of Production: 22 April 2024

2. Action required

Trading Participants interested in trade type Delta TAM are recommended to analyze the potential implementation impact in their internal systems due to the introduction of the new T7 TES functionality.

3.  Details of the initiative

A. Overview

The objective of the new T7 Entry Services (TES) functionality is to support market participants entering delta hedged Index Total Return Futures (TRFs) in conjunction with the corresponding Index Futures via a new TES type (Delta TAM) in the Eurex T7 trading system.

Today, delta neutral trades with Index TRFs are executed as two separate TES trades with opposite market sides, usually as a front-month of regular Index Futures contract traded in conjunction with a longer dated expiry of the related Index TRF contract (for example a Buy EURO STOXX 50® Index Futures front month – e.g. FESX JUN24 and Sell EURO STOXX 50® Index TRF with a longer dated expiry – e.g. TESX DEC26).

The Index TRF contract component (e.g. TESX DEC26) is executed as a Trade-at-Market (TAM) trade with the market participant entering a custom index “strike” which is determined based on the:

  • Executed price level of the regular Index Futures contract hedge (e.g. FESX JUN24);
  • Pre-agreed Index Basis (e.g. difference between FESX JUN24 and EURO STOXX 50® Index). 

The new functionality Delta TAM will facilitate crossing of the two related products as a package which will ensure the execution of both components at the same time. The main features of the new functionality are:

  • New TES type will be implemented in T7 trading system - “DeltaTAM” 
  • Eligible product combinations: Buy (Sell) Index Futures versus Sell (Buy) Index TRF based on the same underlying index
  • Index Basis component will be included in T7 trading system to facilitate the negotiated terms and determination of the TRF Custom index “strike” level for the TAM trade
  • Volume ratio 1:1: the volume expressed in number of contracts is equal for both components of the Delta TAM trades (i.e. regular Index Futures and TRF). The minimum size of the trade must comply with the minimum block trade size (MBTS) of the Index TRF contract.

When entering a Delta TAM trade, the trader needs to enter a valid combination of related instruments:


Minimum Number of Contracts Traded

Index Total Return Futures (“TRF”)

Index Futures Contract

Index Total Return Futures Contracts on the EURO STOXX® 50 Index (TESX)

Futures Contracts on the EURO STOXX 50® Index (FESX)


EURO STOXX® Banks Index (TESB)

Futures Contracts on the EURO STOXX® Banks Index (FESB)


Index Total Return Futures Contracts on the EURO STOXX® Select Dividend 30 Index (TEDV)

Futures Contracts on the EURO STOXX® Select Dividend 30 Index (FEDV)


Index Total Return Futures Contracts on the FTSE® 100 (TTUK)

Futures Contracts on the FTSE® 100 (FTUK)


The Delta TAM strategies will be executed as follows:

BUY DeltaTAM = Buy Index TRF + Sell Index Futures Contract
SELL DeltaTAM = Sell Index TRF + Buy Index Futures Contract

The trader needs to enter the following information for Delta TAM strategies:

  • The number of Index Futures Contracts intended to be traded may not be below the defined MBTS level for the related Index TRF 
  • TRF Spread in basis points for the Index TRF Contract
  • Price in index points for the Index Futures Contract
  • Basis in index points, defined as:

Basis in index points = Price of Index Futures Contract – Custom Index Level for Index TRF Contract

  • Optionally, the custom strike index level for the Index TRF 

Delta TAM strategies can be traded both bilaterally and multilaterally. Delta TAM TES type is only relevant for trading via T7 trading system - after the trade execution, the Delta TAM trade will be split by its leg components into two single trades when routed to the C7 clearing system. 

B. Contract Specifications and product parameters

Please refer to the Attachment for the amendments to the Contract Specifications.

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

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

C. Eurex T7 Entry Services (TES)

The Index Futures Contracts and Index TRF Contracts in scope for the Delta TAM trades are already admitted to the Eurex T7 Entry Services (TES). 

An overview of the Eurex T7 Entry Services available for the products as well as detailed information on single product basis with regard to availability, possibility of utilization and minimum entry size for the Eurex T7 Entry Services is available on the Eurex website under the link:

Data > Trading files > T7 Entry Service parameters


  • 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


Stuart Heath, Equity & Index Product Design, tel. +44-207-862-72 53,, 
Elena Marchidann, Equity & Index Product Design, tel. +44 20 7862 72 65,


Authorized by:

Randolf Roth

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