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Jul 22, 2013

Eurex

Eurex launches options on French government bond futures

With effect from 10 September, the international derivatives market Eurex Exchange will launch options on futures that are based on notional long-term bonds issued by the French Republic (“Obligations Assimilables du Trésor” – OAT) with a notional coupon of 6 percent and a remaining maturity of 8.5 to 10.5 years. The minimum price change (tick size) is measured in points and, as with the Bund options, equals 0.01, corresponding to a tick value of 10 euros. Trading hours are from 8 a.m. to 5.15 p.m. CET.

With increased trading volumes in futures contracts on notional long-term bonds issued by the French Republic (OAT futures), both buy side and sell side firms have signalled demand for options on OAT futures. More than 48,000 futures contracts were traded on average per day in the first half of 2013, compared with 7,500 contracts in the previous year.

Eurex Exchange will offer a market making programme in order to provide sufficient liquidity right from the launch. Various trading participants have already indicated their interest in market making.

The futures contract on notional long-term bonds issued by the French Republic was introduced in April 2012. The option on Euro-OAT Futures complements the existing offering of benchmark futures and options on German government bonds (Bund, Bobl and Schatz futures) as well as short, medium and long-term futures on Italian government bonds (Euro-BTP Futures), which entered the market between 2009 and 2011.

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