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Contract Specifications
Contract standards
Three-Month EURIBOR Futures.
Contract size
One Three-Month EURIBOR Futures contract.
Settlement
The exercise of an One-Year (Two-, Three-, Four-) Mid Curve Option on a Three-Month EURIBOR Futures contract results in the creation of a corresponding position in the Three-Month EURIBOR Futures for the option buyer as well as the seller to whom the exercise is assigned, whereby a Three-Month EURIBOR Futures with a maturity of one (two, three, four) year(s) after expiration of the One-Year (Two-, Three-, Four-) Mid Curve Option on Three-Month EURIBOR Futures will be delivered.
Monthly expirations in all Mid Curve Options will be delivered with a Three-Month EURIBOR Futures contract of the following quarterly maturity of the respective year after the expiration of the options contract.
The position is established after the Post-Trading Full Period of the exercise day, and is based on the agreed exercise price.
Price quotation and minimum price change
The price quotation is in points, with three decimal places. The minimum price change is 0.005 points, equivalent to a value of EUR 12.50.
Contract months
Up to 12 months:The six nearest calendar months as well as the two following quarterly months of the March, June, September and December cycle.
Last trading day
The Friday prior to the third Wednesday of the respective expiration month, provided that on that day the European Money Markets Institute (EMMI) has determined the EURIBOR reference interest rate pertaining to three-month euro term deposits; otherwise, the exchange day immediately preceding that day. Close of trading in these expiring option series on the last trading day is at 17:15 CET.
Daily settlement price
The daily settlement price is established by Eurex. The daily settlement prices for all Mid Curve Options on Three-Month EURIBOR Futures are determined trough the binomial model according to Cox/Ross/Rubinstein.
Exercise
American-style; an option can be exercised up to the end of the Post-Trading Full Period (20:00 CET) on any exchange day during the lifetime of the option, and on the last trading day until 18:00 CET.
Exercise prices
The expiration months have exercise prices with intervals of 0.125 points.
Number of exercise prices
Upon the admission of the options, at least 25 exercise prices shall be made available for each term for each call and put, such that twelve exercise prices are in-the-money, one is at-the-money and twelve are out-of-the-money.
Option premium
The premium is settled using the futures-style method.
All Mid Curve Options on Three-Month EURIBOR Futures are available for trading in the U.S.
Block Trades
Admitted to the Eurex Block Trade Service with a Minimum Block Trade Size of 50 contracts.
Market-Making Parameter
All quotation parameters at a glance
Mistrade Parameter
This file provides an overview of mistrade ranges for Options and Futures including information on their behavior close to expiration and in stressed markets.
Crossing Parameters
(section 2.6 Eurex Trading Conditions)
(1) Orders and quotes relating to the same instrument or combined instrument may, in case they could immediately be executed against each other, neither be entered knowingly by an Exchange Participant (a cross trade) nor pursuant to a prior understanding by two different Exchange Participants (a pre-arranged trade), unless the conditions according to Paragraph 3 have been fulfilled. The same shall apply for the entry of orders as part of a quote.
(2) An Exchange Participant may submit a description of his internal and external links to the EDP system of Eurex Deutschland to the Market Surveillance Office of Eurex Deutschland with a view to a decision on whether the Exchange Participant acted knowingly within the meaning of Paragraph 1. The details of the specifications of the description of the IT linkage pursuant to Sentence 1 shall be determined by the Surveillance Office of Eurex Deutschland in agreement with the Management Board of Eurex Deutschland.
(3) A cross trade or a pre-arranged trade is admissible if a participant in a cross-trade or a pre-arranged trade, prior to entering his order or quote into the EDP system of Eurex Deutschland, announces his intention to execute a corresponding number of contracts as cross-trades or pre-arranged trades in the order book (“cross request”). The order or quote giving rise to the cross trade or pre-arranged trade must be entered one second at the earliest and 61 seconds at the latest with regard to Money Market Futures contracts, Fixed Income Futures contracts, options on Money Market Futures contracts and options on Fixed Income Futures contracts, respectively 31 seconds at the latest with regard to all other futures and option contracts after having entered the cross request. The purchasing Exchange Participant shall bear the responsibility for compliance with the content of the cross request entry. Entering a cross request without subsequently entering the respective order or quote is not admissible.
(4) Paragraphs 1 and 3 shall not apply to transactions consummated during the netting process in an auction (Number 1.4 Paragraphs 2 and Paragraph 3).
(5) Paragraph 1 shall apply mutatis mutandis to other behaviour constituting evasion of this regulation.
| Pre-Trading | Trading | Post-Trading | |||
|---|---|---|---|---|---|
| Full | Late1 | Late2 | Restricted | ||
| 07:30 | 08:00 | 19:00 | 19:00 | 20:00 |
| Pre-Trading | Trading | Post-Trading | |||
|---|---|---|---|---|---|
| Full | Late1 | Late2 | Restricted | ||
| 07:30 | 08:00 | 17:15 | 18:00 |
Last Trading Day for Options on Three-Month EURIBOR Futures
Delivery Day for Options on Three-Month EURIBOR Futures
Last Trading Day for Three-Month EURIBOR Futures
Last Trading Day for Options on Three-Month EURIBOR Futures
Last Trading Day for Three-Month EURIBOR Futures
Delivery Day for Options on Three-Month EURIBOR Futures
Last Trading Day for Options on Three-Month EURIBOR Futures (OEM1-4)
Delivery Day for Options on Three-Month EURIBOR Futures (standard)
Last Trading Day for Options on Three-Month EURIBOR Futures (standard)
Last Trading Day for Three-Month EURIBOR Futures
Delivery Day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last Trading Day for 3M SARON® Futures and Three-Month Euro STR Futures
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
Last Trading Day for Options on Three-Month EURIBOR Futures
Last Trading Day for Three-Month EURIBOR Futures
Delivery Day for Options on Three-Month EURIBOR Futures
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
Last Trading Day for options on Three-Month EURIBOR Futures
Delivery Day for Options on Three-Month EURIBOR Futures
Last Trading Day for Three-Month EURIBOR Futures
Last Trading Day for Options on Three-Month EURIBOR Futures (OEM1-4)
Delivery Day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last Trading Day for Three-Month EURIBOR Futures
Last Trading Day for Options on Three-Month EURIBOR Futures (standard)
Last Trading Day for 3M SARON® Futures and Three-Month Euro STR Futures
Delivery Day for Options on Three-Month EURIBOR Futures (standard)
Last Trading Day for Options on Three-Month EURIBOR Futures
Last Trading Day for Three-Month EURIBOR Futures
Delivery Day for Options on Three-Month EURIBOR Futures
Last Trading Day for Options on Three-Month EURIBOR Futures
Last Trading Day for Three-Month EURIBOR Futures
Delivery Day for Options on Three-Month EURIBOR Futures
Last Trading Day for Options on Three-Month EURIBOR Futures (OEU3)
Last Trading Day for Three-Month EURIBOR Futures
Last Trading Day for Options on Three-Month EURIBOR Futures (standard)
Delivery Day for Options on Three-Month EURIBOR Futures (OEU3)
Delivery Day for Options on Three-Month EURIBOR Futures (standard)
Last Trading Day for 3M SARON® Futures and Three-Month Euro STR Futures
Last Trading Day for Options on Three-Month EURIBOR Futures
Last Trading Day for Three-Month EURIBOR Futures
Delivery Day for Options on Three-Month EURIBOR Futures
Last Trading Day for Options on Three-Month EURIBOR Futures
Delivery Day for Options on Three-Month EURIBOR Futures
Last Trading Day for Three-Month EURIBOR Futures
Last Trading Day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last Trading Day for Three-Month EURIBOR Futures
Delivery Day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last Trading Day for Options on Three-Month EURIBOR Futures (standard)
Delivery Day for Options on Three-Month EURIBOR Futures (standard)
Last Trading Day for 3M SARON® Futures and Three-Month Euro STR Futures
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
| Fee Type | Fee |
|---|---|
| Exchange transactions: Standard fees (A-accounts) | EUR 0.25 per contract |
| Exchange transactions: Standard fees (M- and P-accounts) | EUR 0.20 per contract |
| TES transactions / Eurex EnLight: Standard fees (A-accounts) | EUR 0.25 per contract |
| TES transactions / Eurex EnLight: Standard fees (M- and P-accounts) | EUR 0.20 per contract |
| Position Closing Adjustments (A-accounts) | EUR 0.50 per contract |
| Position Closing Adjustments (M- and P-accounts) | EUR 0.40 per contract |
| Exercise of options (A-accounts) | EUR 0.25 per contract |
| Exercise of options (M- and P-accounts) | EUR 0.20 per contract |
| Assignment of options (A-accounts) | EUR 0.25 per contract |
| Assignment of options (M- and P-accounts) | EUR 0.20 per contract |
| Position transfer with cash transfer | EUR 7.50 per transaction |
Market Status ⓘ
XEUR
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