Key Benefits
- Exposure to the difference between implied versus realized volatility
- Create fungibility with futurization
- Allow users to expand their equity portfolio hedging strategies
- Give firms greater price transparency through a centralized order book
- Mitigate risk with Eurex Clearing as the central counterparty
- Expanded functionality and minimal latency on our leading T7 trading architecture
Contract Specifications
Clearing
- The EURO STOXX 50® index close is required for the correct conversion from volatility to a futures price. For the required futures price update, the cancel/ reboot process was developed
- Intraday, Eurex Exchange converts order book trades from vega to futures at a preliminary futures price
- At end of day, Eurex Clearing automatically cancels preliminary trades and replaces them with trades based on the original vega notional and volatility strikes, but with a futures price that considers the EURO STOXX 50® close in its realized variance.
- Block trades and other transactions are entered at their final futures price. In order to prevent clearing of preliminary trades, the clearing functionalities are available from 18:30 CET. At this point, the cancel/rebook process is finished and clients have their positions at the final futures prices.
