Contract Specifications
Variance Futures replicate the pay-off profile of a Variance Swap using a daily margined futures contract. Instead of a final settlement payment at the end of the life time the pay-off profile of the Variance Swap is generated as the sum of all variation margin payments throughout the holding period of the Variance Futures contract. Variance Futures are traded in a quantity of notional Vega, which represents a risk amount that is expressed in euro and at prices of volatility. Volatility is the annualised average price fluctuation of the EURO STOXX 50® Index that is expected until the maturity of the contract month. Volatility is expressed in percentage points.
Underlying
The future average price fluctuation (variance) of the EURO STOXX 50® Index.
Contract value
EUR 1 per Variance Futures point.
Settlement
Cash settlement, payable on the first exchange day following the final settlement day.
Price calculation and minimum price change
The futures price is calculated in Variance Futures points with four decimal places. The minimum price change is 0.0001 points, equivalent to a value of EUR 0.0001.
Trading and order maintenance
Variance Futures are traded on-exchange in terms of notional Vega at volatility. Transactions via the Block Trade Service are entered in Variance Futures contracts at final Variance Futures prices.
The minimum order size is 1 notional Vega, the minimum price change is 0.05 percentage points in volatility.
Upon matching notional Vega is converted into Variance Futures contracts and rounded to the nearest integer, at least to one futures. The volatility is converted into Variance Futures prices as well.
The corresponding conversion formulas and parameters are published here.
Contract months
Up to 24 months: The three nearest successive calendar months, the three following quarterly months of the March, June, September and December cycle, and the two following semi-annual months of the June and December cycle thereafter.
Last trading day and final settlement day
Last trading day is the exchange day preceding the final settlement day. Final settlement day is the third Friday of each maturity month if this is an exchange day; otherwise the exchange day immediately preceding that day. Close of trading in the maturing futures on the last trading day is at 17:30 CET. There is no trading on the final settlement day of each maturity month.
Daily settlement price
The daily settlement price is determined through the conversion of volatility into the Variance Futures price according to different formulae.
The corresponding conversion formulas and parameters are published here.
Final settlement price
The final settlement price is established by Eurex Exchange on the final settlement day. The final realized variance is based on the average of the EURO STOXX 50® Index calculations between 11:50 CET until 12:00 CET.
Position limit
A Clearing Member may not own or control contracts exceeding EUR 10 million Vega notional. The position limit holds for all contract months combined. It is computed by summing up the absolute values of net positions for all contract months, i.e. Clearing Members may not recognize offsets across maturities.
Block Trades
Admitted to the Eurex Block Trade Service with a Minimum Block Trade Size of 1 contract.
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 | 08:50 | 17:30 | 18:30 | 22:00 |
| Pre-Trading | Trading | Post-Trading | |||
|---|---|---|---|---|---|
| Full | Late1 | Late2 | Restricted | ||
| 07:30 | 08:50 | 17:30 |
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
Last trading day for VSTOXX® Derivatives
Last trading day for EURO STOXX 50® Variance Futures
Final settlement day for EURO STOXX 50® Variance Futures (no trading)
Last trading day for VSTOXX® Derivatives
Last trading day for EURO STOXX 50® Variance Futures
Final settlement day for EURO STOXX 50® Variance Futures (no trading)
Last trading day for EURO STOXX 50® Variance Futures
Final settlement day for EURO STOXX 50® Variance Futures (no trading)
Last trading day for VSTOXX® Derivatives
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 VSTOXX® Derivatives
Last trading day for EURO STOXX 50® Variance Futures
Final settlement day for EURO STOXX 50® Variance Futures (no trading)
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
Last trading day for EURO STOXX 50® Variance Futures
Final settlement day for EURO STOXX 50® Variance Futures (no trading)
Last trading day for VSTOXX® Derivatives
Last trading day for VSTOXX® Derivatives
Last trading day for EURO STOXX 50® Variance Futures
Final settlement day for EURO STOXX 50® Variance Futures (no trading)
Last trading day for VSTOXX® Derivatives
Last trading day for EURO STOXX 50® Variance Futures
Final settlement day for EURO STOXX 50® Variance Futures (no trading)
Last trading day for EURO STOXX 50® Variance Futures
Final settlement day for EURO STOXX 50® Variance Futures (no trading)
Last trading day for VSTOXX® Derivatives
Last trading day for VSTOXX® Derivatives
Last trading day for EURO STOXX 50® Variance Futures
Final settlement day for EURO STOXX 50® Variance Futures (no trading)
Last trading day for VSTOXX® Derivatives
Last trading day for EURO STOXX 50® Variance Futures
Final settlement day for EURO STOXX 50® Variance Futures (no trading)
Last trading day for EURO STOXX 50® Variance Futures
Final settlement day for EURO STOXX 50® Variance Futures (no trading)
Last trading day for VSTOXX® Derivatives
Last trading day for VSTOXX® Derivatives
Last trading day for EURO STOXX 50® Variance Futures
Final settlement day for EURO STOXX 50® Variance Futures (no trading)
Eurex is closed for trading in all derivatives
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
Eurex is closed for trading in all derivatives
| Fee Type | Fee |
|---|---|
| Exchange transactions: Standard fees (A-accounts) | EUR 0.30 per contract |
| Exchange transactions: Standard fees (M- and P-accounts) | EUR 0.20 per contract |
| TES transactions: Standard fees (A-accounts) | EUR 0.45 per contract |
| TES transactions: Standard fees (M- and P-accounts) | EUR 0.30 per contract |
| Position Closing Adjustments (A-accounts) | EUR 0.60 per contract |
| Position Closing Adjustments (M- and P-accounts) | EUR 0.40 per contract |
| Cash settlement (A-accounts) | EUR 0.30 per contract |
| Cash settlement (M- and P-accounts) | EUR 0.20 per contract |
| Position transfer with cash transfer | EUR 7.50 per transaction |
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.
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