Next Generation ETD Contracts

Eurex is aiming to introduce a more flexible set-up of Exchange Traded Derivatives (ETD) products by implementing an enhanced contract identification concept in June 2022 allowing more than one expiration per month on product level (sub-monthly contracts).

New features, changes and improvements: 

  • Integration of Weekly Expiring Instruments on Product Level
  • Volatility Strategies in Single Stock Options
  • Market-on-Close Futures T+X (Basis Trading in Equity Index Futures)

Simulation start: 6 Dec 2021 (limited testing), Jan 2022 (full scope testing)
Production start: end Jun 2022 (grace period until end of Nov 2022) 

Timeline_ETD Contracts eurex

Circulars

Supporting Documents

FAQ

1. What is the difference between Contract key and Contract ID? More importantly, why do we need them?

Contract ID is a numerical ID that define a uniquely contract as well, but not defined by Eurex as a key fields. The following fields are defined as key fields: ProdId, Contract Date, Strike, Version No, Call/Put indicator, Settlement method, Exercise style, and Contract Type.

2. Will Eurex offer sub-monthly contracts for any day of the month? How are they different than flex options?

The sub-monthly contract follows the rules for a standard contract creation based on product settings. Specially, settlement method and exercise style remain the same for all standard contract within a product. Here flexible contracts can differ from a standard contract. Not all products offer flexible contracts for trading.

3. Will there be daily and weekly contracts in Derivative futures as well (e.g. FDAX Jun contract = FDAXM1)?

There are no plans to introduce additional monthly or weekly maturities for the benchmark future. 
Possible monthly or weekly maturities would only be considered based on market demand.

4. Considering that the newly introduced Contract Date field will denote the Last Trading Date irrespective of whether it is daily/weekly/ monthly contract, how is this new field different from the existing Last Trade Date field?

Last trading day equals the contract date.

5. When are the Contract date and the expiration date used?

The contract date is used as a key field to identify a uniquely contract, whereas the expiration date is a non-key. Both fields exist in parallel. Dates can be identical for both fields, but can differ for some contracts. Examples are STIR futures (SARON) and some MSCI futures.

6. Based on the provided information, the ContractKey should be the primary identification of the traded instrument. ContractKey should be used to integrate between trading and clearing when the new identification will be in production (new daily instruments available on trading side). What is the identifier suggested / proposed to be used that will match trading and clearing?

One can either use the functional key fields which are ProdId, Contract Date, Strike, Version No, Call/Put indicator, Settlement method, Exercise style and Contract Type or make use of the numerical non-key field Contract Id. 

7. Will the daily, weekly, and monthly derivative future contracts have varying tick sizes?

No, tick sizes will not change for the existing contracts. Additionally, there will not be such a thing as multiple tick sizes for one contract.

8. Are fixed income futures also affected by this change?

Fixed future income will also be mandatorily identified with YYYY-MM-DD contract information as of the end of March 2022.

9. Will KOSPI futures (which are already daily instruments) be impacted?

KOSPI has a different mechanism, the products don't have daily expiries but rather daily delivery cycles. There won't be a change in KOSPI products.

10. Will Fixed Income Futures get new maturities as well?

New expiries for futures FI are not in scope.

11. Are there any plans for daily OESX options?

Currently, there are no plays for daily OESX options or daily options in general.

12. Will new partitions (partition specific gateways) for new instruments be introduced?

Each derivative product must be assigned to a partition, and all instruments belonging to that product are assigned to the same partition. Currently, it is not planned to introduce new 
partitions. 

13. Could Eurex include ISIN in the new contract identification based on DD/MM/YYYY?

Currently, there are no plans to include the ISIN in the new contract identification. Rather, this information can be found using XXXXXXXXX. 

14. Will the relative date expiry contracts (TODAY, TODAY+1) overlap with the dated contracts (the ones with the expiry date)?

Each contract is characterized by a contract date complementing the already existing expiration date. This also applies to daily expiring futures contracts. Contracts will be displayed on the T7 Trader GUI depending on the contract display instruction. For daily expiring futures contracts, the contract display instruction will be chosen as “relative contract day” meaning that contract created by a daily expiration cycle are indicated with contract date 

  • “TODAY” (or “T0”) expiring on the current business day 
  • “TODAY+1” (or “T1”) expiring on the next business day 
  • “TODAY+2” (or “T2”) expiring on the next business day after next business day 

On the next business day, the daily expiring contract indicated by “TODAY” was indicated by “TODAY+1” the business day before, and the daily expiring contract indicated by “TODAY+1” was indicated by “TODAY+2” the business day before. Assuming that the daily expiring contracts have a lifetime of 3 business days, the contract indicated by “TODAY+2” is newly created on that business day. However, each of the daily expiring contract has a fixed contract and expiration date but it is not displayed because of the chosen contract display instruction. 

15. Will the Contract Key field (Numerical ID) be reusable (i.e. once it is assigned to a particular contract it will not be re-used in future even after expiration of that contract)?

The numerical contract ID concept is used in the same way as the already existing numerical T7 instrument ID concept. It is uniquely mapped to a specific contract / instrument. After its expiration, the corresponding contract ID is consumed and not re-used anymore. 

Readiness Videos

Readiness video series


Items/ Participants Requirements

Changes

Details

Action Item

T7 10.0 (Nov 2021): API, GUI, Report changes

  • New contract attributes will be introduced and available via the T7 reference data interface RDI / RDF with T7 Release 10.0 (as initially planned)
  • Starting from November, Eurex will support both formats (dual contract identification phase)
    current format: MMYYYY and
    new format: DDMMYYYY
  • Contract identification in T7 is already based on numerical ID
  • Trading Participants should take appropriate actions to be able to handle products containing contracts with sub-monthly expirations and to switch to the new contract identification concept based on day-month-year as soon as possible

Simulation Start for T7 (early Dec 2021)

  • New layouts and reports
  • Trading Participants should prepare and make the necessary adjustments with respect to reports, GUIs as well as interface changes

Full Scope Simulation for T7 (end of Jan 2022)

  • Sub-monthly contracts added to the simulation environment
  • Take advantage of the full scope simulation

Production Go-Live (Jun 2022)

  • New contract identification approach available for with releases for T7, C7, Prisma
  • Trading Participants should be prepared to deal with new contract concept based on day-month-year

Launch of Business Initiatives (Jul 2022)

  • Integration of Weekly Options
  • Daily Expiring Single Stock Futures for Options Volatility Strategies
  • T+X basis trading for all MSCI Futures
  • With the launch of the new business initiatives in July 2022, Clearing Members and their Trading Participants that are not compliant with the new contract identification approach will not have access to weekly options and will not be able to support the new business initiatives

Grace Period (Jun – Nov 2022)

  • Contracts with sub-monthly expirations can not be traded if not switched to new identification approach based on contract date
  • If Trading Members want to continue to trade all ETD products, they, as well as their clearer, must implement new contract identification approach

End of Grace Period (Nov 2022)

  • Mandatory use of contract identification approach for all Trading & Clearing Participants
  • Parallel support of current and new contract identification concept will end
  • With the end of the grace period in Nov 2022, Clearing Members and their Trading Participants that are not compliant with the new contract identification approach will not have access to any ETD products

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