Market participants need to efficiently move between cash and derivative markets. To meet market demand, Eurex has introduced a new order type, the Trade at Index Close. This order type supports the entry of off-book trades in equity index futures based on the combination of the next available index closing price plus basis.
In other words, two Eurex Trading Participants, having agreed on relevant details for a futures transaction in equity index futures that are priced by reference to a prospective closing level of the underlying index plus basis (guaranteed price), can enter the relevant information for this transaction via the EFP-I Trade Service. The order information for the trade has to be entered as soon as the daily underlying index close price is available and all trade details have been reconfirmed by the involved counterparties. The final futures price is determined by adding the basis to the index close.
Trades at Index Close at Eurex …
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