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Eurex
1. Introduction
The Management Board of Eurex Deutschland has made the following decision effective from 16 October 2023:
Eurex does not publish detailed parameter changes related to volatility interruptions in order to prevent possible magnet effects or adjustment strategies.
Production start: 16 October 2023
2. Required action
There is no particular action required.
3. Details
In the event that the next execution price in the order book deviates too much from the previous execution prices, Eurex volatility interruptions will be automatically triggered. The next execution price is compared with all previous execution prices within two time windows (a short and a long period of time) before the event. If the corresponding volatility interruption price ranges of the short or long period of time are exceeded, the execution of the incoming order or quote is prevented and the market model switches from continuous trading to a volatility auction.
Products with Asian and US trading hours have a more variable liquidity profile and quoting behavior than products with exclusively EU trading hours. In the context of the regular review of the parameters for volatility interruptions and due to the persistently low volatility during these trading hours, the following adjustments to the volatility parameters have been decided for selected products with Asian and US trading hours:
Eurex does not publish detailed parameter changes related to volatility interruptions in order to prevent possible attraction effects or adjustment strategies.
Further details on the Eurex volatility interruptions can be found in the Eurex T7 12.0 Functional Reference Guide on the Eurex website www.eurex.com under the following link:
Support > Initiatives & Releases > T7 Release 12.0 > Overview & Functionality > T7 Release 12.0 Functional Reference.
Further information
Recipients: | All Trading Participants of Eurex Deutschland and Vendors | |
Target groups: | Front Office/Trading, Middle + Backoffice | |
Contact: | client.services@eurex.com | |
Web: | Support > Initiatives & Releases > T7 Release 12.0 | |
Authorized by: | Jonas Ullmann |
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.
An instant update of the Market Status requires an enabled up-to date Java™ version within the browser.