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1. Introduction
As announced in the Eurex Release Notes for T7 Release 12.1 and Eurex Circular 041/24, the following functionality will be activated in the production environment:
Volatility Interruption enhancements:
Learn now more about T7 Release 12.1 on our dedicated initiative page under the following link: Support > Initiatives & Releases > T7 Release 12.1. System documentation, circulars, timeline and much more information is available there for you.
2. Required action
Trading Participants are encouraged to familiarize with the new static Volatility Interruption functionality and respective market data information provided in the Simulation environment.
3. Details
With T7 Release 12.1, an additional trigger mechanism for Volatility Interruptions has been introduced, which is based on static price ranges around reference prices defined by the exchange. The new static Volatility Interruption will, apart from preventing sharp price movements within short time, also prevent large price movements across the entire business day in order to foster market integrity and price continuity during prolonged periods of market volatility. A Volatility Interruption will be triggered once the allowed static price deviation is exceeded. The execution of the incoming order will be prevented and the affected instrument, or all instruments of the affected product, will automatically be moved from instrument state Continuous to a Volatility Interruption auction, as it is done today.
The new static Volatility Interruption will be activated for all Futures products excluding products with different trading-clearing notation, i.e., Total Return Futures, EURO STOXX 50® Variance Futures (EVAR) and Eurex MOC Futures on EURO STOXX 50® Index Futures (FES1), as well as all Single Stock Dividend Futures.
Reference prices for determining the static Volatility Interruption remain static over the trading day and will automatically update based on the following hierarchy:
Price thresholds determining the static Volatility Interruption range around the respective reference price will be set for each Futures product grouped per TSL product group which are also applied for Transaction Size Limits at Eurex. Please see the Attachment for details.
As an example: The EURO STOXX 50® Index Futures (FESX) based on an opening index level of 5.075,00 would be allowed to trade up to 5,582,00 over the trading day before the static Volatility Interruption will trigger an auction where Trading Participants may contribute to determine an auction price which will become the new reference price for the subsequent continuous trading phase.
Additional information on the Eurex volatility interruption functionality as well as the parameters published in this circular will be available at any time at the Eurex Emergencies & Safeguards website under the following link: Support > Emergencies & Safeguards > Volatility Interruption Functionality.
Attachments:
Further information
Recipients: | All Trading Participants of Eurex Deutschland and Vendors | |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration | |
Related circular: | Eurex Circular 041/24 | |
Contact: | client.services@eurex.com | |
Web: | Support > Initiatives & Releases > T7 Release 12.1 | |
Authorized by: | Randolf Roth |
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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