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1. Introduction
After the activation of off-book trading in non-standard options volatility strategies (“NOVS”) in June 2024 shortly after the launch of T7 Release 12.1, the activation of on-book trading in NOVS is announced to take place on 2 December 2024.
Prior to the activation of on-book trading in NOVS, Eurex Trading Conditions were updated to consider larger mistrade ranges reflecting the higher trade price level of NOVS compared to standard options volatility strategies (“OVS”). See also Eurex Circular 116/24 for more details. The adaptations also led to changes of mistrade ranges for already on-book traded standard (SOS) and non-standard (NOS) options strategies as well as standard options volatility strategies (OVS).
To further align Eurex service offerings in delta-neutral strategy trading with already existing functionality, the maximum leg ratio of NOVS is increased from 999 to 1000 and the maximum leg ratio of NOS is decreased from 99 to 9. The adaptations regarding the maximum leg ratios will also take place on 2 December 2024.
To promote delta-neutral strategy trading in Single Stock Options, the fee waiver regarding trades in physically settled Single Stock Futures (“physical SSF”) currently valid until 31 December 2024 will be prolonged until 31 December 2025. With effect from 1 January 2025 until 31 December 2025, the Executive Board of Eurex Clearing AG decided to temporarily waive the transaction fees on P- and M-Account in daily expiring Single Stock Futures with physical settlement, which are traded as part of Delta Neutral Strategies in Single Stock Options (OVS as well as NOVS).
Please note that the fee identification code will reflect the fee waiver in physical SSF in case of an underlying leg trade resulting from an OVS or NOVS trade in Single Stock Options.
With the introduction of new product initiatives under NextGen ETD Contracts (see Eurex Circular 014/23), Eurex has enabled OVS in Equity Options with the daily expiring physically settled Single Stock Futures as underlying leg which now also applies to NOVS.
2. Required action
Trading Participants active in on-book or off-book trading of delta-neutral strategies are encouraged to make use of the new functionality.
For testing purposes, on-book trading in NOVS is already activated in the Eurex Simulation Environment completing the already supported on- and off-book trading in OVS and off-book trading in NOVS.
For the fee waiver on physical SSF in OVS or NOVS there is no required action for the participants.
3. Details
For the period from 1 January 2025 until 31 December 2025, Eurex Clearing AG will offer a temporary waiver on the transaction fees (pursuant to Number 3.1 of the Price List of Eurex Clearing AG) on P- and M-Account in daily expiring Single Stock Futures with physical settlement, which are traded as part of Delta Neutral Strategies in Single Stock Options (Option Volatility Strategies as well as Non-Standard Option Volatility Strategies).
As an example, the following Complex Instrument (“Strategy”) will qualify for a fee waiver on Single Stock Futures transaction fees on P- and M-Account:
“ROG C 100 Mar25 30000 vs 10 ROGP T+0 @250”, which can be separated into two instruments: 100 Call Options on Roche Holding AG with a strike price at 300 CHF and expiry in March 2025 and 10 Single Stock Futures on Roche Holding AG which expire on the same day (“t+0”). The transaction fees for Single Stock Futures in this Option Volatility Strategy will be eligible for the fee waiver.
To identify the contracts in scope, Trading Participants can use Single Stock Futures (traded as part of the Option Volatility Strategy or Non-Standard Option Volatility Strategy and settled on the same day (“t+0”) of trading) with Group ID BE02, DE02, ES02, FI02, FR02, IE02, IT02, NL02 and CH02 assigned in Annex A of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (Contract Specifications). The new fee types introduced to the invoicing process as well as the billing reports, which identify the transactions in scope, are as follows: On-Exchange Volatility Trade, TES Volatility Trade, Eurex EnLight Volatility Trade, and SMP Prevented Volatility Trade.
The transaction fees of all other Single Stock Derivatives are shown in the full version of the Price List of Eurex Clearing AG (Price List), available on the Eurex Clearing website www.eurex.com/ec-en/ under the following link:
Rules & Regs > Eurex Clearing Rules & Regulations > 3. Price List
Details about NOVS can be found in the Eurex Final Release Notes for T7 Release 12.1, No. 3, available on the Eurex website www.eurex.com under the path:
Support > Initiatives & Releases > T7 Release 12.1 > System Documentation > Overview and Functionality
Further information
Recipients: | All Trading Participants of Eurex Deutschland and Vendors | |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination | |
Contact: | client.services@eurex.com | |
Related circulars: | ||
Web: | Support > Initiatives & Releases > T7 Release 12.1 | |
Authorized by: | Randolf Roth |
Market Status ⓘ
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