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Eurex expands its equity index segment with additional factor index futures. The futures cover factors in European and U.S. markets, represented by the STOXX® Europe 600 and the STOXX® USA 500 universes. All indexes are built using Axioma's proven factor model maintaining the same industry allocation as the respective benchmark.
Factor-based investing has become one of the most popular indexing segments in recent years. This investment approach targets specific drivers of return, setting it apart from traditional beta.
European and U.S. equity markets
The underlying indexes are derived from two well established, regional and market-capitalized benchmarks, tracking six different factor styles: Value, Momentum, Low Risk, Quality, Size- and a Multi-Factor index that targets exposure to all five single factors. Compared to trading the underlying or using OTC for tactical management, listed futures offer an easy, transparent and cost-efficient way of adjusting positions.
STOXX® Europe 600 Factor Index Futures
Underlying indexes
STOXX® Europe 600 Industry Neutral Ax Value, Size, Quality, Multi-Factor, Momentum and Low Risk net total return indexes.
A detailed description of the various indices and the index rules and regulations can be found on the STOXX® website.
Contract multiplier
EUR 100 per index point.
Settlement
Cash settlement, due on the first exchange day after the final settlement day.
Price determination
In points, with two decimal places.
Minimum price change
0.05 (equals EUR 5)
Contract months
The next three quarterly months of the cycle March, June, September and December (9 months).
Last trading day
The third Friday of each maturity month, if this is a trading day at Eurex Deutschland, otherwise the trading day immediately preceding that day. Close of trading for the maturing series is at 12:00 CET. The final settlement day is the trading day following the last trading day.
Final settlement price
The average value of all index calculations of the respective STOXX® Europe 600 IN Ax Factor index in the time between 11:50 and 12:00 CET on the last trading day.
STOXX® USA 500 Factor Index Futures
Underlying indexes
STOXX® USA 500 Industry Neutral Ax Value, Size, Quality, Multi-Factor, Momentum and Low Risk indices net total return.
A detailed description of the various indices and the index rules and regulations can be found on the STOXX® website.
Contract multiplier
EUR 100 per index point.
Settlement
Cash settlement, due on the first exchange day after the final settlement day.
Price determination
In points, with two decimal places.
Minimum price change
0.05 (equals EUR 5)
Contract months
The next three quarterly months of the cycle March, June, September and December (9 months).
Last trading day
The third Friday of each maturity month, if this is a trading day at Eurex Deutschland, otherwise the trading day immediately preceding that day. Close of trading for the maturing series is at 12:00 CET. The final settlement day is the trading day following the last trading day.
Final settlement price
Relevant for the STOXX®USA 500 Factor Index Futures is the index closing price on the last trading day.
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