Interest Rate Derivatives

Fixed income options

Options on European government bonds

Fixed income options are options on fixed income futures, giving the buyer the right to buy or sell the underlying future at the strike price in question.

For your hedging and strategy trading

The contracts are available with a maximum time to expiry of six months and listed as American-style options, which means that they can be exercised at any time and settle into long or short positions in the underlying fixed income futures contract.

All fixed income options: traded contracts per month and open interest in millions

Key benefits

  • Hedge your exposure to European government bonds
    • Protect bond portfolios against price risks
    • Hedge risks from government bond issuances
  • Enhance returns with option based strategies
    • Covered call writing on bond and futures portfolios
    • Express market views on fixed income futures and cash bond markets with calls, puts and directional spreads
    • Explore spreads between euro and dollar government bond yield curves with inter-product spread trading
  • Utilize implied volatility
    • Systematic short volatility trading strategies can improve returns in times of range-bound underlying prices, for example, around a core portfolio of bonds and futures
    • Volatility sensitive strategies such as butterflies and condors are well suited to pinpoint price developments in government bond markets

Products

Contacts

Vassily Pascalis
Fixed Income Sales Europe

T +44-20-78 62-72 11

vassily.pascalis@eurex.com

Rex Jones
FIC ETD Product Design

T +49-69-211-1 78 06

rex.jones@eurex.com



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