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Contract Specifications
Contract standards
Three-Month EURIBOR Futures
Contract size
One Three-Month EURIBOR Futures contract.
Settlement
The exercise of an One-Year (Two-, Three-, Four-) Mid Curve Option on a Three-Month EURIBOR Futures contract results in the creation of a corresponding position in the Three-Month EURIBOR Futures for the option buyer as well as the seller to whom the exercise is assigned, whereby a Three-Month EURIBOR Futures with a maturity of one (two, three, four) year(s) after expiration of the One-Year (Two-, Three-, Four-) Mid Curve Option on Three-Month EURIBOR Futures will be delivered.
Monthly expirations in all Mid Curve Options will be delivered with a Three-Month EURIBOR Futures contract of the following quarterly maturity of the respective year after the expiration of the options contract.
The position is established after the Post-Trading Full Period of the exercise day, and is based on the agreed exercise price.
Price quotation and minimum price change
The price quotation is in points, with three decimal places. The minimum price change is 0.0025 index points, equivalent to a value of EUR 6.25.
Contract months
Up to 12 months:The six nearest calendar months as well as the two following quarterly months of the March, June, September and December cycle.
Last trading day
The Friday prior to the third Wednesday of the respective expiration month, provided that on that day the European Money Markets Institute (EMMI) has determined the EURIBOR reference interest rate pertaining to three-month euro term deposits; otherwise, the exchange day immediately preceding that day. Close of trading in these expiring option series on the last trading day is at 16:15 CET.
Daily settlement price
The daily settlement price is established by Eurex. The daily settlement prices for all Mid Curve Options on Three-Month EURIBOR Futures are determined trough the binomial model according to Cox/Ross/Rubinstein.
Exercise
American-style; an option can be exercised up to the end of the Post-Trading Full Period (20:00 CET) on any exchange day during the lifetime of the option, and on the last trading day until 18:00 CET.
Exercise prices
The expiration months have exercise prices with intervals of 0.125 index points.
Number of exercise prices
Upon the admission of the options, at least 25 exercise prices shall be made available for each term for each call and put, such that twelve exercise prices are in-the-money, one is at-the-money and twelve are out-of-the-money.
Option premium
The premium is settled using the futures-style method.
Block Trades
Admitted to the Eurex Block Trade Service with a Minimum Block Trade Size of 100 contracts.
Market-Making Parameter
All quotation parameters at a glance
Mistrade Parameter
This file provides an overview of mistrade ranges for Options and Futures including information on their behavior close to expiration and in stressed markets.
Crossing Parameters
(section 2.6 Eurex Trading Conditions)
(1) Orders and Quotes relating to the same Instrument or Combined Instrument may, in case they could immediately be executed against each other, neither be entered knowingly by an Exchange Trader or several Exchange Traders of an Admitted Company (a “Cross Trade”) nor pursuant to a prior understanding between Exchange Traders of two different admitted companies (a “Pre-Arranged Trade”), unless the conditions according to Paragraph 2 have been fulfilled. The same shall apply for the entry of Orders as part of a Quote.
(2) A Cross Trade or a Pre-Arranged Trade is admissible if a participant in a Cross Trade or a Pre-Arranged Trade Eurex Trading System, announces his intention to execute a corresponding number of Contracts as Cross Trades or Pre-Arranged Trades in the Order Book (“Trade Request”). The buying participant has to ensure that he himself or the selling participant enters the Trade Request. The Order or Quote giving rise to the Cross Trade or Pre-Arranged Trade must be entered one second at the earliest and 121 seconds at the latest after the entry of the Trade Request. Entering a Trade Request without entering the respective Order or Quote is not admissible.
(3) Paragraphs 1 and 2 shall not apply to Transactions consummated during the netting process in an auction (Number 1.4 Paragraphs 2 and Paragraph 3).
(4) The automated entry functionality for Cross Trades or Pre-Arranged Trades of the Eurex Trading System may be used for entering Cross Trades or Pre-Arranged Trades. In this case, announcement and entry of the corresponding Orders pursuant to Paragraph 2 will be automated.
| Pre-Trading | Trading | Post-Trading | |||
|---|---|---|---|---|---|
| Full | Late1 | Late2 | Restricted | ||
| 07:30 | 08:00 | 18:00 | 18:00 | 20:00 |
| Pre-Trading | Trading | Post-Trading | |||
|---|---|---|---|---|---|
| Full | Late1 | Late2 | Restricted | ||
| 07:30 | 08:00 | 16:15 | 17:00 |
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
Last trading day for Options on Three-Month EURIBOR Futures
Last trading day for Three-Month EURIBOR Futures
Delivery day for Options on Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures
Last trading day for Three-Month EURIBOR Futures
Delivery day for Options on Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last trading day for Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures (standard)
Delivery day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last trading day for 3M SARON® Futures and Three-Month Euro STR Futures
Delivery day for Options on Three-Month EURIBOR Futures (standard)
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
Last trading day for Options on Three-Month EURIBOR Futures
Last trading day for Three-Month EURIBOR Futures
Delivery day for Options on Three-Month EURIBOR Futures
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
Last trading day for Options on Three-Month EURIBOR Futures
Last trading day for Three-Month EURIBOR Futures
Delivery day for Options on Three-Month EURIBOR Futures
Last trading day for Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last trading day for Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures (standard)
Delivery day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last trading day for 3M SARON® Futures and Three-Month Euro STR Futures
Delivery day for Options on Three-Month EURIBOR Futures (standard)
Last trading day for Options on Three-Month EURIBOR Futures
Last trading day for Three-Month EURIBOR Futures
Delivery day for Options on Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures
Last trading day for Three-Month EURIBOR Futures
Delivery day for Options on Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last trading day for Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures (standard)
Delivery day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last trading day for 3M SARON® Futures and Three-Month Euro STR Futures
Delivery day for Options on Three-Month EURIBOR Futures (standard)
Last trading day for Options on Three-Month EURIBOR Futures
Last trading day for Three-Month EURIBOR Futures
Delivery day for Options on Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures
Last trading day for Three-Month EURIBOR Futures
Delivery day for Options on Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last trading day for Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures
Delivery day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last trading day for 3M SARON® Futures and Three-Month Euro STR Futures
Delivery day for Options on Three-Month EURIBOR Futures (standard)
Eurex is closed for trading in all derivatives
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
Eurex is closed for trading in all derivatives
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
| Fee Type | Fee |
|---|---|
| Exchange transactions: Standard fees (A-accounts) | EUR 0.25 per contract |
| Exchange transactions: Standard fees (M- and P-accounts) | EUR 0.20 per contract |
| Exchange transactions: Reduced fees A-accounts (contract volume above threshold) | EUR 0.13 per contract |
| Exchange transactions: Reduced fees P-accounts (contract volume above threshold) | EUR 0.10 per contract |
| TES transactions / Eurex EnLight: Standard fees (A-accounts) | EUR 0.25 per contract |
| TES transactions / Eurex EnLight: Standard fees (M- and P-accounts) | EUR 0.20 per contract |
| TES transactions / Eurex EnLight: Reduced fees A-accounts (contract volume above threshold) | EUR 0.13 per contract |
| TES transactions / Eurex EnLight: Reduced fees P-accounts (contract volume above threshold) | EUR 0.10 per contract |
| Threshold A-accounts | 10,000.00 contracts |
| Threshold P-accounts | 10,000.00 contracts |
| Position Closing Adjustments (A-accounts) | EUR 0.50 per contract |
| Position Closing Adjustments (M- and P-accounts) | EUR 0.40 per contract |
| Exercise of options (A-accounts) | EUR 0.25 per contract |
| Exercise of options (M- and P-accounts) | EUR 0.20 per contract |
| Assignment of options (A-accounts) | EUR 0.25 per contract |
| Assignment of options (M- and P-accounts) | EUR 0.20 per contract |
| Position transfer with cash transfer | EUR 7.50 per transaction |
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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