Equity Options
at Eurex Exchange
Eurex Exchange Offers a Wide Range of Equity Options
•
Eurex market participants are now able to trade equity options on over 500 stocks, from 13
countries.*
•
The range offers access to all the components of the EURO STOXX 50® and STOXX® Europe 50
Index, as well as mostly components in the STOXX® Europe 600, STOXX® Europe Large 200,
STOXX® Europe Mid 200, STOXX® Europe Small 200 indices and DJ Global Titans 50(SM).
*Equity options are not available for firms trading from the U.S.
Equity Options Currency Underlying Country Index Components Covered No. of Equity Options
CHF Switzerland SMI®, SLI® and SMIM® 75
EUR
Austria ATX®, ATX® five 24 Belgium BEL 20 18 Germany DAX®, MDAX®, TecDAX® 159 Spain IBEX 35 9 Finland OMX Stockholm 30 14 France CAC 40® 92 Ireland ISEQ 20 9 Italy S&P MIB 36 Netherlands AEX Index® 35 Sweden OMX Stockholm 30 2 GBP, EUR UK FTSE 100 33 USD Russia RDX® USD 7
Equity Options Volume Development
•
Over 90 million equity options contracts were traded in the first half of 2014
•
Execution of EO trades is split evenly between Orderbook and OTC trades
•
45% of the volume is generated by Principal and Agent accounts
34%
55% 11%
Volume per Account*
A - Agent M - Market Maker P - Principal
55%
45%
Trade Execution *
OTC Trade Volume Orderbook Volume
0,0 10,0 20,0 30,0 40,0 50,0 60,0 0 5.000 10.000 15.000 20.000 25.000 2012 2013 2014 M ill io ns Th o u san d s
Equity Options – traded contracts and open interest
OTC Trade Volume Orderbook Volume OI adjusted Equity Options
* Account Share for H1 2014
Equity Options by Segment
•
Four country segments (Germany, Switzerland, Finland
and France) accounted for 89% of the traded volume in the
first half of 2014.
•
Dutch and French segment grew in H1 2014 by 57% and
19% respectively when compared to the same period in
2013.
•
Top 10 equity options in H1 2014:
*Others: Italy, Belgium, Great Britain, Austria, UK, Russia, Ireland, Sweden, Luxembourg
Product
Product
code
Traded Contracts in H1 2014
Nokia
NOA3
7,587,126
Deutsche Telekom DTE
4,741,759
E.ON
EOA
4,081,052
Nestlé
NESN
3,883,709
Deutsche Bank
DBK
3,609,243
Commerzbank
CBK
3,230,912
UBS
UBSN
2,929,684
Daimler
DAI
2,914,366
Deutsche Post
SAP
2,648,359
Novartis
NOVN
2,645,972
Total
38,272,782
Country of underlying Traded Contracts in H1 2014
Germany
40,567,067
Switzerland
20,496,499
France
11,129,260
Finland
7,822,095
Netherlands
4,555,068
Spain
3,299,572
Others*
2,243,518
Total
90,113,079
Germany
45%
Switzerland
23%
Finland
9% France
12%
Netherlands
5%
Spain
4%
Others*
2%
Contract Specifications
Contract size 1, 10, 100, 500, 1,000, 2,500 or 5,000 shares
Price quotation Tick size
EUR**/CHF/USD: 0.01 GBP: 0.25 or 0.5
** Exceptions - Italian equity options: EUR 0.0005
- Bank of Ireland and Permanent TSB holdings : EUR0.001
Contract months
Up to 12, 24 and 60 months: The three nearest successive calendar months, the three (for Spanish equity options nine) following quarterly months of the March, June, September and December cycle thereafter, and the four (for Spanish equity options the nearest) following semi-annual months of the June and December cycle thereafter, and the two following annual months of the December cycle thereafter.
Daily settlement price The daily settlement price is established by Eurex. The daily settlement prices for equity options are determined through the binomial model according to Cox/Ross/Rubinstein. If necessary, dividend expectations, current interest rates or other payments are taken into
consideration.
Final settlement price
American-style; an option can be exercised until the end of the Post-Trading Full Period (20:00 CET) on any trading day during the lifetime of the option.
European-style for equity options with group ID DE 14, CH14, FI14, FR14 and NL14; an option can only be exercised on the Last Trading Day until the end of the Post-Trading Full Period (20:00 CET).European-style Russian equity options: an option can only be exercised on the last trading day until the end of the Post-Trading Full Period (17:40 CET).
Settlement Physical delivery of underlying shares two or three exchange trading days after exercise:
Standard: t+3; German equity options t+2;
Last trading day Third Friday of the respective month, for Italian equity options the day before the third Friday, of each expiration month, if this is an
exchange day; otherwise, the exchange day immediately preceding that day.
Option premium The premium is payable in full in the currency of the respective contract on the exchange day following the day of the trade.
Trading hours
Order book: 09:00 - 17:30 CET; Swiss EO: 09:00 - 17:20 CET; Russian EO: 09:15 - 16:30 CET
EurexOTC: 09:00 - 19:00 CET; Austrian EO: 09:15 - 19:00 CET; UK and Irish EO: 09:00 - 18:30 CET; Russian EO: 10:00 - 19:00 CET ( 16:30-17:00 CET on the last trading day of Russian EO)
The opening time of 09:00 is considered a reference point. Eurex opens its equity options staggered between 08:50-09:05 The closing time of 17.30 is considered a reference point. Eurex closes its equity options staggered between 17:30-17:36
Product Variations – Weekly Options and Europeans
Weekly Options
•
Weekly options are available on: Daimler (DAI), Deutsche Bank (DBW), Deutsche Telekom (DTE) and Nokia (NOA).
•
Weekly options expire every Friday. Contract specifications are similar to the monthly options.
•
Advantages:
–
Lower premiums
–
Implement more targeted strategies, i.e.: tailor strategies around specific market events
–
Wider choice of expiry dates
–
Short-term investment in the underlying equity
European-Style Options
•
European-style options are available on 29 equity underlyings (full list in the appendix).
•
The exercise style is the only difference between the American and European equity options contract specifications.
•
Advantages:
–
Implement more targeted strategies
–
Option can only be exercised at the end of the month
–
Remove uncertainty of executions during the options lifetime
Participants can enter off-order book trades into the Eurex system, benefiting from the
safety of clearing and settlement as well as the flexibility of OTC trades.
Eurex Trade
Entry
Services
Eurex Trade
Entry
Services
Non-disclosure
facility
• Members are able to enter bilaterally agreed OTC transactions into the trading and clearing
system. Registered OTC trades are then automatically cleared like regular exchange
transactions.
• The Eurex Trade Entry Services facility is fully electronic and integrated into members’
processes (Minimum number of contracts apply)
• Block trades reaching or exceeding a certain number of contracts (defined by the
exchange) are not disclosed intraday. Thresholds are: 1,001, 2,501, 5,001, 10,001 and
20,001 contracts,
• On the following day, reports will contain updated volumes and open interest, including
the ones that were not disclosed.
Participants can enter off-order book trades into the Eurex system, benefiting from the
safety of clearing and settlement as well as the flexibility of OTC trades
Flexible
Options
Eurex Vola
Strategy
• Allows customisation of equity options to suit the participant requirement.
• Users can define exercise price, expiration date, exercise style and settlement type.
• Flexible contracts are not disclosed intra-day.
• Participants are able to enter equity options delta-neutral strategies trades with an
integrated cash leg.
• The facility provides straight-through processing for all legs of a volatility strategy
including the equity cash leg.
… and flexibility
Multilateral
Trade
Registration
• Members can enter an OTC transaction involving multiple counterparties with automated
confirmation. Partial trades can be entered which can be assigned to counterparties.
• Block trade fee caps are applied to all partial trades. Fees apply only up to the fee cap,
Transparent fee structure
•
Among the major European markets, Eurex Exchange offers the most competitive fees for trading equity
options and Low Exercise Price Options (LEPOs) :
•
Trading and clearing covered by one fee
•
Up to 80% fee rebates are available, depending on monthly proprietary trading volume
•
One fee for all account types
•
OTC fee applies to all transactions executed via the Eurex Block Trade Service and to flexible options
Product
currency
Transaction fees
Threshold
Exercise fee
Fee per lot
Reduced fee*
A-Account
(contracts)
P-Account
(contracts)
Fee per lot**
Orderbook
OTC
Orderbook
OTC
EUR
0.10
0.10
0.05
0.05
1,000
500
0.10
CHF
0.15
0.15
0.08
0.08
0.15
GBP
0.15
0.15
0.08
0.08
0.15
USD
0.15
0.15
0.08
0.08
0.15
*Applies to contracts exceeding the threshold **No fees are charged for exercise of LEPOs
Further information
•
For full equity option product list, contracts specifications and parameters:
http://www.eurexchange.com/exchange-en/products/equ/opt
/
•
Corporate actions adjustment process:
http://www.eurexchange.com/exchange-en/products/equ/corporate-actions-procedures
/
•
EurexOTC Trade Entry Services:
http://www.eurexchange.com/exchange-en/trading/eurex-otc-trade-entry/
•
Market Making :
http://www.eurexchange.com/exchange-en/trading/market-model/market-making/
•
Broker & Market Makers:
http://www.eurexchange.com/exchange-en/resources/participant-list/
•
Trading Fees:
Contacts
Eurex London Office Eurex Frankfurt AG Frankfurt Office EurexHong Kong Representative Office
London Representative Office 11 Westferry Circus, Canary Wharf London, E14 4HE
United Kingdom P: +44 (0)207 8 62-70 00
The Cube (visitors address) Mergenthalerallee 61 65760 Eschborn Germany T: +49 69 211-13940 [email protected] Room 1101, 11F
2904-7, 29/F Man Yee Building 68 Des Voeux Road Central Hong Kong
T: +852-25 30-78 00
Eurex Frankfurt AG Singapore Branch
Deutsche Börse Group
Tokyo Representative Office Eurex Zürich AG
9 Raffles Place #56-01, Republic Plaza Singapore 048619
Republic of Singapore T: +65 6597 3051
12th floor Yurakucho ITOCiA, 2-7-1 Yurakucho, Chiyoda-ku Tokyo, 100-0006 Japan T: +81-3-58 47-82 04 [email protected] Löwenstrasse 3 8021 Zurich Switzerland P: +41 43 430-7260 [email protected] Eurex
France Representative Office
Eurex
New York Office
Eurex Chicago Office 17, Rue de Surène 75008 Paris France T: +33-1-55 27-6767 [email protected]
60 Broad Street, 26th floor New York, NY 10004 USA
T: +1 212 918 - 4828 F: +1 312 544 - 1579
233 South Wacker Drive, Suite 2450 Chicago, IL 60606
USA
T: +1 312 544 - 1000
Eurex Functional Helpdesks Eurex Technical Helpdesk
Trading T: +49 69 211-1 12 10 Clearing T: +49 69 211-1 12 50 Technical T: +49 69 211-1 12 00
Appendix
ProductProduct name Underlying ISIN of the Underlying
ProductProduct name Underlying ISIN of the Underlying
ABBE OPT E ON ABB LTD ABB LTD CH0012221716 INNE OPT E ON ING GROEP NV CVA ING GROEP NV CVA NL0000303600
ADSE OPT E ON ADIDAS AG ADIDAS AG DE000A1EWWW0 MEOE OPT E ON METRO AG METRO DE0007257503
ALVE OPT E ON ALLIANZ ALLIANZ SE DE0008404005 MRKE OPT E ON MERCK AG MERCK KGAA DE0006599905
AXAE OPT E ON AXA AXA FR0000120628 MUVE OPT E MUENCHENER RUECKVERSICHE MUENCHENER RUECKVERSICHEDE0008430026
BASE OPT E ON BASF BASF SE DE000BASF111 NESE OPT E ON NESTLE AG,NOM NESTLE AG, NOM. CH0038863350
BAYE OPT E ON BAYER BAYER AG DE000BAY0017 NOAE OPT E ON NOKIA CORP. A FM 5 NOKIA CORP. A FM 5 FI0009000681
BMWE OPT E ON BMW AG BMW AG DE0005190003 NOVE OPT E ON NOVARTIS AG NOVARTIS AG CH0012005267
CBKE OPT E ON COMMERZBANK COMMERZBANK AG DE000CBK1001 ROGE OPT E ON ROCHE HOLDING ROCHE NES CH0012032048
CSGE OPT E ON CS GROUP NAMEN CS GROUP NAMEN CH0012138530 RWEE OPT E ON RWE RWE AG -ST- DE0007037129
DAIE OPT E ON DAIMLER DAIMLER AG DE0007100000 SAPE OPT E ON SAP SAP AG DE0007164600
DBKE OPT E ON DEUTSCHE BANK DEUTSCHE BANK AG DE0005140008 SIEE OPT E ON SIEMENS SIEMENS AG DE0007236101
DTEE OPT E ON DEUTSCHE TELEKOM DEUTSCHE TELEKOM AG DE0005557508 SREE OPT E ON SWISS RE AG SWISS RE AG CH0126881561
EOAE OPT E ON E.ON SE E.ON SE DE000ENAG999 UBSE OPT E ON UBS AG UBS AG CH0024899483
FTEE OPT E ON ORANGE ORANGE FR0000133308 ZURE OPT E ON ZURICH INSURANCE GROUP ZURICH INSURANCE GROUP CH0011075394
IFXE OPT E ON INFINEON AG INFINEON AG DE0006231004
© Eurex 2014
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