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Eurex IOC Liquidity Indicator for Options

Eurex IOC Liquidity Indicator for Options

Eurex® IOC Liquidity Indicator for Options

Our IOC Liquidity Indicator provides insight into the liquidity of more than 70 Eurex Exchange options products. The proprietary indicators are based on order information not publicly available and support algorithmic traders, banks, hedge funds and other market participants in determining liquidity and estimating the fair value of option instruments.

 

Calculation details

  • IOC (immediate-or-cancel) orders are processed on entry, they are either fully or partially executed or not executed and immediately cancelled
  • The indicator provides the aggregated volume of deleted IOC orders within a 10 millisecond time period starting from the timestamp of a trade triggered by an IOC order
  • Data provided includes the volume indication and trade-related information such as price, quantity, execution ID and aggressive side that triggered the trade
  • The volume indication is derived on participant level

Instrument universe

The indicator is calculated for more than 70 Eurex options, including:

  • Options on Euro-Bobl Futures (OGBM)
  • Options on Euro-Bund Futures (OGBL)
  • Options on Euro-Schatz Futures (OGBS)
  • DAX® Options (ODAX)
  • EURO STOXX 50® Index Options (OESX)
  • EURO STOXX 50® Index Dividend Options (OEXD)
  • EURO STOXX® Banks Options (OESB)
  • KOSPI 200 (OKS2)
  • SMI® Options (OSMI)
  • VSTOXX® Options (OVS)
  • DAX® Equity Options
  • Other equity options

A complete list of options for which the indicator is calculated is available on request.

Data availability/technical information

The information product Eurex® IOC Liquidity Indicator for Options is disseminated via (a) the Eurex MIC (multi-interface-channel), (b) the 10 GB Eurex market data connection as well as (c) Deutsche Börse’s data feeds CEF® Core and CEF ultra+ Eurex.  The required bandwidth for this information product is 1mbps. The number of messages per day will range between 20,000 and 80,000.

 

Market Status

XEUR

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Trading System experiencing issues

Trading System experiencing serious issues

Production newsboard

The Market Status Indicator displays the current technical availability of the trading system.

It indicates whether Production Newsboard messages regarding current technical issues of the trading system have been published or will be published shortly.

We strongly recommend not to take any decisions based on the Market Status Indicator. Please, always check the Production Newsboard for comprehensive information.

An instant update of the Market Status requires an enabled up-to date Java™ version within the browser.