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Eurex Market-on-Close

Eurex Market-on-Close

The enhancement of trading functionality for Eurex MOC Futures was incorporated as part of T7 Release 5.0. The introduction of Eurex MOC Futures on EURO STOXX 50® Index Futures is planned for 30 October 2017. The Eurex MOC futures is a new concept to deal index futures at the index close level before the index close is calculated.

Eurex MOC Futures will represent the basis (difference between the current futures price and current spot price) which can be traded via orderbook or TES Block Trade throughout the trading day. Eurex MOC Futures trades are preliminary until the official closing index level is known. The Eurex Exchanges will calculate the final price by adding the official index close level to the traded price of the basis for each transaction.

MOC uses the Trade at Reference Price (TARP) functionality introduced with the T7 Release 5.0. TARP allows trading of a futures product at differential prices relative (prices in trading notation) to a reference point (denoted as reference price) whose actual value will be defined only later in (or after) the trading phase. The concept of TARP futures is identical to Total Return Futures (TESX) e.g. T7 sends a prelim and final trade confirm containing both traded prices and clearing price.

If you have any questions or require further information, please contact your dedicated Key Account Manager or customer.readiness@eurexchange.com.

 

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