OTC Vola Strategy with Cash Equity Leg

In Eurex Release 12.0, Eurex will modify the existing OTC volatility strategy offering for equity options to include an integrated cash equity leg. The rationale behind the replacement of the LEPO with a physical cash element is to offer straight-through processing of both legs of a volatility strategy.

From Eurex Release 12.0 onwards, the cash leg of an OTC vola strategy trade is automatically processed by Eurex Clearing's equity CCP. The use of the integrated strategy tool enables market participants to reduce operational risk.

After an OTC vola strategy trade for equity options has been approved, only the derivative leg(s) of the volatility strategy will be available in the Eurex® system. A delivery instruction will be automatically generated for the cash equity leg and transferred in real-time to Eurex Clearing's CCP System.

On-exchange trading of equity option volatility strategies will no longer be possible.

Please note that there will be no backward compatibility for equity options volatility strategies.

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