Risk Protection for Market Maker in Options

The Eurex® system provides Market Makers in PMM and AMM with various features for system-based risk protection. With these tools Market Makers can significantly constrain operational and market risks.

Market Maker Protection Tool

The Market Maker Protection Tool is aimed at preventing too many simultaneous trade executions on quotes provided by a Market Maker, offering additional control of the market risk.

The basic principle can be envisioned as a counter, counting the number of traded contracts per product on Market Maker's quotes within a time frame of some seconds that the Market Maker can define.

Once the time has elapsed the counter is set to zero and restarted. If the counter reaches or exceeds a threshold level defined by the Market Maker, all remaining quotes are put on hold. Market Makers can define three threshold values in the counter:

• Volume: total number of contracts
• Vega: absolute number of contracts purchased reduced by the number of contracts sold
• Delta: absolute number of (long calls + short puts) - (short calls + long puts)