Volatility Derivatives: Introduction of Futures on the EURO STOXX 50® Realized Dispersion Index

1.    Introduction

The Management Board of Eurex Deutschland took the following decisions with effect from 
16 December 2019:

• Introduction of Futures on EURO STOXX 50^® Realized Dispersion Index;
• Introduction of a Liquidity Provider Scheme

This circular contains all information on the introduction of the new product, the Product Specific Supplement to the Liquidity Provider scheme and the updated sections of the relevant Rules and Regulations of Eurex Deutschland.

Information on clearing of the new products as well as the updated sections of the relevant Rules and Regulations of Eurex Clearing AG are contained in Eurex Clearing circular 110/19.

Simulation start: 22 November 2019
Production start: 16 December 2019

2.    Required action

There is no specific action required for participation.

3.    Details

A.    General Parameters of the new product

For the general parameters of the Eurex products, please refer to the table in Attachment 1. 

B.    Contract specifications

Please refer to the table in Attachment 1. 

For the detailed contract specifications please see Attachment 2.

The updated Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland will be published on the Eurex website www.eurexchange.com as of start of trading under:

Resources > Rules and Regulations > Contract specifications

C. Trading hours (all CET)

 Please refer to the table in Attachment 1. 

D.    Trading calendar 

Futures on EURO STOXX 50^® Realized Dispersion Index are available for trading on each trading day at Eurex Deutschland. The exact trading days can be found in the trading calendar, which will be published on the Eurex website www.eurexchange.com as of start of trading under the following link: 

Trading > Trading calendar

E.    Liquidity Provider scheme

Effective 16 December 2019, a new Liquidity Provider (LP) scheme (“Equity Index 48- Futures on EUROSTOXX 50^® Realized Dispersion Index”) will be available for the new product. Detailed quote obligations and benefits are available in the Product Specific Supplement to the Eurex Liquidity Provider Programme in Attachment 3. 

F.    Excessive System Usage Fee and Order to Trade Ratio

The Excessive System Usage Fee and the Order to Trade Ratio are determined in line with the existing equity derivatives (FSTK). For detailed information, please refer to the Eurex website under the following links:  

Products > Equity index derivatives or
Technology > Excessive System Usage Fee or
Technology > Order to Trade Ratio

G.    Mistrade parameters

Mistrade ranges for the new index futures will be available for download on the Eurex website as of start of trading under the following link: 

Products > Volatility derivatives

H.    Data vendor codes

At start of trading, vendor codes for the new products will be published on the Eurex website under the link:

Products > Vendor product codes

I.    Simulation
The Eurex futures on EURO STOXX 50^® Realized Dispersion Index will be available for testing purposes in the Eurex simulation environment as of 22 November 2019. 

J.    Admission to the Eurex T7 Entry Services (TES)

The new Equity Index Futures will be admitted to the Eurex T7 Entry Services (TES). 

You can find the minimum block trade sizes on product level in the attached Contract Specifications.

Participants who are already registered for the Eurex T7 Entry Services may use the respective functions for the new index futures without any further action.

Participants wishing to use the Eurex T7 Entry Services for the first time should confirm their acceptance of the General Conditions for Participation by signing the appropriate form and returning it to Eurex. In addition, where the member firm is a Basic Clearing Member, its General Clearer must sign and return the General Clearer’s Declaration Agreement at the same time. 

The necessary forms are available on the Eurex website under the following link:

Resources > Forms

K.    Eurex Flexible Futures Service 

Futures on EURO STOXX 50^® Realized Dispersion Index are not available in the Flexible Futures Service.

L.    Transaction fees and rebates

As of start of trading of the new product, the following fee rebates apply for trading, clearing and settlement.

For details, please refer to the table in Attachment 1. 

For further details, please refer to the current Price List for Eurex Clearing AG on the Eurex website under the link: 

Resources > Rules and Regulations > Price list

M.    Risk parameters

As of start of trading, risk parameters of the new products will be published on the Eurex website under the link: 

Market data > Clearing data > Risk parameters and initial margins

The risk parameters for the new products can be found on the Eurex Clearing website www.eurexclearing.com under the link:

Risk management > Risk parameters

There, you will also find an up-to-date list with details for all Prisma-eligible Eurex products.

Attachments:

1. Tables for details of the new product
2. Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
3. Product Specific Supplement for Futures on EURO STOXX 50^®  Realized Dispersion Index