T7 Release 12.1: Announcement on Eurex T7 Functionality activations after Release Launch date

1. Introduction

As announced in the Eurex Release Notes for T7 Release 12.1, the following functionalities will be activated in the production environment after the official Release date:
 

a.    Market-wide Self-Match Prevention (SMP):

• Simulation: Already activated
• Production: with start of Production Release 

b.    Introduction of Non-Standard Options Volatility Strategies:

• Simulation: Already activated
• Production: 17 June 2024

c.    Volatility Interruption enhancements:

• Simulation: Already activated, Focus Days planned on 8 and 29 May 2024
• Production: envisioned for Q3 2024

d.    Extension of Trading Hours for MSCI Index Total Return Futures:

• Simulation: Already activated
• Production: 1 July 2024

e.    Flexible Instruments for EFP-Index TES Trades:

• Simulation: 25 April 2024
• Production: currently no concrete activation date (will be communicated separately) 

Learn now more about T7 Release 12.1 on our dedicated initiative page under the following link: Support > Initiatives & Releases > T7 Release 12.1. System documentation, circulars, timeline and much more information is available there for you.

2. Required action

a. Trading Participants are encouraged to make use of the new functionality. The current functionality SMP Type A will still be offered in parallel. 
 

b. Trading Participants interested in options strategy trading are encouraged to test Non-Standard Options Volatility Strategies in Simulation. 
 

c. Trading Participants are encouraged to familiarize with the new static Volatility Interruption and respective market data information provided in the Simulation environment.
 

d. Trading Participants interested in Total Return Futures trading are encouraged to test MSCI Index Total Return Futures in Simulation.
 

e. Trading Participants interested in trading flexible instruments are encouraged to test EFP-Index TES trades in Simulation. 

3. Details of the initiative

As announced in the Eurex Final Release Notes for T7 Release 12.1, the following functionalities will be activated in Production after the official Release date:

a.    Market-wide Self-Match Prevention

Market-wide SMP Functionality is already activated in Simulation and will be activated in Production with Release start. 

The creation and maintenance of market-wide SMP IDs must be performed by the respective Eurex Admin user via the T7 Eurex Admin GUI. Participants interested in the market-wide SMP functionality must perform SMP creation or registration steps before usage of a market-wide SMP ID in an actual order or quote. Please note that only for usage of market-wide SMP, the ETI tag 2964 (SelfMatchPreventionInstruction, in T7 Eurex Trader GUI tickbox “IsMarketWide”) must be send with the corresponding value for “Reject cross on market level” together with the respectively created or registered market-wide SMP ID in the already established tag 28744 (MatchInstCrossID, in T7 Eurex Trader GUI field CrossID). For participants that are only interested in the incumbent SMP Type A functionality, tag 2964 can be ignored.
 

For the creation and registration processes, a new dedicated screen “Market Wide SMP” is offered in the T7 Eurex Admin GUI, where the currently active market-wide SMP IDs already created or registered and ready for usage are visible (tab “Market Wide SMP Current”) and a second tab where the creation, registration or maintenance can be performed (tab “Market Wide SMP Preview”). Tab “Market Wide SMP Preview” aggregates all creation, modification and deletion actions performed over a single trading day by the Eurex Admin user as preview for the next trading day which become effective after the batch rollover. Hence, today’s activities performed in the tab “Market Wide SMP Preview” will become available on the next trading day after the batch rollover visible in tab “Market Wide SMP Current”.
 

Via the Eurex Release Website, video tutorials will be offered that guide Members through the individual creation, registration and maintenance workflows needed to successfully activate the respective SMP IDs for usage. Please note that the activation and amendment for market-wide SMP ID are not performed intraday but require a full batch rollover in order to be processed. Since the Eurex simulation environment does not offer daily batch rollovers, some regular business days can pass between creation of a market-wide SMP ID and day of first usage.

b.    Non-Standard Option Volatility Strategies

So far, the T7 Trading Platform was supporting the instrument type Options Volatility Strategies (OVS) summarizing complex instruments specified by a standardized options part and an underlying futures leg. OVS are preferentially used by traders to define delta-neutral instruments in the derivative space.

With the introduction of Non-Standard Option Volatility Strategies (NOVS), T7 offers delta-neutral instruments where the options part is given by a non-standard options strategy defining a new instrument type (Like OVS, NOVS have an underlying leg referring to the same underlying as the options contracts in the options part of the NOVS. A trader can use NOVS to create delta-neutral instruments without referring to a strategy template. NOVS do not support an options multiplier commonly applied to all options leg as for OVS. Instead, each options leg ratio of a NOVS is also covering a leg-specific options multiplier, and the resulting delta of the options part is balanced by the corresponding underlying futures quantities to achieve delta-neutrality. Please note that the minimum (maximum) options leg ratio of a NOVS is given by 100 (999) and, consequently, strategy prices of the NOVS behave differently comparted to those of OVS where the much smaller options leg ratios from the strategy template are taken to calculate the OVS strategy price without considering the options multiplier.

Participants are advised to use the options products in Eurex Simulation supporting NOVS to get familiar with the new complex instrument type and its entry validations. See the table below for a list of available products. For block trading (TES) of NOVS, it is recommended to enter individual options leg prices to control the resulting leg trade prices in the options legs. Otherwise, the T7 trading platform will decompose automatically the strategy price into the corresponding leg trade prices.

c.    Volatility Interruption enhancements

Participants already have the opportunity to test the static Volatility Interruption implementation in Simulation. In particular, the following products will have a static Volatility Interruption activated during all trading hours in simulation: EURO STOXX 50^® Index Futures (FESX) (static limit 5%) and Futures on Adidas (physical) (ADSP) (static absolute limit 10 EUR). Please note the configuration is not production like.
 
A Volatility Interruption will be triggered once the allowed static price deviation is exceeded. The execution of the incoming order will be prevented and the affected instrument, or all instruments of the affected product, will automatically be moved from instrument state Continuous to a Volatility Interruption auction, as it is done today.
 
Eurex is offering specific Focus Days where Eurex will manually trigger, process, and resolve such interruptions. The exact dates of the static Volatility Interruption Focus Days are shown in the current simulation calendar.
 
Static Volatility Interruptions will not be launched with the start of T7 Release 12.1. Further details on the production activation as well as additional information related to the configuration will be published via a separate communication in due time.

d.    Extension of Trading Hours for MSCI Index Total Return Futures

MSCI Index Total Return Futures are already available in production environment and currently available for trading during the trading hours from 14:30 - 22:00 CE(S)T. Following the launch of T7 Release 12.1, the trading hours will be extended to an additional slot during morning trading hours from 02:15 - 13:30 CE(S)T. Participants trading the products should be aware that the Trading State of the MSCI TRF products will be set to ‘Trading’ in the morning, then will be changed back to ‘Pre-Trading’ at 13:30 CE(S)T for an intraday trading interruption to update the funding rate. Trading will then recommence by setting the Trading State back to ‘Trading’ at 14:30 CE(S)T. The transition of Trading States will be a new handling specifically for the MSCI Index TRF.
 

Further details will be published via a separate communication with more focus on the product initiative.

e.    Flexible Instruments for EFP-Index TES Trades

Exchange for Physical (EFP) Index supports bilateral off-book trading on futures products and a cash reference to an equity basket. The functionality is available for block trades referring to a regular instrument (outright contract) and is enhanced with T7 Release 12.1 to be available for flexible instruments.

To enable Participants to test the new functionality in the simulation environment, the new TES type will be activated for flexible instruments in the product FESC (Euro STOXX^® Chemicals Futures). In the future, it is envisioned to have the functionality enabled for Currency Futures. Further details will be published upfront to the activation in the production environment.

Further information