Eurex T7 Entry Services

Delta Neutral Trade-at-Market Trades

Delta TAM Transactions consist of a Total Return Futures (TRF) contract traded with a directionally opposite index future on the same underlying reference index or instrument. The TRF and index futures transaction is admitted as a pair. The minimum order volumes for both products apply.

The following contract pairs are admitted:

Products

Minimum number of contracts traded

Index Total Return Futures (“TRF”)

Index Futures Contract

Index Total Return Futures Contracts on the EURO STOXX 50® (TESX)

Futures Contracts on the EURO STOXX 50® Index (FESX)

100

Index Total Return Futures Contracts on the EURO STOXX® Banks (TESB)

Futures Contracts on the EURO STOXX® Banks Index (FESB)

100

Index Total Return Futures Contracts on the EURO STOXX® Select Dividend 30 (TEDV)

Futures Contracts on the EURO STOXX® Select Dividend 30 Index (FEDV)

10

Index Total Return Futures Contracts on the FTSE 100 (TTUK)

Futures Contracts on the FTSE 100 Index (FTUK)

50

Index Total Return Futures Contracts on the MSCI World (TMWO)

Futures Contracts on the MSCI World Index (in USD, FMWO)

10

Index Total Return Futures Contracts on the MSCI EAFE (TMFA)

Futures Contracts on the MSCI EAFE Index (FMFA)

10

Index Total Return Futures Contracts on the MSCI Emerging Markets (TMEM)

Futures Contracts on the MSCI Emerging Markets Index (FMEM)

10


For a Delta TAM Trade to be accepted, the following trade details apply:

  • A valid combination of directionally opposite transactions
  • The number of contracts traded in each instrument meets the defined minimum number of contracts
  • TRF Spread for the Index Total Return Futures contract
  • Price in index points for the Index Futures contract
  • Custom Index level for the Index Total Return Futures contract
  • Basis in index points, defined as in the following formula:
    Basis in index points = Price of Index Futures contract – Custom Index level for Index Total Return Futures contract 

The Delta TAM strategies will be executed as follows:

BUY DeltaTAM = Buy Index TRF + Sell Index Futures contract

SELL DeltaTAM = Sell Index TRF + Buy Index Futures contract


Market Status

XEUR

The market status window is an indication regarding the current technical availability of the trading system. It indicates whether news board messages regarding current technical issues of the trading system have been published or will be published shortly.

Please find further information about incident handling in the Emergency Playbook published on the Eurex webpage under Support --> Emergencies and safeguards. Detailed information about incident communication, market re-opening procedures and best practices for order and trade reconciliation can be found in the chapters 4.2, 4.3 and 4.5, respectively. Concrete information for the respective incident will be published during the incident via newsboard message. 

We strongly recommend not to take any decisions based on the indications in the market status window but to always check the production news board for comprehensive information on an incident.

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