The implementation of next generation ETD contracts aims to introduce a more flexible set-up of Exchange Traded Derivatives (ETD) products. The new concept enhances contract identification and allows for more than one expiration per month on a product level (sub-monthly contracts).
The three business initiatives – integration of weekly contracts, volatility strategies and basis trading – are launched to attach the new flexibility in setting up exchange traded derivative products with one big change. Further initiatives will follow in due course. We’re implementing this future-proof concept to stay best-in-class given the evolving market conditions.
Integration of weekly expiries
Integrating the weekly products into a single product allows position rolling of sub-monthly and monthly contracts in one transaction. This smooth handling allows roll trading to be included in all strategy trades.
Due to the new contract logic, we can offer daily expiries of the physically settled single stock futures that can be used as a cash leg for the volatility strategies. This results in no basis risk, no corporate action and no dividend risk.
Basis trading for MSCI futures
To replicate basis trading, a calendar spread between the daily future and the quarterly future is traded. Market on Close (MoC) T+X allows fully automated and operational efficient basis trading via a calendar spread between the daily expiring futures and the standard target futures. The daily expiring contracts for MSCI futures can be used as a leg for a calendar spread for the date expiry and the standard monthly expiry. Market on Close (MoC) will be available for the full choice of MSCI futures tradable at Eurex.