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EURO STOXX®/STOXX® Europe 600-Banks Futures: Reduction of the smallest price change (tick) for futures calendar spreads; Adjustment of minimum block trade size

Release date: 07 Jun 2019 | Eurex Exchange

064/2019 EURO STOXX®/STOXX® Europe 600-Banks Futures: Reduction of the smallest price change (tick) for futures calendar spreads; Adjustment of minimum block trade size

Eurex Circular 064/19

1. Introduction

The Management Board of Eurex Deutschland decided to reduce the smallest price change (tick) for standardised futures strategies (futures calendar spreads) for the EURO STOXX®/STOXX® Europe 600-Banks Futures (FESB/FSTB).

In addition, the minimum block trade size for the EURO STOXX®-Banks Futures will be increased.

Simulation start: 13 June 2019

Production start: 22 July 2019
 

2. Participation requirements
All Trading Participants of Eurex Deutschland and vendors are affected by this change.
 

3. Details of the initiative

Effective 22 July 2019, the tick in futures calendar spreads of the products FESB and FSTB will be changed from 0.1 to 0.02. Accordingly, the value that represents a tick will be reduced from EUR 5 to EUR 1 and the number of decimal places will increase from one to two. In the outright contracts (simple instruments), the minimum price change will remain unchanged at 0.1.

The following table contains an overview of the different instruments of the contracts and their tick:

FESB/FSTB tick on instrument type basis

Smalles price change (tick)

Tick value

Simple instruments

Old

New

Old

New

Outright contracts

0.1

0.1

EUR 5

EUR 5

Complex instruments

 

 

 

 

Standardised futures strategies (Futures calender spreads

0.1

0.02

EUR 5

EUR 1







At the same time, with the change of the calendar spread tick, the outright and calendar spread orderbooks will be decoupled. The synthetic matching in the outright orderbook with implied prizes in the calendar spread book will no longer be supported by the trading system. This means that the combinations of best price orders and quotes stored in different order books (“synthetic path“) and the price determined from such a combination of order book pages (“synthetic price“) as well as path priorities for EURO STOXX®/STOXX® Europe 600-Banks futures (FESB/FSTB) will no longer be supported. In addition, for the entry of off-book-trades, the minimum block trade size for the EURO STOXX®-Banks Futures (FESB) will be increased from 250 to 500 contracts.


4. Technical distribution of the product and instrument configuration

The new price granularity is valid for all outright instruments and will be distributed via the instrument snapshot in RDI (Reference Data Interface). The respective instrument attributes are:

InstrumentPricePrecision2
MinPriceIncrement0.02
MinPriceIncrementAmount1

The valid limit order price granularity for different instrument types and trade types can be found in the product snapshot in the field “TickRules”.

The product FXXP can be used as a reference example in the production Environment.


Attachment:

  • Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland

Recipients:All Trading Participants of Eurex Deutschland and Vendors
Target groups:Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination
Contact:Product R&D Equity and Index, Christine Heyde, T +49-69-211-1 56 98, christine.heyde@eurexchange.com
Authorized by:Randolf Roth
 

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