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Futures: Introduction of a mistrade range floor

Release date: 11 Jun 2019 | Eurex Exchange

066/2019 Futures: Introduction of a mistrade range floor

Eurex Circular 066/19

1. Introduction

Eurex Exchange will introduce a mistrade range floor in addition to the current rules for the determination of the mistrade range for futures products.

The introduction of this floor will prevent too narrow mistrade ranges for futures strategies with opposite trades, whilst no impact is expected on the mistrade range for outright futures products.

The floor value will apply to all futures products where the Price Change Percentile (PCP) methodology is currently being used.

The mistrade range floor will become effective from 19 June 2019.

2. Details

Determination of the mistrade range for a futures product including the new floor value will be performed as follows:

A deviation from the reference price shall be deemed significant if the price of the mistrade transaction deviates from the reference price by more than the higher value between the mistrade range floor or 20 percent of the PCP1 for the corresponding futures contract, unless another regulation has been made for an individual product.

The floor value for the mistrade range will be determined on a product level as the higher value between 10 percent of the corresponding outright futures mistrade range calculated using the price change percentile methodology and an absolute value of four ticks.

In case of futures strategies, the mistrade range will continue to be multiplied with the percentage specific to the number of contracts as set out in Number 2.8.5 of the Conditions for Trading at Eurex Deutschland.

The rules for determining the mistrade range for options products remain unchanged and will continue to apply as set out in Number 2.8.5 of the Conditions for Trading at Eurex Deutschland.

1 The PCP is a measure of price volatility which replaced the RBM margin parameters
   effective 12 June 2017 (see Eurex Clearing Circular 015/17).

Recipients:All Trading Participants of Eurex Deutschland and Vendors
Target groups:Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination
Related Circular:Eurex Clearing circular 015/17
Contact:Andrei Jitariu, Market Models, T +44-207-8 627 214,
Authorized by:Randolf Roth

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