Nur in Englisch: Eurex T7 Functionality activations: Volatility Interruption enhancements

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1.    Introduction

As announced in the Eurex Release Notes for T7 Release 12.1 and Eurex Circular 041/24, the following functionality will be activated in the production environment:

Volatility Interruption enhancements:

• Simulation: Already activated
• Production: 8 July 2024

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 

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

3. Details of the initiative 

With T7 Release 12.1, an additional trigger mechanism for Volatility Interruptions has been introduced, which is based on static price ranges around reference prices defined by the exchange. The new static Volatility Interruption will, apart from preventing sharp price movements within short time, also prevent large price movements across the entire business day in order to foster market integrity and price continuity during prolonged periods of market volatility. 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. 

The new static Volatility Interruption will be activated for all Futures products excluding products with different trading-clearing notation, i.e., Total Return Futures, EURO STOXX 50^® Variance Futures (EVAR) and Eurex MOC Futures on EURO STOXX 50^® Index Futures (FES1), as well as all Single Stock Dividend Futures.

Reference prices for determining the static Volatility Interruption remain static over the trading day and will automatically update based on the following hierarchy:

• Last auction price (this includes volatility auction prices),
• Previous day’s closing price,
• Previous day’s settlement price,
• Settlement price of the nearest expiry

Price thresholds determining the static Volatility Interruption range around the respective reference price will be set for each Futures product grouped per TSL product group which are also applied for Transaction Size Limits at Eurex. Please see the Attachment for details.  

As an example: The EURO STOXX 50^® Index Futures (FESX) based on an opening index level of 5.075,00 would be allowed to trade up to 5,582,00 over the trading day before the static Volatility Interruption will trigger an auction where Trading Participants may contribute to determine a auction price which will become the new reference price for the subsequent continuous trading phase. 

Additional information on the Eurex volatility interruption functionality as well as the parameters published in this circular will be available at any time at the Eurex Emergencies & Safeguards website under the following link: Support > Emergencies & Safeguards > Volatility Interruption Functionality.

Attachments:

• 1 – Static Thresholds per TSL Product Group
• 2 – Static Thresholds per Product

Further information