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Contract Specifications
| Contract | Product ID | Underlying |
SMI® Options | OSMI | SMI®, the blue chip index of SIX Swiss Exchange |
SMIM® Options | OSMM | SMIM®, the mid cap index of SIX Swiss Exchange |
SLI® Options | OSLI | SLI Swiss Leader Index®, the blue chip index with capped weightings of the SIX Swiss Exchange |
Settlement
Cash settlement, payable on the first exchange day following the final settlement day.
Contract values and price gradations
| Contract | Contract value | Minimum price change | |
| Points | Value | ||
SMI® Options | CHF 10 | 0.1 | CHF 1 |
SMIM® Options | CHF 10 | 0.1 | CHF 1 |
SLI® Options | CHF 10 | 0.1 | CHF 1 |
Term
Equity index options contracts are available for the following terms:
| Contract | Maximum term (months) | Max number of terms | |||||
W | M | Q | S | Y | |||
SMI® Options | 60 | 22 | 6 | 3 | 11 | - | 2 |
SMIM® Options | 24 | 8 | - | 3 | 3 | 2 | - |
SLI® Options | 60 | 12 | - | 3 | 3 | 4 | 2 |
Last trading day and final settlement day
Last trading day is the exchange day preceding the final settlement day.
Final settlement day is the third Friday of each expiration month if this is an exchange day; otherwise the exchange day immediately preceding that day. In addition, last trading day for SMI® Options with weekly expiration cycle is the exchange day preceding the Friday of the respective expiration week.
Daily settlement price
The daily settlement price is established by Eurex. The daily settlement prices for equity index options are determined through the Black/Scholes 76 model. If necessary, dividend expectations, current interest rates or other payments are taken into consideration.
Final settlement price
The final settlement price is established by Eurex on the final settlement day of the contract and is determined by the value of the respective index, based on SIX Swiss Exchange opening prices of the respective index component shares.
Exercise
European-style; an option can only be exercised on the final settlement day of the respective option series until the end of the Post-Trading Full Period (20:30 CET).
Exercise prices
| Contract | Exercise price intervals in index points for contract months with a remaining lifetime of | ||||
| ≤ 3 months | 4-12 months | 13-24 months | 25-36 months | > 36 months | |
SMI® Options | 50 | 50 | 100 | 200 | 200 |
SMIM® Options | 5 | 10 | 20 | - | - |
SLI® Options | 5 | 10 | 20 | 50 | 50 |
Number of exercise prices
Upon the admission of the options, at least seven exercise prices shall be made available for each due date with a term of up to 24 months for each call and put, such that three exercise prices are in-the-money, one is at-the-money and three are out-of-the-money.
Upon the admission of the options, at least five exercise prices shall be made available for each due date with a term of more than 24 months for each call and put, such that two exercise prices are in-the-money, one is at-the-money and two are out-of-the-money.
Option premium
The equivalent of the premium in points, payable in full in the currency of the respective contract on the exchange day following the day of the trade.
Further details are available in the clearing conditions and the contract specifications.
Block Trades
Admitted to the Eurex Block Trade Service with a Minimum Block Trade Size of 300 contracts; the EnLight Minimum Block Trade Size is 300 contracts.
The Minimum Block Trade Size for non-disclosed bilateral TES transactions is 2,500 contracts.
Market-Making Parameter
All quotation parameters at a glance
Mistrade Parameter
This file provides an overview of mistrade ranges for Options and Futures including information on their behavior close to expiration and in stressed markets.
Crossing Parameters
(section 2.6 Eurex Trading Conditions)
(1) Orders and Quotes relating to the same Instrument or Combined Instrument may, in case they could immediately be executed against each other, neither be entered knowingly by an Exchange Trader or several Exchange Traders of an Admitted Company (a “Cross Trade”) nor pursuant to a prior understanding between Exchange Traders of two different admitted companies (a “Pre-Arranged Trade”), unless the conditions according to Paragraph 2 have been fulfilled. The same shall apply for the entry of Orders as part of a Quote.
(2) A Cross Trade or a Pre-Arranged Trade is admissible if a participant in a Cross Trade or a Pre-Arranged Trade Eurex Trading System, announces his intention to execute a corresponding number of Contracts as Cross Trades or Pre-Arranged Trades in the Order Book (“Trade Request”). The buying participant has to ensure that he himself or the selling participant enters the Trade Request. The Order or Quote giving rise to the Cross Trade or Pre-Arranged Trade must be entered one second at the earliest and 121 seconds at the latest after the entry of the Trade Request. Entering a Trade Request without entering the respective Order or Quote is not admissible.
(3) Paragraphs 1 and 2 shall not apply to Transactions consummated during the netting process in an auction (Number 1.4 Paragraphs 2 and Paragraph 3).
(4) The automated entry functionality for Cross Trades or Pre-Arranged Trades of the Eurex Trading System may be used for entering Cross Trades or Pre-Arranged Trades. In this case, announcement and entry of the corresponding Orders pursuant to Paragraph 2 will be automated.
| Pre-Trading | Trading | Post-Trading | |||
|---|---|---|---|---|---|
| Full | Late1 | Late2 | Restricted | ||
| 07:30 | 08:50 | 17:20 | 19:00 | 20:30 |
| Pre-Trading | Trading | Post-Trading | |||
|---|---|---|---|---|---|
| Full | Late1 | Late2 | Restricted | ||
| 07:30 | 08:50 | 17:20 | 19:00 | 20:30 | 20:30 |
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
No cash payment in CHF
Eurex is closed for trading and clearing (exercise and settlement) in Swiss equity index derivatives
No cash payment in USD
No cash payment in USD
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
Eurex is closed for trading and exercise in British equity index derivatives
Eurex is closed for trading and clearing (exercise and settlement) in Swiss equity index derivatives
Eurex is closed for trading and exercise in Finnish equity index derivatives
No cash payment in CHF
Eurex is closed for trading and clearing (exercise and settlement) in Swiss equity index derivatives
No cash payment in CHF
Eurex is closed for trading and exercise in British equity index derivatives
No cash payment in USD
No cash payment in USD
Eurex is closed for trading and exercise in Finnish equity index derivatives
No cash payment in USD
Eurex is closed for trading and clearing (exercise and settlement) in Swiss equity index derivatives
No cash payment in CHF
Eurex is closed for trading and exercise in British equity index derivatives
No cash payment in USD
No cash payment in USD
No cash payment in USD
No cash payment in USD
Eurex is closed for trading and exercise in Finnish equity index derivatives
Eurex is closed for trading in all derivatives
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
Eurex is closed for trading in all derivatives
| Fee Type | Fee |
|---|---|
| Exchange transactions: Standard fees (A-accounts) | CHF 1.18 per contract |
| Exchange transactions: Standard fees (M- and P-accounts) | CHF 1.00 per contract |
| Exchange transactions: Reduced fees A-accounts (contract volume above threshold) | CHF 0.59 per contract |
| Exchange transactions: Reduced fees P-accounts (contract volume above threshold) | CHF 0.50 per contract |
| TES transactions: Standard fees (A-accounts) | CHF 1.18 per contract |
| TES transactions: Standard fees (M- and P-accounts) | CHF 1.00 per contract |
| TES transactions: Reduced fees A-accounts (contract volume above threshold) | CHF 0.59 per contract |
| TES transactions: Reduced fees P-accounts (contract volume above threshold) | CHF 0.50 per contract |
| Eurex EnLight: Standard fees (A-accounts) | CHF 1.18 per contract |
| Eurex EnLight: Standard fees (M- and P-accounts) | CHF 1.00 per contract |
| Eurex EnLight: Reduced fees A-accounts (contract volume above threshold) | CHF 0.59 per contract |
| Eurex EnLight: Reduced fees P-accounts (contract volume above threshold) | CHF 0.50 per contract |
| Non-disclosed bilateral TES transactions: Standard fees (A-accounts) | CHF 1.18 per contract |
| Non-disclosed bilateral TES transactions: Standard fees (M- and P-accounts) | CHF 1.16 per contract |
| Non-disclosed bilateral TES transactions: Reduced fees A-accounts (contract volume above threshold) | CHF 0.59 per contract |
| Non-disclosed bilateral TES transactions: Reduced fees P-accounts (contract volume above threshold) | CHF 0.66 per contract |
| Eurex EnLight: Standard fees (Non-disclosure, A-accounts) | CHF 1.18 per contract |
| Eurex EnLight: Standard fees (Non-disclosure, M- and P-accounts) | CHF 1.16 per contract |
| Eurex EnLight: Reduced fees A-accounts (Non-disclosure, contract volume above threshold) | CHF 0.59 per contract |
| Eurex EnLight: Reduced fees P-accounts (Non-disclosure, contract volume above threshold) | CHF 0.66 per contract |
| Threshold A-accounts | 3,000.00 contracts |
| Threshold P-accounts | 2,000.00 contracts |
| Exercise of options (A-accounts) | CHF 1.18 per contract |
| Exercise of options (M- and P-accounts) | CHF 1.00 per contract |
| Position transfer with cash transfer | CHF 13.00 per transaction |
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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