Contract standards
Three-Month EURIBOR Futures
Contract size
One Three-Month EURIBOR Futures contract.
Settlement
The exercise of an option on the Three-Month EURIBOR Futures contract results in the creation of a corresponding position in the Three-Month EURIBOR Futures for the option buyer as well as the seller to whom the exercise is assigned. The position is established after the Post-Trading Full Period of the exercise day, and is based on the agreed exercise price.
Price quotation and minimum price change
The price quotation is in points, with three decimal places. The Minimum Price Change is 0.0025 index points, equivalent to a value of EUR 6.25.
Contract months
Up to 24 months: The six nearest calendar months as well as the six following quarterly months of the March, June, September and December cycle thereafter. The maturity month of the underlying futures contract and the expiration month of the option are identical in the expiration months March, June, September and December, in the other expiration moths, the maturity month of the underlying futures contract is the cyclic quarterly month following the expiration month of the option.
Last trading day
Option series expiring with the underlying EURIBOR futures contract (FEU3) in an identical quarterly month of the cycle March, June, September and December:
Two exchange days prior to the third Wednesday of the respective expiration month, provided that on that day the European Money Markets Institute (EMMI) has determined the EURIBOR reference interest rate pertaining to three-month euro term deposits; otherwise, the exchange day immediately preceding that day. Close of trading in these expiring option series on the last trading day is at 11:00 CET.
Option series not expiring in quarterly month of the cycle March, June, September and December:
The Friday prior to the third Wednesday of the respective expiration month, provided that on that day the European Money Markets Institute (EMMI) has determined the EURIBOR reference interest rate pertaining to three-month euro term deposits; otherwise, the exchange day immediately preceding that day. Close of trading in these expiring option series on the last trading day is at 17:15 CET.
Daily settlement price
The daily settlement price is established by Eurex. The daily settlement prices for Options on Three-Month EURIBOR Futures are determined trough the binomial model according to Cox/Ross/Rubinstein.
Exercise
American-style; an option can be exercised up to the end of the Post-Trading Full Period (20:00 CET) on any exchange day during the lifetime of the option, and on the last trading day until 11:45 CET for quarterly expiries and 18:00 CET for non-quarterly expiries.
Exercise prices
The expiration months have exercise prices with intervals of 0.125 index points.
Number of exercise prices
Upon the admission of the options, at least 25 exercise prices shall be made available for each term for each call and put, such that twelve exercise prices are in-the-money, one is at-the-money and twelve are out-of-the-money.
Option premium
The premium is settled using the futures-style method.
Admitted to the Eurex Block Trade Service with a Minimum Block Trade Size of 100 contracts.