EURIBOR Futures and Options

(OEU3)

  • Bloomberg L.P.
    FPA Cmdty OMON
  • Refinitiv
    <0#FEU3+>
  • Currency
    EUR
  • Product ISIN
    DE0009653154
  • Underlying ISIN
    DE0009653147

Prices/Quotes

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Statistics

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Specifications

Contract Specifications

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.

Block Trades

Admitted to the Eurex Block Trade Service with a Minimum Block Trade Size of 100 contracts.

Market-Making Parameter

All quotation parameters at a glance

  • Quotation period
  • Maturity range
  • Spread class & Maximum Spread
  • Minimum Quote Size
Liquidity Provider schemes

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.
 

Mistrade Ranges

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. 

Trading Hours

Regular Trading Day
Pre-Trading Trading Post-Trading
Full Late1 Late2 Restricted
07:30 08:00 18:00 18:00 20:00
Last Trading Day
Pre-Trading Trading Post-Trading
Full Late1 Late2 Restricted
07:30 08:00 11:00 11:45

Trading Calendar

  • Jan 01
    Interest Rates | Equity | Equity Index | Dividends | FX | Volatility | ETF & ETC | Commodity | Cryptocurrency | Holiday

    Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives

  • Jan 12
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures

  • Jan 15
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Jan 15
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures

  • Feb 16
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures

  • Feb 19
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Feb 19
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures

  • Mar 15
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures (OEM1-4)

  • Mar 18
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Mar 18
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures (standard)

  • Mar 18
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures (OEM1-4)

  • Mar 19
    Money market index derivatives | Last Trading Day

    Last trading day for 3M SARON® Futures and Three-Month Euro STR Futures

  • Mar 19
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures (standard)

  • Mar 29
    Interest Rates | Equity | Equity Index | Dividends | Cryptocurrency | Volatility | FX | ETF & ETC | Commodity | Holiday

    Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives

  • Apr 01
    Interest Rates | Equity | Equity Index | Dividends | FX | Volatility | ETF & ETC | Commodity | Cryptocurrency | Holiday

    Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives

  • Apr 12
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures

  • Apr 15
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Apr 15
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures

  • May 01
    Interest Rates | Equity | Equity Index | Dividends | FX | Volatility | ETF & ETC | Commodity | Cryptocurrency | Holiday

    Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives

  • May 10
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures

  • May 13
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • May 13
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures

  • Jun 14
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures (OEM1-4)

  • Jun 17
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Jun 17
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures (standard)

  • Jun 17
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures (OEM1-4)

  • Jun 18
    Money market index derivatives | Last Trading Day

    Last trading day for 3M SARON® Futures and Three-Month Euro STR Futures

  • Jun 18
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures (standard)

  • Jul 12
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures

  • Jul 15
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Jul 15
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures

  • Aug 16
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures

  • Aug 19
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Aug 19
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures

  • Sep 13
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures (OEM1-4)

  • Sep 16
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Sep 16
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures (standard)

  • Sep 16
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures (OEM1-4)

  • Sep 17
    Money market index derivatives | Last Trading Day

    Last trading day for 3M SARON® Futures and Three-Month Euro STR Futures

  • Sep 17
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures (standard)

  • Oct 11
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures

  • Oct 14
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Oct 14
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures

  • Nov 15
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures

  • Nov 18
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Nov 18
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures

  • Dec 13
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures (OEM1-4)

  • Dec 16
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Dec 16
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures

  • Dec 16
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures (OEM1-4)

  • Dec 17
    Money market index derivatives | Last Trading Day

    Last trading day for 3M SARON® Futures and Three-Month Euro STR Futures

  • Dec 17
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures (standard)

  • Dec 24
    Interest Rates | Equity | Equity Index | Dividends | Volatility | ETF & ETC | Cryptocurrency | Commodity | FX | Holiday

    Eurex is closed for trading in all derivatives

  • Dec 25
    Interest Rates | Equity | Equity Index | Dividends | FX | Volatility | ETF & ETC | Commodity | Cryptocurrency | Holiday

    Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives

  • Dec 26
    Interest Rates | Equity | Equity Index | Dividends | FX | Volatility | ETF & ETC | Commodity | Cryptocurrency | Holiday

    Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives

  • Dec 31
    Interest Rates | Equity | Equity Index | Dividends | Volatility | ETF & ETC | Cryptocurrency | Commodity | FX | Holiday

    Eurex is closed for trading in all derivatives

Transaction Fees

Fee Type Fee
Exchange transactions: Standard fees (A-accounts) EUR 0.25 per contract
Exchange transactions: Standard fees (M- and P-accounts) EUR 0.20 per contract
Exchange transactions: Reduced fees A-accounts (contract volume above threshold) EUR 0.13 per contract
Exchange transactions: Reduced fees P-accounts (contract volume above threshold) EUR 0.10 per contract
TES transactions / Eurex EnLight: Standard fees (A-accounts) EUR 0.25 per contract
TES transactions / Eurex EnLight: Standard fees (M- and P-accounts) EUR 0.20 per contract
TES transactions / Eurex EnLight: Reduced fees A-accounts (contract volume above threshold) EUR 0.13 per contract
TES transactions / Eurex EnLight: Reduced fees P-accounts (contract volume above threshold) EUR 0.10 per contract
Threshold A-accounts 10,000.00 contracts
Threshold P-accounts 10,000.00 contracts
Position Closing Adjustments (A-accounts) EUR 0.50 per contract
Position Closing Adjustments (M- and P-accounts) EUR 0.40 per contract
Exercise of options (A-accounts) EUR 0.25 per contract
Exercise of options (M- and P-accounts) EUR 0.20 per contract
Assignment of options (A-accounts) EUR 0.25 per contract
Assignment of options (M- and P-accounts) EUR 0.20 per contract
Position transfer with cash transfer EUR 7.50 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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