Contract Specifications
Contract standards
Swiss Average Rate Overnight (SARON®), a collateralized reference rate based on actual market transactions and prices in the Swiss inter-bank repo market.
Contract value
CHF 2,500 per index point.
Settlement
Cash settlement, payable on the first Swiss exchange day following the final settlement day.
Price quotation and minimum price change
The price quotation is in index points with three decimal places on an index basis of 100 less the numerical value of the interest rate traded. The minimum price change is 0.005 index points, equivalent to a value of CHf 12.50.
Contract months
Up to 36 months: The twelve nearest quarterly months of the March, June, September and December cycle.
Last trading day and final settlement day
Last trading day is the final settlement day. Final settlement day is the first exchange days prior to the third Wednesday of the respective maturity month, provided that on that day the SIX Swiss Exchange AG has determined the reference interest rate SARON®; otherwise, the exchange day immediately preceding that day. Close of trading in the maturing futures on the last trading day is at 18:00 CET.
Daily settlement price
The daily settlement price for the current maturity month of 3M SARON® Futures is derived from the volume-weighted average of the prices of all transactions during the minute before 17:15 CET (reference point), provided that more than five trades transacted within this period.
For the remaining maturity months, the daily settlement price for a contract is determined based on the average bid/ask spread of the combination order book.
Final settlement price
The final settlement price is established by Eurex on the final settlement day after the last SARON® fixing at 18:00 CET and is determined by the following formula:
To fix the final settlement price, the numerical value of the SARON® rate is rounded to three decimal places and then subtracted from 100..
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
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 | 08:00 | 18:00 | 19:00 | 19:00 |
| Pre-Trading | Trading | Post-Trading | |||
|---|---|---|---|---|---|
| Full | Late1 | Late2 | Restricted | ||
| 07:30 | 08:00 | 18:00 |
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
Last trading day for Options on Three-Month EURIBOR Futures
Last trading day for Three-Month EURIBOR Futures
Delivery day for Options on Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures
Last trading day for Three-Month EURIBOR Futures
Delivery day for Options on Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last trading day for Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures (standard)
Delivery day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last trading day for 3M SARON® Futures and Three-Month Euro STR Futures
Delivery day for Options on Three-Month EURIBOR Futures (standard)
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
Last trading day for Options on Three-Month EURIBOR Futures
Last trading day for Three-Month EURIBOR Futures
Delivery day for Options on Three-Month EURIBOR Futures
Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives
Last trading day for Options on Three-Month EURIBOR Futures
Last trading day for Three-Month EURIBOR Futures
Delivery day for Options on Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last trading day for Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures (standard)
Delivery day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last trading day for 3M SARON® Futures and Three-Month Euro STR Futures
Delivery day for Options on Three-Month EURIBOR Futures (standard)
Last trading day for Options on Three-Month EURIBOR Futures
Last trading day for Three-Month EURIBOR Futures
Delivery day for Options on Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures
Last trading day for Three-Month EURIBOR Futures
Delivery day for Options on Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last trading day for Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures (standard)
Delivery day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last trading day for 3M SARON® Futures and Three-Month Euro STR Futures
Delivery day for Options on Three-Month EURIBOR Futures (standard)
Last trading day for Options on Three-Month EURIBOR Futures
Last trading day for Three-Month EURIBOR Futures
Delivery day for Options on Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures
Last trading day for Three-Month EURIBOR Futures
Delivery day for Options on Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last trading day for Three-Month EURIBOR Futures
Last trading day for Options on Three-Month EURIBOR Futures
Delivery day for Options on Three-Month EURIBOR Futures (OEM1-4)
Last trading day for 3M SARON® Futures and Three-Month Euro STR Futures
Delivery day for Options on Three-Month EURIBOR Futures (standard)
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-, M- and P-accounts) | CHF 0.50 per contract |
| TES transactions / Eurex EnLight: Standard fees (A-, M- and P-accounts) | CHF 0.75 per contract |
| Position Closing Adjustments (A-accounts) | CHF 1.00 per contract |
| Position Closing Adjustments (M- and P-accounts) | CHF 0.80 per contract |
| Cash settlement (A-accounts) | CHF 0.50 per contract |
| Cash settlement (M- and P-accounts) | CHF 0.40 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.
An instant update of the Market Status requires an enabled up-to date Java™ version within the browser.