December 2016
Intermediate to advanced
368 pages
7h 31m
English
Content preview from Listed Volatility and Variance Derivatives
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CHAPTER 11 Trading and Settlement
11.1 Introduction
This chapter covers practical aspects of trading Eurex variance futures. Among others, topics are:
- overview of major variance futures contract terms
- intraday trading and trade conventions
- trade matching at the end of the trading day
- different traded volatilities with their impact on margining
- after the trade matching until maturity
- further details about interest rate calculation and market disruption events.
11.2 Overview of Variance Futures Terms
The following list provides an overview of the major terms of the Eurex variance futures contract. All technical terms are explained in chapter 10 Variance Futures at Eurex.
- underlying: realized variance of EURO STOXX 50 stock index
- interest rates: Euribor for present value factor DFt and Eonia for ARMVMt
- standard strike: determined on first trading day and equal to settled implied volatility for the relevant maturity
- 1st settlement price: equal to 3,000 (i.e. for setting standard strike = settled implied variance)
- contract value: 1 EUR per variance futures point
- minimum price change/tick value: 0.0001 variance futures points and 0.0001 EUR
- settlement: in cash
- terms: next three month ends and the next three quarter end months thereafter as well as June and December thereafter
- last trading day: one day before final settlement day
- final settlement day/expiration: third Friday of maturity month
- final settlement price: based on the average index level of EURO STOXX 50 between 11:50 ...
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