Equity Options at Eurex Exchange. July 2014

Transcription

1 Equity Options at Eurex Exchange July 2014

2 Eurex Exchange Offers a Wide Range of Equity Options Eurex market participants are now able to trade equity options on over 500 stocks, from 13 countries.* The range offers access to all the components of the EURO STOXX 50 and STOXX Europe 50 Index, as well as mostly components in the STOXX Europe 600, STOXX Europe Large 200, STOXX Europe Mid 200, STOXX Europe Small 200 indices and DJ Global Titans 50(SM). Equity Options Underlying Index Components No. of Equity Currency Country Covered Options CHF Switzerland SMI, SLI and SMIM 75 Austria ATX, ATX five 24 Belgium BEL Germany DAX, MDAX, TecDAX 159 Spain IBEX 35 9 Finland OMX Stockholm EUR France CAC Ireland ISEQ 20 9 Italy S&P MIB 36 Netherlands AEX Index 35 Sweden OMX Stockholm 30 2 GBP, EUR UK FTSE USD Russia RDX USD 7 Total 512 *Equity options are not available for firms trading from the U.S. 2

3 Thousands Millions Equity Options at Eurex Exchange July 2014 Equity Options Volume Development Over 90 million equity options contracts were traded in the first half of 2014 Execution of EO trades is split evenly between Orderbook and OTC trades 45% of the volume is generated by Principal and Agent accounts Equity Options traded contracts and open interest 60,0 Volume per Account* 11% 34% 55% ,0 40,0 30,0 20,0 A - Agent M - Market Maker P - Principal * Account Share for H Trade Execution * ,0 0,0 45% 55% OTC Trade Volume Orderbook Volume OI adjusted Equity Options OTC Trade Volume * Account Share for H Orderbook Volume 3

4 Equity Options by Segment Equity Options volume by underlying country H Four country segments (Germany, Switzerland, Finland and France) accounted for 89% of the traded volume in the first half of Dutch and French segment grew in H by 57% and 19% respectively when compared to the same period in Top 10 equity options in H1 2014: Product Product code Traded Contracts in H Nokia NOA3 7,587,126 Deutsche Telekom DTE 4,741,759 E.ON EOA 4,081,052 Nestlé NESN 3,883,709 Deutsche Bank DBK 3,609,243 Commerzbank CBK 3,230,912 UBS UBSN 2,929,684 Daimler DAI 2,914,366 Deutsche Post SAP 2,648,359 Novartis NOVN 2,645,972 Total 38,272,782 Switzerland 23% Finland 9% France 12% Netherlands 5% Spain 4% Others* 2% Germany 45% *Others: Italy, Belgium, Great Britain, Austria, UK, Russia, Ireland, Sweden, Luxembourg Country of underlying Traded Contracts in H Germany 40,567,067 Switzerland 20,496,499 France 11,129,260 Finland 7,822,095 Netherlands 4,555,068 Spain 3,299,572 Others* 2,243,518 Total 90,113,079 4

5 Contract Specifications Contract size Price quotation Tick size Contract months Daily settlement price Final settlement price Settlement Last trading day Option premium Trading hours 1, 10, 100, 500, 1,000, 2,500 or 5,000 shares EUR**/CHF/USD: 0.01 GBP: 0.25 or 0.5 ** Exceptions - Italian equity options: EUR Bank of Ireland and Permanent TSB holdings : EUR0.001 Up to 12, 24 and 60 months: The three nearest successive calendar months, the three (for Spanish equity options nine) following quarterly months of the March, June, September and December cycle thereafter, and the four (for Spanish equity options the nearest) following semi-annual months of the June and December cycle thereafter, and the two following annual months of the December cycle thereafter. The daily settlement price is established by Eurex. The daily settlement prices for equity options are determined through the binomial model according to Cox/Ross/Rubinstein. If necessary, dividend expectations, current interest rates or other payments are taken into consideration. American-style; an option can be exercised until the end of the Post-Trading Full Period (20:00 CET) on any trading day during the lifetime of the option. European-style for equity options with group ID DE 14, CH14, FI14, FR14 and NL14; an option can only be exercised on the Last Trading Day until the end of the Post-Trading Full Period (20:00 CET).European-style Russian equity options: an option can only be exercised on the last trading day until the end of the Post-Trading Full Period (17:40 CET). Physical delivery of underlying shares two or three exchange trading days after exercise: Standard: t+3; German equity options t+2; Third Friday of the respective month, for Italian equity options the day before the third Friday, of each expiration month, if this is an exchange day; otherwise, the exchange day immediately preceding that day. The premium is payable in full in the currency of the respective contract on the exchange day following the day of the trade. Order book: 09:00-17:30 CET; Swiss EO: 09:00-17:20 CET; Russian EO: 09:15-16:30 CET EurexOTC: 09:00-19:00 CET; Austrian EO: 09:15-19:00 CET; UK and Irish EO: 09:00-18:30 CET; Russian EO: 10:00-19:00 CET ( 16:30-17:00 CET on the last trading day of Russian EO) The opening time of 09:00 is considered a reference point. Eurex opens its equity options staggered between 08:50-09:05 The closing time of is considered a reference point. Eurex closes its equity options staggered between 17:30-17:36 5

6 Product Variations Weekly Options and Europeans Weekly Options Weekly options are available on: Daimler (DAI), Deutsche Bank (DBW), Deutsche Telekom (DTE) and Nokia (NOA). Weekly options expire every Friday. Contract specifications are similar to the monthly options. Advantages: Lower premiums Implement more targeted strategies, i.e.: tailor strategies around specific market events Wider choice of expiry dates Short-term investment in the underlying equity European-Style Options European-style options are available on 29 equity underlyings (full list in the appendix). The exercise style is the only difference between the American and European equity options contract specifications. Advantages: Implement more targeted strategies Option can only be exercised at the end of the month Remove uncertainty of executions during the options lifetime Cheaper than American-style options 6

7 Eurex Trade Entry Services Offers You Safety Participants can enter off-order book trades into the Eurex system, benefiting from the safety of clearing and settlement as well as the flexibility of OTC trades. Eurex Trade Entry Services Members are able to enter bilaterally agreed OTC transactions into the trading and clearing system. Registered OTC trades are then automatically cleared like regular exchange transactions. The Eurex Trade Entry Services facility is fully electronic and integrated into members processes (Minimum number of contracts apply) Eurex Trade Entry Services Nondisclosure facility Block trades reaching or exceeding a certain number of contracts (defined by the exchange) are not disclosed intraday. Thresholds are: 1,001, 2,501, 5,001, 10,001 and 20,001 contracts, On the following day, reports will contain updated volumes and open interest, including the ones that were not disclosed. 7

8 and flexibility Participants can enter off-order book trades into the Eurex system, benefiting from the safety of clearing and settlement as well as the flexibility of OTC trades Flexible Options Multilateral Trade Registration Allows customisation of equity options to suit the participant requirement. Users can define exercise price, expiration date, exercise style and settlement type. Flexible contracts are not disclosed intra-day. Members can enter an OTC transaction involving multiple counterparties with automated confirmation. Partial trades can be entered which can be assigned to counterparties. Block trade fee caps are applied to all partial trades. Fees apply only up to the fee cap, providing substantial cost efficiencies Participants are able to enter equity options delta-neutral strategies trades with an Eurex Vola Strategy integrated cash leg. The facility provides straight-through processing for all legs of a volatility strategy including the equity cash leg. 8

9 Transparent fee structure Among the major European markets, Eurex Exchange offers the most competitive fees for trading equity options and Low Exercise Price Options (LEPOs) : Product currency Trading and clearing covered by one fee Up to 80% fee rebates are available, depending on monthly proprietary trading volume One fee for all account types Transaction fees Threshold Exercise fee Fee per lot Reduced fee* A-Account P-Account Fee per lot** Orderbook OTC Orderbook OTC (contracts) (contracts) EUR CHF , GBP USD OTC fee applies to all transactions executed via the Eurex Block Trade Service and to flexible options 0.10 *Applies to contracts exceeding the threshold **No fees are charged for exercise of LEPOs 9

10 Further information For full equity option product list, contracts specifications and parameters: Corporate actions adjustment process: EurexOTC Trade Entry Services: Market Making : Broker & Market Makers: Trading Fees: 10

11 Contacts Eurex London Office London Representative Office 11 Westferry Circus, Canary Wharf London, E14 4HE United Kingdom P: +44 (0) Info.uk@eurexchange.com Eurex Frankfurt AG Frankfurt Office The Cube (visitors address) Mergenthalerallee Eschborn Germany T: eurex.sales@eurexchange.com Eurex Hong Kong Representative Office Room 1101, 11F , 29/F Man Yee Building 68 Des Voeux Road Central Hong Kong T: Info.hong-kong@eurexchange.com Eurex Frankfurt AG Singapore Branch 9 Raffles Place #56-01, Republic Plaza Singapore Republic of Singapore T: Info.singapore@eurexchange.com Deutsche Börse Group Tokyo Representative Office 12th floor Yurakucho ITOCiA, Yurakucho, Chiyoda-ku Tokyo, Japan T: Info.japan@eurexchange.com Eurex Zürich AG Löwenstrasse Zurich Switzerland P: info.switzerland@eurexchange.com Eurex France Representative Office 17, Rue de Surène Paris France T: info.france@eurexchange.com Eurex New York Office 60 Broad Street, 26th floor New York, NY USA T: F: info.usa@eurexchange.com Eurex Chicago Office 233 South Wacker Drive, Suite 2450 Chicago, IL USA T: info.usa@eurexchange.com Trading T: Eurex Functional Helpdesks Clearing T: Eurex Technical Helpdesk Technical T:

12 Appendix List of European Equity options Product Product name Underlying ISIN of the Underlying Product Product name Underlying ISIN of the Underlying ABBE OPT E ON ABB LTD ABB LTD CH INNE OPT E ON ING GROEP NV CVA ING GROEP NV CVA NL ADSE OPT E ON ADIDAS AG ADIDAS AG DE000A1EWWW0 MEOE OPT E ON METRO AG METRO DE ALVE OPT E ON ALLIANZ ALLIANZ SE DE MRKE OPT E ON MERCK AG MERCK KGAA DE AXAE OPT E ON AXA AXA FR MUVE OPT E MUENCHENER RUECKVERSICHE MUENCHENER RUECKVERSICHE DE BASE OPT E ON BASF BASF SE DE000BASF111 NESE OPT E ON NESTLE AG,NOM NESTLE AG, NOM. CH BAYE OPT E ON BAYER BAYER AG DE000BAY0017 NOAE OPT E ON NOKIA CORP. A FM 5 NOKIA CORP. A FM 5 FI BMWE OPT E ON BMW AG BMW AG DE NOVE OPT E ON NOVARTIS AG NOVARTIS AG CH CBKE OPT E ON COMMERZBANK COMMERZBANK AG DE000CBK1001 ROGE OPT E ON ROCHE HOLDING ROCHE NES CH CSGE OPT E ON CS GROUP NAMEN CS GROUP NAMEN CH RWEE OPT E ON RWE RWE AG -ST- DE DAIE OPT E ON DAIMLER DAIMLER AG DE SAPE OPT E ON SAP SAP AG DE DBKE OPT E ON DEUTSCHE BANK DEUTSCHE BANK AG DE SIEE OPT E ON SIEMENS SIEMENS AG DE DTEE OPT E ON DEUTSCHE TELEKOM DEUTSCHE TELEKOM AG DE SREE OPT E ON SWISS RE AG SWISS RE AG CH EOAE OPT E ON E.ON SE E.ON SE DE000ENAG999 UBSE OPT E ON UBS AG UBS AG CH FTEE OPT E ON ORANGE ORANGE FR ZURE OPT E ON ZURICH INSURANCE GROUP ZURICH INSURANCE GROUP CH IFXE OPT E ON INFINEON AG INFINEON AG DE

13 Eurex 2014 Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) as well as Eurex Bonds GmbH (Eurex Bonds) and Eurex Repo GmbH (Eurex Repo) are corporate entities and are registered under German law. Eurex Zürich AG is a corporate entity and is registered under Swiss law. Clearstream Banking S.A. is a corporate entity and is registered under Luxembourg law. U.S. Exchange Holdings, Inc. and International Securities Exchange Holdings, Inc. (ISE) are corporate entities and are registered under U.S. American law. Eurex Frankfurt AG (Eurex) is the administrating and operating institution of Eurex Deutschland. Eurex Deutschland and Eurex Zürich AG are in the following referred to as the Eurex Exchanges. 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