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  • Service Navigation

    Eurex IOC Liquidity Indicator for Options

    Eurex IOC Liquidity Indicator for Options

    Eurex? IOC Liquidity Indicator for Options

    Our IOC Liquidity Indicator provides insight into the liquidity of more than 70 Eurex Exchange options products. The proprietary indicators are based on order information not publicly available and support algorithmic traders, banks, hedge funds and other market participants in determining liquidity and estimating the fair value of option instruments.

    ?

    Calculation details

    • IOC (immediate-or-cancel) orders are processed on entry, they are either fully or partially executed or not executed and immediately cancelled
    • The indicator provides the aggregated volume of deleted IOC orders within a 10 millisecond time period starting from the timestamp of a trade triggered by an IOC order
    • Data provided includes the volume indication and trade-related information such as price, quantity, execution ID and aggressive side that triggered the trade
    • The volume indication is derived on participant level

    Instrument universe

    The indicator is calculated for more than 70 Eurex options, including:

    • Options on Euro-Bobl Futures (OGBM)
    • Options on Euro-Bund Futures (OGBL)
    • Options on Euro-Schatz Futures (OGBS)
    • DAX? Options (ODAX)
    • EURO STOXX 50? Index Options (OESX)
    • EURO STOXX 50? Index Dividend Options (OEXD)
    • EURO STOXX? Banks Options (OESB)
    • KOSPI 200 (OKS2)
    • SMI? Options (OSMI)
    • VSTOXX? Options (OVS)
    • DAX? Equity Options
    • Other equity options

    A complete list of options for which the indicator is calculated is available on request.

    Data availability/technical information

    The information product Eurex? IOC Liquidity Indicator for Options is disseminated via (a) the Eurex MIC (multi-interface-channel), (b) the 10 GB Eurex market data connection as well as (c) Deutsche B?rse’s data feeds CEF? Core and CEF ultra+ Eurex.? The required bandwidth for this information product is 1mbps. The number of messages per day will range between 20,000 and 80,000.

    ?

    Market Status

    XEUR

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    -

    Parts of the trading system are currently experiencing technical issues

    The trading system is currently experiencing technical issues

    Production newsboard

    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.

    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.

  • 你真没一点脑子,文字是哪个人的,你到说说啊 2019-04-22
  • 习近平总书记国内外重要活动漫评 2019-04-21
  • 优衣库为啥火了?一对男女在试衣间啪啪啪 2019-04-21
  • 詹皇通知骑士队 准备与其续约 2019-04-18
  • 正确看待我国社会主要矛盾转化 2019-04-14
  • 天眼!国产警用安防无人机先进技术发布 2019-04-13
  • 【央视快评】让传统文化焕发新时代风采 2019-04-11
  • 黎昌仁:企业社会责任与企业发展能够形成良性互动与共赢 2019-04-09
  • 【高清组图】纽约迎来第40届“第五大道博物馆节” 2019-04-09
  • 普京力挽狂澜,从北高加索平叛到格鲁吉亚兴兵,从克里米亚回归到叙利亚反恐,给了俄罗斯人民新生——这一切都是和中国同志的支持分不开的。 2019-04-06
  • 西藏职业技术学院全面推进毕业生就业创业 2019-04-03
  • 《四部医典》入选《世界记忆亚太地区名录》 2019-03-30
  • 阿根廷队主帅桑保利:这不会是梅西最后一届世界杯 2019-03-30
  • 江西暴雨袭来白昼如夜 乌云密布似大片 2019-03-25
  • 亚冠前瞻:恒大权健皆不容有失 两将伤情成上港争胜关键 2019-03-24