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    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.

  • 我国纳米核心技术取得重大突破 2019-02-17
  • 9年过去了 男子网坛还是费纳的天下 2019-02-17
  • 2018国际消费电子产品展 2019-02-14
  • 阿联酋计划向火星发射无人飞船 刷新阿拉伯太空史 2019-02-10
  • 国家统计局:5月一线城市房价同比持续下降 二线城市有所上涨 2019-02-02
  • 医疗专家入藏 免费治疗患儿 2019-01-29
  • 2018春运开启再读冰心莫言冯骥才笔下的“春运记忆” 2019-01-29
  • 《超人总动员2》刷新动画片北美首周末票房纪录 2019-01-29
  • 涉嫌诈骗1200万 潜逃韩国8年逃犯归案 2019-01-27
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  • 中央军委印发《传承红色基因实施纲要》 2019-01-18
  • 财政部发布五月份全国财政收支情况 2019-01-08
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  • 到户就不是计划经济,统一经营坚持集体的是计划经济。 2019-01-05
  • 工业互联网支持政策密集出台 2019-01-05