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    Futures: Introduction of a mistrade range floor

    Release date: 11 Jun 2019 | Eurex Exchange

    066/2019 Futures: Introduction of a mistrade range floor

    Eurex Circular 066/19

    1. Introduction

    Eurex Exchange will introduce a mistrade range floor in addition to the current rules for the determination of the mistrade range for futures products.

    The introduction of this floor will prevent too narrow mistrade ranges for futures strategies with opposite trades, whilst no impact is expected on the mistrade range for outright futures products.

    The floor value will apply to all futures products where the Price Change Percentile (PCP) methodology is currently being used.

    The mistrade range floor will become effective from 19 June 2019.

    2. Details

    Determination of the mistrade range for a futures product including the new floor value will be performed as follows:

    A deviation from the reference price shall be deemed significant if the price of the mistrade transaction deviates from the reference price by more than the higher value between the mistrade range floor or 20 percent of the PCP1 for the corresponding futures contract, unless another regulation has been made for an individual product.

    The floor value for the mistrade range will be determined on a product level as the higher value between 10 percent of the corresponding outright futures mistrade range calculated using the price change percentile methodology and an absolute value of four?ticks.

    In case of futures strategies, the mistrade range will continue to be multiplied with the percentage specific to the number of contracts as set out in Number 2.8.5 of the Conditions for Trading at Eurex Deutschland.

    The rules for determining the mistrade range for options products remain unchanged and will continue to apply as set out in Number 2.8.5 of the Conditions for Trading at Eurex Deutschland.


    1 The PCP is a measure of price volatility which replaced the RBM margin parameters
    ?? effective 12 June 2017 (see Eurex Clearing Circular 015/17).


    Recipients:All Trading Participants of Eurex Deutschland and Vendors
    Target groups:Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination
    Related Circular:Eurex Clearing circular 015/17
    Contact:Andrei Jitariu, Market Models, T +44-207-8 627 214, [email protected]
    Authorized by:Randolf Roth
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  • 大智慧被证监会立案调查 涉嫌信息披露违规 2019-11-13
  • 国务院关税税则委员会办公室有关负责人对自美部分进口商品加征关税的解读 2019-11-13
  • 太原市业余游泳运动学校举办消防安全培训 2019-11-12
  • 逻辑遇到辩证法,逻辑就失灵了。以为逻辑可以一逻到底包打天下,那你就错了,将犯下大错。世界不仅有逻辑,还有辩证法,还有哲学,人类更有思想,也有意志和意愿。美国动不 2019-11-10
  • 以色列给F-35加油箱?挂满6油箱来去伊朗都不是事了 2019-11-10
  • 光明日报评论员:坚持推动构建人类命运共同体 2019-11-09
  • 国家人社部“支持鄱阳湖生态经济区建设专家服务上饶行”活动启动 雷平出席活动并致辞 2019-11-08
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