Equity Options at Eurex Exchange. March 2019
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1 Equity Options at Eurex Exchange March 2019
2 Your benefits trading Eurex Equity Options One Stop Shop Weeklies & Euro- Style Eurex has the largest offer on single names: traded Options, Futures and Dividend products at one exchange Weeklies on all Eurostoxx components and European style options 3-11 Market Shares Eurex attracts more and more volume: trade where the liquidity is Eurex has 50% share in France, 24% in Italy, 25% in the Netherlands and 25% in Spain 12 Best execution Eurex offers tight spreads and low fees facilitating best execution. Over the past year we have seen liquidity moving on screen resulting in tighter spreads Savings Benefit from netting effects bundling your volume at one platform Trade Entry Services & Multilateral Trade Reg. Trade Entry services are facilitated by a number of brokers TES trades can be registered by multiple counterparties Flex Options & Vola Trades Flex Options: Define exercise price, expiration date, exercise style and settlement. Volatility Trades: Enter equity options delta-neutral strategies with an integrated cash leg 22 Lowest Fees We offer you low fees for client accounts and attractive volume and market making rebates up to 80% accross all country segments
3 Eurex Exchange Offers a Wide Range of Equity Options Eurex market participants are now able to trade Equity options on over 800 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 most components in the STOXX Europe 600, STOXX Europe Large 200, STOXX Europe Mid 200 and STOXX Europe Small 200 indices. Equity Options Underlying Country Index Components Covered No. of Equity Currency Options CHF Switzerland SMI, SLI, SMIM 121 EUR Germany DAX, MDAX, TecDAX 261 France CAC Netherlands AEX 60 Italy FTSE MIB 52 Spain IBEX Belgium BEL Austria ATX, ATX five 23 Finland OMX Helsinki Ireland ISEQ 20 8 Sweden OMC Stockholm 30 1 GBP UK FTSE USD Russia RDX USD 7 Total 807 * - Equity Options are not available for firms trading from the U.S. 3
4 Development Single Equity Options 1/2 Februar 19 Februar 18 YTM 2019 Traded Contracts Agent Principal Market Maker Open Interest Average Daily Volume % 54% Orderbook Off-Book Pie charts based on YTM 2019 data 4
5 Development Single Equity Options 2/2 Germany and Switzerland accounted >65% of the traded volume in January and February Country YTM 2019 YTM 2018 % change Germany % Switzerland % France % Netherlands % Finland % Italy % Spain % Belgium % Austria % Sweden % Great Britan % Ireland % Russia % Total % Pie charts based on YTD 2019 data 5
6 Equity Options Country Segments Development 6
7 Equity Options Country Segments Development 7
8 Equity Options Country Segments Development 8
9 Product Variations Weekly Options and Europeans Weekly & European Style Options Weekly Options 67 Weekly equity options are available on Eurex: 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 34 equity underlyings 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 it s life Remove uncertainty of executions during the options lifetime Cheaper than American options 9
10 Equity Options with weekly expiries Februar 19 Februar 18 YTM 2019 Traded Contracts Agent Principal Market Maker Open Interest Average Daily Volume Pie charts based on YTM 2019 data 10
11 Benefit from Efficiencies Benefit from netting effects bundling your volume at one platform Bundle your volume at one platform With Eurex Clearing Prisma Portfolio ing, trading for example the EURO STOXX 50 future or Sector & Broadbased futures versus several options of its components, makes you benefit from netting effects The same applies to trading different country segments at one platform Mitigating risks through CCP clearing With Eurex Clearing, Europe s leading clearing house for securities and derivatives transactions, as the central counterparty to all trades, you benefit from mitigated counterparty risk Eurex Clearing provides effective CCP, risk management and collateral management services thus improving operational efficiency as well as market safety overall 11
12 Mixed Countries (Options) Trading Equity Options on one single platform instead of several platforms can result into large margin savings Migrate your French, Dutch, Italian and Spanish Equity Option trading to Eurex as a single platform to benefit a maximum of netting effects They will be netted versus other country groups such as German and Swiss Equity Options as well as our benchmark futures AAR 33,649 CAR 58,748 CSGN 230,540 ALV 252,265 56% savings Portfolio 252,266 Single s Portfolio ing Name Eurex Long Short P/C Exp. Date Exercise Price Initial (in EUR) Liquidity add on (in EUR) Total (in EUR) Portfolio Total (in EUR) savings Allianz ALV C 2016/12/ ,997 34, ,265 Credit Suisse ABN Amro CSGN C 2016/12/ ,219 22, ,540 AAR C 2016/12/ ,974 5,675 33, ,266 56% Carrefour CAR C 2016/12/ ,295 13,453 58,748 12
13 France vs. Germany (Options) Trading French and German Equity Options on one single platform instead of several platforms can result into large margin savings Migrate your French Equity Options to benefit a maximum of netting effects. The Eurex market share within French Equity Options is consistenly above 50% versus our competitors and you will find the same level of liquidity They will be netted versus other country groups such as German and Swiss Equity Options as well as our benchmark futures BMW 3,772 BAS 4,290 AXA 234,222 LOR 1,823,032 26% savings Portfolio 1,512,997 Single s Portfolio ing Name Eurex Long Short P/C Exp. Date Exercise Price Initial (in EUR) Liquidity add on (in EUR) Total (in EUR) Portfolio Total (in EUR) savings BASF BAS C 2016/12/ , ,290 AXA AXA P 2016/12/ ,071 5, ,222 BMW BMW C 2016/12/ , ,772 1,512,997 26% L Oréal LOR P 2016/12/ ,416, ,989 1,823,032 13
14 FESX vs. Dutch equity options Especially the Eurostoxx components are very interesting to have on Eurex in respect to the netting effects you would have against the futures contract This example shows the Dutch options where you do not only benefit from a significantly lower fee at Eurex, but also from a netting effect PHI1 23,460 UNI 24,935 INN 28,796 FESX 118,413 44% savings Portfolio 108,498 Single s Portfolio ing Name Eurex Long Short P/C Exercise Price SX5E Index Future Exp. Date Initial (in EUR) Liquidity add on (in EUR) Total (in EUR) FESX /03/17 118, ,413 ING INN C /03/17 26,325 2,470 28,796 Philips PHI C /03/17 20,643 2,817 23,460 Portfolio Total (in EUR) savings 108,498 44% Unilever UNI C /03/17 23,057 1,878 24,935 *Option Style: American 14
15 Liquid Options Trading liquid Equity Options on Eurex as a single platform results in netting effects They will be netted versus versus the highly liquid Eurostoxx or Eurostoxx Banks Future (example below) BNP 84,586 DBK 147,495 FESB 315,540 VO3 511,309 27% savings Portfolio 766,795 Single s Portfolio ing Name Eurex Long Short P/C Exp. Date Exercise Price Initial (in EUR) Liquidity add on (in EUR) Total (in EUR) Portfolio Total (in EUR) savings SX5E Banks Fut FESB /12/16-240,211 75, ,540 VW VO P 2016/12/ , , ,309 Deutsche Bank DBK P 2016/12/ ,460 34, , ,795 27% BNP Paribas BNP P 2016/12/ ,969 21,597 84,586 15
16 Financial Institutions (Mixed Countries) Trading liquid Equity Options on banks with Eurex as a single platform results in netting effects They will be netted versus versus the highly liquid Eurostoxx Banks Future (example below) CRI5 61,301 FESB 74,799 BSD2 120,477 BPD 299,714 BNP 332,357 32% savings Portfolio 600,984 Single s Portfolio ing Name Eurex Long Short P/C Exp. Date Exercise Price Initial (in EUR) Liquidity add on (in EUR) Total (in EUR) Portfolio Total (in EUR) savings SX5E Banks Fut BNP Paribas FESB /12/16-53,864 20,935 74,799 BNP C 2016/12/ ,885 51, ,357 Santander BSD P 2016/12/ ,479 35, , ,984 32% UBI Banca BPD C 2016/12/ ,957 98, ,714 UniCredit CRI P 2016/12/ ,066 1,235 61,301 16
17 Automobiles (Italy & France) Trading liquid Equity Options on companies such as Fiat and Peugeot with Eurex as a single platform results in netting effects They will be netted versus versus the liquid Eurostoxx Automobiles Future (example below) PEU 84,586 FESA 147,495 57% savings FIA5 511,309 Portfolio 522,627 Single s Portfolio ing Name Eurex Long Short P/C Exp. Date Exercise Price Initial (in EUR) Liquidity add on (in EUR) Total (in EUR) Portfolio Total (in EUR) savings ES Autom.&P FESA /12/16-260,241 17, ,115 Fiat FIA P 2016/12/ , , , ,627 57% Peugot PEU P 2016/12/ ,628 50, ,525 17
18 Contract Specifications Contract Size Price Quotation Tick Size Contract Months 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. Daily Settlement Price Final Settlement Price 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). Settlement Physical delivery of underlying shares is two exchange trading days after exercise: t+2 Last Trading Day Option Premium Trading Hours 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. Orderbook: 09:00-17:30 CET; Swiss EO: 09:00-17:20 CET; Russian EO: 09:15-16:30 CET Eurex Trade Entry Services: 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 18
19 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 off-book trades. Eurex Trade Entry Services Members are able to enter bilaterally agreed off-book transactions into the trading and clearing system. Registered off-book 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 optionally not disclosed intraday. Thresholds are published on the Eurex website No Extra fee for non-publication On the following day, reports will contain updated volumes and open interest, including the ones that were not disclosed 19
20 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 off-book 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 off-book 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 Eurex Vola Strategy Participants are able to enter equity options delta-neutral strategies trades with an integrated cash leg The facility provides Straight-through processing for all legs of a volatility strategy including the equity cash leg 20
21 Competitive & Transparent Fee Structure Trading and clearing covered by one fee Up to 80% fee rebates are available, depending on monthly proprietary trading volume, liquidity class and trade type Trade Entry Services (TES) fees apply to all transactions executed via the Eurex Block Trade facility and to flexible options Product currency Transaction fees Threshold Exercise fee Fee per lot Reduced fee* A-Account P-Account Fee per lot** Orderbook TES Orderbook TES (contracts) (contracts) EUR (European Equity Options) EUR (German Equity Options) A- Account EUR (German Equity Options) P/M- Account CHF A-Account CHF P/M-Account ,10 1, GBP USD *Applies to contracts exceeding the threshold **No fees are charged for exercise of LEPOs 21
22 Fee Comparison for Netherlands: Client Accounts Trading Client orders on Eurex reduces cost by more than half for Dutch Options *based on publicly available information according to the TOM. Euronext and LCH website 22
23 Fee Comparison for Spain: Client Accounts Eurex is always cheaper, especially for small orders. Otherwise you can save half your trading costs trading on Eurex E.g. a 2000 lot trade costs you 400 on MEFF and only 150 on Eurex enlarged *based on publicly available information according to the MEFF website 23
24 Fee Comparison for Italy: Client Accounts Eurex is always cheaper *based on publicly available information according to the IDEM website 24
25 Fee Comparison for France: Client Accounts There is a small difference up to 1000 lot orders, then Eurex is cheapest up to 3000 / 4000 lot trades Eurex offers free non-publication from different thresholds onwards 25
26 Fee Comparison for UK: Client Accounts 26
27 Further information For full equity option product list, contracts specifications and parameters (including Group ID): Corporate action announcements: Eurex Trade Entry Services: erviceparameters.zip Market Making : Broker & Market Makers: Trading Fees: 27
28 Further information Contact us Sales Germany, Benelux & France Paul Beck Deutsche Börse Group Clearstream International Lux The Square 42, Avenue JF Kennedy L-1855 Luxembourg T: paul.beck@deutsche-boerse.com Sales Switzerland & Italy Philipp Schultze Eurex Global Derivatives AG Theilerstrasse 1a 6300 Zug Switzerland T: vincenzo.zinna@eurexchange.com Achim Karle Eurex Frankfurt AG Germany, Representative Office Mergenthalerallee Eschborn T: achim.karle@eurexchange.com Nicolas Kageneck Paris, Representative Office 17 Rue de Surène Paris France T: nicolas.kageneck@deutsche-boerse.com Trading T: Eurex Functional Helpdesks Clearing T: Eurex Technical Helpdesk Technical T:
29 Eurex 2018 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. Deutsche Boerse Asia Holding Pte. Ltd., Eurex Clearing Asia Pte. Ltd. and Eurex Exchange Asia Pte. Ltd are corporate entities and are registered under Singapore 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. All intellectual property, proprietary and other rights and interests in this publication and the subject matter hereof (other than certain trademarks and service marks listed below) are owned by DBAG and its affiliates and subsidiaries including, without limitation, all patent, registered design, copyright, trademark and service mark rights. While reasonable care has been taken in the preparation of this publication to provide details that are accurate and not misleading at the time of publication DBAG, Clearstream, Eurex, Eurex Clearing, Eurex Bonds, Eurex Repo as well as the Eurex Exchanges and their respective servants and agents (a) do not make any representations or warranties regarding the information contained herein, whether express or implied, including without limitation any implied warranty of merchantability or fitness for a particular purpose or any warranty with respect to the accuracy, correctness, quality, completeness or timeliness of such information, and (b) shall not be responsible or liable for any third party s use of any information contained herein under any circumstances, including, without limitation, in connection with actual trading or otherwise or for any errors or omissions contained in this publication. This publication is published for information purposes only and shall not constitute investment advice respectively does not constitute an offer, solicitation or recommendation to acquire or dispose of any investment or to engage in any other transaction. This publication is not intended for solicitation purposes but only for use as general information. All descriptions, examples and calculations contained in this publication are for illustrative purposes only. Eurex and Eurex Clearing offer services directly to members of the Eurex exchanges respectively to clearing members of Eurex Clearing. Those who desire to trade any products available on the Eurex market or who desire to offer and sell any such products to others or who desire to possess a clearing license of Eurex Clearing in order to participate in the clearing process provided by Eurex Clearing, should consider legal and regulatory requirements of those jurisdictions relevant to them, as well as the risks associated with such products, before doing so. Eurex derivatives are currently not available for offer, sale or trading in the United States or by United States persons (other than EURO STOXX 50 Index Futures, EURO STOXX 50 Index Quanto Futures, EURO STOXX 50 ex Financials Index Futures, EURO STOXX Select Dividend 30 Index Futures, EURO STOXX Index Futures, EURO STOXX Large/Mid/Small Index Futures, STOXX Europe 50 Index Futures, STOXX Europe 600 Index Futures, STOXX Europe 600 Banks/Industrial Goods & Services/Insurance/Media/Travel & Leisure/Utilities Futures, STOXX Europe Large/Mid/Small 200 Index Futures, DAX /Mini-DAX /MDAX /TecDAX Futures, SMIM Futures, SLI Swiss Leader Index Futures, MSCI World (FMWO, FMWP, FMWN)/Europe (FMED, FMEU, FMEP)/Europe Value/Europe Growth/Europe ex Switzerland/Emerging Markets (FMEM, FMEF, FMEN)/Emerging Markets Latin America/Emerging Markets EMEA/Emerging Markets Asia/EMU/Frontier Markets/Kokusai (FMKG, FMKN)/AC Asia Pacific/AC Asia Pacific ex Japan/ACWI/Pacific ex Japan/Pacific (FMPG, FMPA)/Australia/China Free/Hong Kong/India/Indonesia/Japan (FMJP, FMJG)/Malaysia/Mexico/South Africa/Thailand/UK (FMUK, FMDK)/USA/USA Equal Weighted/USA Momentum/USA Quality/USA Value Weighted Index Futures, TA-25 Index Futures, Eurex Daily Futures on Mini-KOSPI 200 Futures, Daily Futures on TAIEX Futures, VSTOXX Futures, EURO STOXX 50 Variance Futures as well as Eurex FX, property and interest rate derivatives). Trademarks and Service Marks Buxl, DAX, DivDAX, eb.rexx, Eurex, Eurex Bonds, Eurex Repo, Eurex Strategy Wizard SM, Euro GC Pooling, FDAX, FWB, GC Pooling,, GCPI, MDAX, ODAX, SDAX, TecDAX, USD GC Pooling, VDAX, VDAX-NEW and Xetra are registered trademarks of DBAG. All MSCI indexes are service marks and the exclusive property of MSCI Barra. ATX, ATX five, CECE and RDX are registered trademarks of Vienna Stock Exchange AG. IPD UK Annual All Property Index is a registered trademark of Investment Property Databank Ltd. IPD and has been licensed for the use by Eurex for derivatives. SLI, SMI and SMIM are registered trademarks of SIX Swiss Exchange AG. The STOXX indexes, the data included therein and the trademarks used in the index names are the intellectual property of STOXX Limited and/or its licensors Eurex derivatives based on the STOXX indexes are in no way sponsored, endorsed, sold or promoted by STOXX and its licensors and neither STOXX nor its licensors shall have any liability with respect thereto. Bloomberg Commodity Index SM and any related sub-indexes are service marks of Bloomberg L.P. PCS and Property Claim Services are registered trademarks of ISO Services, Inc. Korea Exchange, KRX, KOSPI and KOSPI 200 are registered trademarks of Korea Exchange Inc. Taiwan Futures Exchange and TAIFEX are registered trademarks of Taiwan Futures Exchange Corporation. Taiwan Stock Exchange, TWSE and TAIEX are the registered trademarks of Taiwan Stock Exchange Corporation. BSE and SENSEX are trademarks/service marks of Bombay Stock Exchange (BSE) and all rights accruing from the same, statutory or otherwise, wholly vest with BSE. Any violation of the above would constitute an offence under the laws of India and international treaties governing the same. The names of other companies and third party products may be trademarks or service marks of their respective owners. 29
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