| |
| ONE YEAR MID-CURVE OPTIONS ON EURIBOR FUTURES |
| |
|
|
 Codes and classification |
| Mnemo |
K |
Market |
NYSE Liffe London |
Vol. |
24,050 19/11/09 |
| Exercise type |
American |
Currency |
€ |
O.I. |
1,348,734 |
|
|
|
|
|
|
One Year Mid-Curve Options on Three Month Euro (EURIBOR) Futures |
|
Unit of trading |
One Three Month Euro (EURIBOR) Interest Rate Futures Contract |
|
Expiry months |
March, June, September, December, and two serial months, such that six expiry months are available for trading, with the
nearest three expiry months being consecutive calendar months |
Minimum price movement
(tick size and value) |
0.005 (€12.50) |
|
Exercise day |
Exercise by 17:00 on any business day prior to the expiry day and until 10:45 on the Last Trading Day |
|
Last trading day |
Two business days prior to the third Wednesday of the expiry month. On the Last Trading Day, trading in the expiring month will cease at 10:00 |
|
Delivery day |
Delivery on the first business day after the exercise day |
|
Trading hours |
07:02 – 18:00 |
|
Related documentation |
|
Options On Short Term Interest Rate, Swapnote® And Government Bond Contracts |
|
|
Last update |
22/07/09 |
|
- Trading Platform:
- LIFFE CONNECT® Trading Host for Futures and Options
- Algorithm: Central order book applies pro-rata algorithm, but with priority given to the first order at the best price subject to a minimum order volume and limited to a maximum volume cap.
- Wholesale Services: Block Trading
- Contract Standard:
- Assignment of one three month Euribor futures contract at the exercise price. The futures delivery month associated with each option expiry month shall be:
March the following year in respect of January, February and March expiry months;
June the following year in respect of April, May and June expiry months;
September the following year in respect of July, August and September expiry months; and
December the following year in respect of October, November and December expiry months - Exercise Price Intervals:
- 0.125 (i.e. 0.125%) e.g. 94.00, 94.125, 94.25 etc for all expiry months
- Introduction of new exercise prices:
- Seventeen exercise prices will be listed for each new series. Additional exercise prices will be listed when the three month Euribor futures contract settlement price is within 0.06 of the eighth highest or lowest existing price, or as deemed necessary by the Exchange
- Option Premium:
- The contract price is not paid at the time of purchase. Option positions, as with futures positions, are marked-to-market daily giving rise to positive or negative variation margin flows. When the Buyer exercises/abandons an option, the Buyer is required to pay the original contract price to the Clearing House and the Clearing House will pay the original option price to the Seller on the following business day. Such payments will be netted against the variation margin balances of Buyer and Seller by the Clearing House
Clearing:LCH.Clearnet. |
|
|
|
|
|
