| |
| OPTIONS ON THREE MONTH EURIBOR FUTURES |
| |
|
|
 Códigos e classificação |
| Mnemo |
I |
Mercado |
NYSE Liffe London |
Vol. |
217,520 19/11/09 |
| Tipo de exercício |
American |
Divisa |
€ |
O.I. |
11,690,878 |
|
|
|
|
|
|
Options on Three Month Euro (EURIBOR) Futures |
|
Unidade de negociação |
One Three Month Euro (EURIBOR) Futures contract |
|
Meses de vencimento |
March, June, September, December, and two serial months, such that ten expiry months are available for trading, with the nearest three expiry months being consecutive calendar months
|
|
Mínima variação (tick) |
0.005 (€12.50) |
|
Dia de exercício |
Exercise by 17:00 on any business day prior to the expiry day and until 10:45 on the Last Trading Day |
|
Último dia de negociação |
Two business days prior to the third Wednesday of the expiry month at 10:00 for both serial expiry months and for quarterly expiry months |
|
Dia de liquidação |
Delivery on the first business day after the exercise day. |
|
Horário de negociação |
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, Basis Trading
- Contract Standard:
- Assignment of one Three Month Euribor futures contract for the delivery month at the exercise price. The futures delivery month associated with each option expiry month shall be:
March in respect of January, February and March expiry months;
June in respect of April, May and June expiry months;
September in respect of July, August and September expiry months;
December in respect of October, November and December expiry months. - Exercise Price Intervals:
- 0.25, (i.e. 0.25%) e.g. 94.00, 94.25, 94.50 etc.
- 0.125, (i.e. 0.125%) e.g. 94.00, 94.125, 94.25 etc for the first four quarterly and all serial delivery months.
- Introduction of new exercise prices:
- Nine exercise prices will be listed for each new series. For expiry months with 0.25 exercise price intervals, additional exercise prices will be listed when the Three Month Euribor futures contract settlement price is within 0.12 of the fourth highest or lowest existing exercise price, or as deemed necessary by the Exchange. For expiry months with 0.125 exercise price intervals, additional exercise prices will be listed when the futures contract settlement price is within 0.06 of the eighth highest or lowest existing exercise 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. If an option is exercised by the Buyer, 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.
Unless otherwise indicated, all times are London times. |
|
|
|
|
|
