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Markit iTraxx® Crossover Index Options34933770

ICE OTC

Markit iTraxx® Crossover Index Options

Description

Up to fifty (50) European entities with non-investment grade credit ratings as published by Markit® from time to time

Market Specifications

Rule Number
1233
Contract Symbol
iTraxx Europe Crossover Option
Currency
EUR
Min Notional
Order Book: 25,000,000
All other execution methods: As agreed by counterparties
Max Notional
Order Book: 250,000,000
All other execution methods: As agreed by counterparties
Min Notional Increment
Order Book: 25,000,000
All other execution methods: As agreed by counterparties
Contract Series
Any calendar month beginning with January through December, with up to 24 contracts listed at any given time.
Price Quotation
Cents (option premium)
Minimum Price Fluctuation
The price quotation convention shall be .25 cents; minimum price fluctuation may vary by trade type.
Listing Cycle
Tenors of 1 through 10 Years based on liquidity
Series
All Series, initiated with series 1 based on liquidity
Roll Date
September 20 (or the Business Day immediately thereafter) and March 20 (or the Business Day immediately thereafter) of each calendar year
First Trading Day
Date of contract listing
Last Trading Day
20th calendar day of the Contract Month, of first New York business day thereafter if the 20th Calendar day is not a business day
Position Limit
None
Daily Price Limit
None
Off Exchange Trade Types
No
NCR and RL
Variable by contract type and price. See Error Trade Policy for more details.
Option Style
European
Exercise
Manual

Manual exercise or abandon

Exercise Day is the Last Trade Date
Strike Price Listing
A minimum of 1 Strike Price in increments of $0.01 above and below the at-the-money Strike Price. Price boundaries are adjusted according to the price of the underlying swap.
MIC Code
ICES
Clearing Venues
Bilateral

Trading Hours

CityTradingPre-Open
New York2:00 AM - 5:30 PM
02:00 - 17:30

London7:00 AM - 10:30 PM
07:00 - 22:30

Singapore2:00 PM - 5:30 AM
14:00 - 05:30

Codes

Physical