- Trading Screen Product Name
- Three Month Euroswiss Future
- Trading Screen Hub Name
- Commodity Code
- Unit of Trading
One Three Month Euroswiss Futures Contract
- Contract Series
March, June, September, December such that 4 delivery months are
available for trading
- Contract Standard
Assignment of one Three Month Euroswiss futures contract for the
delivery months at the exercise price.
- Last Trading Day
Two business days prior to the third Wednesday of the expiry month
- Delivery Date
Delivery on the first business day after the exercise day
- Minimum Price Fluctuation
0.0025 (SFr 6.25)
- Strike Price Intervals
0.125, (i.e. 0.125%) e.g. 94.00, 94.125, 94.25 etc for all expiry
Seventeen exercise prices will be listed for each new series.
Additional exercise prices will be listed when the Three Month
Euroswiss futures contract settlement price is within 0.06 of the
eighth highest or lowest existing exercise price, or as deemed
necessary by the Exchange.
- Introduction of New Exercise Prices
For all contract months:
A minimum of 5 Strike Prices in increments of 0.25 above and below
the at-the-money Strike Price. The “at-the-money”
strike price is the closest interval nearest to the previous
business day’s settlement price of the corresponding
underlying future. Strike Price boundaries are adjusted according
to futures price movements. User-defined Strike Prices are allowed
in 0.125 increments.
For the front 4 contract months:
A minimum of 9 Strike Prices in increments of 0.125 above and below
the at-the-money Strike Price.
Central order book applies a gradual time based pro-rata (GTBPR)
matching algorithm with a time-weighting of 1 (i.e. the algorithm
is effectively a priority pro-rata matching algorithm) with
priority given to the first order at the best price subject to a
minimum order size (collar) and limited to a maximum order size
- Off Exchange Trade Types
Potential users of the Options on Euroswiss Futures Contracts
should familiarize themselves with the terms of these contracts and
with the terms of the Underlying Futures Contract.
- Additional Information
The contract price is not paid at the time of purchase. Option
positions, as with futures position, are settled-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 Exchange's Clearing Houser
(CH) and the CH 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 CH.
NOTE: All times are London, unless otherwise stated
- MIC Code
- Clearing Venues