- Trading Screen Product Name
- Three Month Euro (Euribor) 2yr Mid-Curve
- Trading Screen Hub Name
- Contract Symbol
- Unit of Trading
One Three Month Euribor Futures Contract
- Contract Series
March, June, September, December, and four serial months, such that
eight expiry months are available for trading, with the nearest six
expiry months being consecutive calendar months
- 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 two years, in respect of January, February and
March expiry months;
June, the following two years, in respect of April, May and June
September, the following two years, in respect of July, August and
September expiry months; and
December, the following two years, in respect of October, November
and December expiry months.
- Last Trading Day
Friday before the third Wednesday of the expiry month. On the Last
Trading Day, trading in the expiring month will cease at 15:15.
Exercise by 17:00 on any business day, brought forward to 16:00 on
the Last Trading Day.
Exercise Price Intervals 0.125, (i.e. 0.125%) e.g. 94.00, 94.125,
94.25 etc for all expiry months.
For all contract months:
A minimum of 13 Strike Prices in increments of 0.125 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.
- Delivery Date
Delivery on the first business day after the exercise day.
- Minimum Price Fluctuation
Central order book applies a gradual time based pro-rata (GTBPR)
matching algorithm with a time-weighting of 1 (ie 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 (cap).
- Off Exchange Trade Types
- Additional Information
Potential users of the Options on Euribor Futures Contracts should
familiarize themselves with the terms of these contracts and with
the terms of the Underlying Futures Contract.
- Option Premium
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.
EURIBOR-EMMI makes no warranty, express or implied, either as to
the results to be obtained from the use of EURIBOR and / or the
figure at which EURIBOR stands at any particular time on any
particular day or otherwise. EURIBOR - EMMI makes no express or
implied warranties of merchantability or fitness for a particular
purpose for use with respect to the product and excludes all
liability for any loss of business or profits or for any direct,
indirect or consequential loss or damage arising from use of the
- MIC Code
- Clearing Venues