eurex circular 006/15
Date: 14 January 2015 Recipients: All Trading Participants of Eurex Deutschland and Eurex Zürich and Vendors Authorized by: Mehtap Dinc
Action required High priority
Equity options: Adjustment of Market Maker obligations
Contact: Sascha Semroch, Eurex Product Development, T +49-69-211-1 50 78, [email protected] Content may be most important for: Attachment: Ü Front Office/Trading Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Ü Middle + Backoffice Deutschland and Eurex Zürich Ü IT/System Administration
Summary:
Effective 2 February 2015 the quotation requirements for Market Makers in equity options at Eurex Exchange will be changed as follows: 1. Change of the minimum quotation sizes and spread class assignments in the two offered Market- Making models Advanced Market-Making (AMM) and Permanent Market-Making (PMM). The minimum quote sizes and spread class assignments are set according to market conditions and liquidity. 2. Change of assignments of equity options to AMM packages. 3. Options on Royal Imtech N.V. (IR3A) will no longer be part of the Eurex Market-Making schemes.
The aforementioned changes are based on the annual review of the Market Maker quote obligations and the AMM packages.
Participants taking part in one of the Market-Making schemes are kindly requested to adjust their system settings accordingly. It is highly recommended to verify the Market Maker performance in the first days after 2 February 2015, using the respective Eurex Exchange reports.
Eurex Deutschland T +49-69-211-1 17 00 Management Board: Börsenplatz 4 F +49-69-211-1 17 01 Thomas Book, Mehtap Dinc, 60313 Frankfurt/Main memberservices@ Michael Peters, Andreas Preuss Mailing address: eurexchange.com 60485 Frankfurt/Main Internet: Germany www.eurexchange.com ARBN: 101 013 361
eurex circular 006/15
Equity options: Adjustment of Market Maker obligations
1. Change of minimum quote sizes and spread class assignments
Minimum quote sizes and spread class assignments for Belgian, Dutch, French, German, Italian, Scandinavian, Spanish and Swiss equity options will be adjusted based on a scheme that captures market conditions and liquidity for each individual product (see list under point 3). The changes will become effective on 2 February 2015.
2. Change of assignments of equity options to AMM packages
The assignment of below mentioned equity options to AMM packages will be changed effective 2 February 2015 as follows: a) Inclusion in an AMM package
AMM package Equity option on Eurex product code New Group ID
Dutch (NL) Boskalis Westminster KBWA NL11 German (DE) Südzucker SZU DE 11 Spanish (ES) Bco. Pop. Espanol POP ES 11 b) Removal from an AMM package
AMM package Equity option on Eurex product code New Group ID
Dutch (NL) USG People UQU1 NL 12 Dutch (NL) Wereldhave WER NL 12 French (FR) Dexia DXB FR 12 German (DE) MAN MAN DE 12 German (DE) Vossloh VOS DE 12
The group IDs will reflect the changed package assignments, according to the tables above. .
Minimum block trade size:
The minimum block trade size in options products with group ID 11 is generally 250 contracts. The minimum block trade size in options products with group ID 12 is generally 1 contract. The minimum block trade sizes in the products contracts in the tables above will be changed accordingly.
These changes will also be effective on 2 February 2015.
Products that are removed from AMM packages will be offered in the PMM and RMM (response to quote requests) schemes. c) Discontinuation of Market-Making scheme
Options on Royal Imtech (IR3A) will no longer be offered in any Market-Making scheme.
The amended Market Maker obligations for equity options mentioned under a) and b) can be found in the table under no. 3. The number of exceptions in the respective AMM packages remains unchanged.
page 1 of 5 eurex circular 006/15
3. List of minimum quote sizes and spread class assignments Changes are marked in bold and are underlined.
Number of Spread expirations Product Product ID Minimum AMM Class to be quoted for Quote Size PMM/AMM; Package ID (Contracts) the first RMM AMM/ PMM Options on
EURO STOXX 50® Components
AIRBUS GROUP N.V EAD 2 NA 20 6 ESX50 FR
AIR LIQUIDE AIR 2 NA 20 6 ESX50 FR ALLIANZ SE ALV 3 NA 20 8 ESX50 DE ANHEUSER-BUSCH- ITK 2 NA 20 6 ESX50 BE INBEV ASML ASM 2 NA 10 7 ESX50 NL BASF BAS 2 NA 20 8 ESX50 DE BCO BILBAO VIZC BBVD A NA 100 8 ESX50 ES ARGENT BMW BMW 2 NA 20 8 ESX50 DE BNP BNP 2 NA 50 6 ESX50 FR DAIMLER DAI 2 NA 50 8 ESX50 DE DANONE BSN 2 NA 20 6 ESX50 FR DEUTSCHE POST DPW 2 NA 50 8 ESX50 DE DEUTSCHE TELEKOM DTE 1 NA 200 8 ESX50 DE E.ON SE EOA 1 NA 100 8 ESX50 DE ENEL ENL5 A NA 50 7 ESX50 IT ENI ENT5 B NA 20 7 ESX50 IT GENERALI ASG5 B NA 50 7 ESX50 IT INDUSTRIA DE DISEÑO IXD B NA 20 6 ESX50 ES TEXTIL S.A. ING INN 1 NA 100 8 ESX50 NL INTESA SANPAOLO IES5 A NA 50 6 ESX50 IT L’OREAL LOR 3 NA 10 6 ESX50 FR LVMH MOH 3 NA 10 6 ESX50 FR MUENCHENER RÜCK MUV2 3 NA 20 8 ESX50 DE ORANGE FTE 1 NA 100 6 ESX50 FR SAINT-GOBAIN GOB 2 NA 20 6 ESX50 FR SANOFI SNW 2 NA 20 6 ESX50 FR SAP SAP 2 NA 50 8 ESX50 DE
SCHNEIDER ELECTRIC SND 2 NA 20 6 ESX50 FR
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Number of Spread expirations Product Product ID Minimum AMM Class to be quoted for Quote Size PMM/AMM; Package ID (Contracts) the first RMM AMM/ PMM Options on
EURO STOXX 50® Components SIEMENS SIE 2 NA 20 8 ESX50 DE TELEFONICA TNE5 A NA 100 8 ESX50 ES UNICREDIT CRI5 A NA 50 7 ESX50 IT VOLKSWAGEN VZ VO3 3 NA 20 8 ESX50 DE
Number of Minimum Product Spread expirations to Product Quote Size AMM ID Class be quoted for (Contracts) PMM/AMM; RMM AMM/ the first Package ID PMM Options on Swiss Equities ACTELION ATLN 8 NA 10 6 CH ADECCO ADEN 2 NA 10 7 CH CIE FIN RICHEMONT CFR 2 NA 20 7 CH CLARIANT CLN 2 NA 20 7 CH GAM HOLDING GAM 2 NA 20 7 CH GEBERIT GEBN 4 NA 10 6 CH HOLCIM HOLN 2 NA 10 7 CH KUEHNE U NAGEL KNIN 3 NA 10 6 CH LONZA LONN 3 NA 10 7 CH NESTLE NESN 2 NA 100 8 CH NOVARTIS NOVN 2 NA 50 8 CH OC OERLIKON OERL 1 NA 20 7 CH SONOVA HOLDING SOON 3 NA 10 6 CH AG THE SWATCH GROUP BEARER UHR 4 NA 20 7 CH SHARES SWISSCOM SCMN 5 NA 20 8 CH
SYNGENTA SYNN 4 NA 20 7 CH ZURICH INSURANCE ZURN 4 NA 50 8 CH GROUP AG
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Number of Minimum expirations Product Spread Product Quote Size to be quoted AMM ID Class (Contracts) for PMM/AMM RMM AMM/ the first Package ID PMM Options on Other Equities ADIDAS ADS 2 NA 10 8 DE AHOLD AHO 1 NA 20 8 NL AIXTRON AIX 1 NA 20 6 DE APERAM 7AA 2 NA 10 6 NL ARCELOR MITTAL ISPA 1 NA 100 7 FR/NL BCO. POP.ESPAGNOL POP 1 NA 10 6 ES BEIERSDORF BEI 2 NA 10 6 DE BILFINGER SE GBF 2 NA 10 6 DE BOSKALIS WESTMINSTER KBWA 2 NA 10 6 NL COMMERZBANK CBK 1 NA 100 8 DE CONTINENTAL CON 3 NA 10 8 DE CREDIT AGRICOLE XCA 1 NA 50 6 FR CSM N.V. CSUA 1 NA 10 6 NL DEUTSCHE BÖRSE DB1 2 NA 20 8 DE DEXIA DXB 6 10 10 6 no AMM ELSEVIER ELV 2 NA 20 6 NL FORTUM FOT 2 NA 10 6 SC FRAPORT FRA 2 NA 10 6 DE FRESENIUS FRE 2 NA 10 6 DE GEMALTO LDV 2 NA 10 6 NL HANNOVER RUECK SE HNR1 2 NA 10 6 DE HEIDELBERGCEMENT HEI 2 NA 10 6 DE HENKEL HEN3 2 NA 10 8 DE K+S SDF 2 NA 20 6 DE KLOECKNER KCO 1 NA 20 6 DE KPN KPN 1 NA 100 7 NL LAFARGE CIL 2 NA 20 6 FR LANXESS LXS 2 NA 10 6 DE LEGRAND LRC 2 NA 10 6 FR LINDE LIN 3 NA 10 8 DE LUFTHANSA LHA 1 NA 50 8 DE MAN MAN 7 10 10 8 no AMM MEDIOBANCA SPA ME9 A NA 10 6 IT MERCK MRK 2 NA 10 6 DE MTU AERO ENGINES MTX 2 NA 10 6 DE HOLDING PEUGEOT PEU 1 NA 50 6 FR
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Number of Minimum expirations Product Spread Product Quote Size to be quoted AMM ID Class (Contracts) for PMM/AMM RMM AMM/ the first Package ID PMM Options on Other Equities POSTNL PNL 1 NA 20 6 NL RANDSTAD RSH 2 NA 10 6 NL RENAULT RNL 2 NA 10 6 FR RHOEN-KLINIKUM RHK 2 NA 10 6 DE SAFRAN SEJ 2 NA 10 6 FR SBM OFFSHORE SBMO 1 NA 20 6 NL SGL CARBON SGL 1 NA 10 6 DE STMICROELECTRONICS SGM 1 NA 50 6 FR SÜDZUCKER SZU 2 NA 10 6 DE SUEZ ENVIRONNEMENT SEV 1 NA 20 6 FR CO THYSSENKRUPP TKA 2 NA 50 8 DE TUI TUI 1 NA 20 8 DE UPM-KYMMENE RPL 1 NA 20 6 SC USG PEOPLE N.V. UQU1 6 10 10 6 no AMM VALEO VSA 3 NA 10 6 FR VEOLIA ENVIRONMENT VVD 1 NA 20 6 FR VOLKSWAGEN VOW 3 NA 10 8 DE VOSSLOH VOS 7 10 10 6 no AMM WACKER CHEMIE WCH 2 NA 10 6 DE WERELDHAVE N.V. WER 7 10 10 6 no AMM
14 January 2015
page 5 of 5 Attachment to Eurex Circular 006/15 Eurex14e Contract Specifications for Futures Contracts and As of 02.02.2015 Options Contracts at Eurex Deutschland and Eurex Zürich Page 1
********************************************************************************** AMENDMENTS ARE MARKED AS FOLLOWS: INSERTIONS ARE UNDERLINED DELETIONS ARE CROSSED OUT **********************************************************************************
[…] Annex A in relation to subsection 1.6 of the Contract Specifications:
[…] Annex B in relation to subsection 2.6 of the Contract Specifications:
Cash Maximum Minimum Product- Contract Currency Options on Shares of Group ID* Market Term Price ID Size ** ID* (Months) Change Atlantia S.p.A. AOP5 IT121 XMIL 500 24 0.0005 EUR Banco Popular Español S.A. POP ES112 XMAD 100 60 0.01 EUR BP PLC BPEBPT GB11 XLON 1000 24 0.25 GBX Christian Dior S.A. DICO FR12 XPAR 100 24 0.01 EUR Daimler AG DCXDAI DE11 XETR 100 60 0.01 EUR Dassault Systemes S.A. DYSY1 FR11 XPAR 100 24 0.01 EUR Dexia S.A. DXB FR121 XPAR 100 60 0.01 EUR Ericsson AB ERCB SE12 XSSE 500 60 0.01 EUR Fresenius SE & Co. KGaA FRE3 DE11 XETR 100 60 0.01 EUR MAN SE MAN DE121 XETR 100 60 0.01 EUR MLP AG MLP DE121 XETR 100 60 0.01 EUR Natixis S.A. KNFHN FR12 XPAR 100 24 0.01 EUR BP Neopost S.A. NP6F FR12 XPAR 100 24 0.01 EUR Rieter Holding-AG RIEN CH12 XSWX 10 24 0.01 CHF SCOR SE SDR1 FR112 XPAR 100 24 0.01 EUR Sonova Holding AG - N. SOON CH11 XSWX 100 60 0.01 CHF Südzucker AG SZU DE112 XETR 100 60 0.01 EUR Telecom Italia S.p.A. - RNC TQIR IT121 XMIL 1000 24 0.0005 EUR Télévision Française 1 S.A. FSE FR121 XPAR 100 60 0.01 EUR (TF1) TeliaSonera AB TLSN FI121 XHEL 500 12 0.01 EUR Thales S.A. CSF FR121 XPAR 100 60 0.01 EUR ThomsonTechnicolor TNM FR12 XPAR 100 60 0.01 EUR TNT N.V.- TNT NL11 XAMS 100 60 0.01 EUR USG People N.V. UQU1 NL121 XAMS 100 60 0.01 EUR
Attachment to Eurex Circular 006/15 Eurex14e Contract Specifications for Futures Contracts and As of 02.02.2015 Options Contracts at Eurex Deutschland and Eurex Zürich Page 2
Cash Maximum Minimum Product- Contract Currency Options on Shares of Group ID* Market Term Price ID Size ** ID* (Months) Change
Vossloh AG VOS DE121 XETR 100 60 0.01 EUR Wereldhave N.V. WER NL121 XAMS 100 60 0.01 EUR * The group ID as well as the cash market ID shall be assigned by the Eurex Exchanges according to the following table and shall, amongst other things, serve the purpose of determining a market place for the price of the share underlying the contract. ** GBX: Pence Sterling
Group ID Relevant Cash Market ID of Cash Market
AT11, AT12 Electronic Trading System of the Wiener Börse XVIE BE11, BE12 Electronic Trading System of the NYSE Euronext Brussels XBRU CH11, CH12, CH14 Electronic Trading System of the SIX Swiss Stock Exchange XSWX, XVTX DE11, DE12, DE13, Electronic Trading System of the Frankfurter Wertpapierbörse XETR DE14, US11 ES11, ES12 Electronic Trading System of the Bolsa de Madrid XMAD FI11, FI12, FI13, Electronic Trading System of the Nasdaq OMX Helsinki XHEL FI14 FR11, FR12, FI14 Electronic Trading System of the NYSE Euronext Paris XPAR GB11 Electronic Trading System of the London Stock Exchange XLON IE11 Electronic Trading System of the Irish Stock Exchange XDUB IT11, IT12 Electronic Trading System of the Borsa Italiana XMIL NL11, NL12, NL14 Electronic Trading System of the NYSE Euronext Amsterdam XAMS RU11, RU12 Electronic Trading System of the London Stock Exchange XLON SE11, SE12 Electronic Trading System of the OMX - Stockholm Stock Exchange XSSE
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