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[期权交易] 比较EUREX交易的两个利率期货期权合约的异同 [推广有奖]

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     欧洲期货与期权交易所(EUREX)交易的两份利率期货期权合约:一是Options on Three-Month EURIBOR Futures,二是EUREX:One-Year Mid Curve Options on Three-Month EURIBOR Futures。我比较了两者的合约要素,看不出这两个合约具体的差别,想请教专业人士这两份合约具体的异同哈(Mid-curve是翻译成中期曲线吗?具体是指啥呢?)多谢啦,下面附上两份合约的要素表。
*******Options on Three-Month EURIBOR Futures的合约要素表*********

Contract Standards

Three-Month EURIBOR Futures.

Contract Size

One Three-Month EURIBOR Futures contract.

Settlement

The exercise of an option on the Three-Month EURIBOR Futures contract results in the creation of a corresponding position in the Three-Month EURIBOR Futures for the option buyer as well as the seller to whom the exercise is assigned. The position is established after the Post-Trading Full Period of the exercise day, and is based on the agreed exercise price.

Price Quotation and Minimum Price Change

The Price Quotation is in points, with three decimal places. The Minimum Price Change is 0.005 points, equivalent to a value of EUR 12.50.

Contract Months

Up to 24 months: The six nearest calendar months as well as the six following quarterly months of the March, June, September and December cycle thereafter. The maturity month of the underlying futures contract and the expiration month of the option are identical in the expiration months March, June, September and December, in the other expiration moths, the maturity month of the underlying futures contract is the cyclic quarterly month following the expiration month of the option.

Last Trading Day

Two exchange days prior to the third Wednesday of the respective expiration month, provided that on that day FBE/ACI has determined the EURIBOR reference interest rate pertaining to three-month euro term deposits; otherwise, the exchange day immediately preceding that day. Close of trading in the expiring option series on the Last Trading Day is at 11:00 CET.

Daily Settlement Price

The Daily Settlement Price is established by Eurex. The Daily Settlement Prices for options on Three-Month EURIBOR Futures are determined trough the binomial model according to Cox/Ross/Rubinstein.

Exercise

American-style; an option can be exercised up to the end of the Post-Trading Full Period (20:00 CET) on any exchange day during the lifetime of the option, and on the Last Trading Day until 11:45 CET.

Exercise Prices

The expiration months have exercise prices with intervals of 0.125 points.

Number of Exercise Prices

Upon the admission of the options, at least 25 exercise prices shall be made available for each term for each call and put, such that twelve exercise prices are in-the-money, one is at-the-money and twelve are out-of-the-money.

Option Premium

The premium is settled using the futures-style method

*******************************************************************
******One-Year Mid Curve Options on Three-Month EURIBOR Futures**********

Contract standards

Three-Month EURIBOR Futures.

Contract size

One Three-Month EURIBOR Futures contract.

Settlement

The exercise of an One-Year (Two-, Three-, Four-) Mid Curve Option on a Three-Month EURIBOR Futures contract results in the creation of a corresponding position in the Three-Month EURIBOR Futures for the option buyer as well as the seller to whom the exercise is assigned, whereby a Three-Month EURIBOR Futures with a maturity of one (two, three, four) year(s) after expiration of the One-Year (Two-, Three-, Four-) Mid Curve Option on Three-Month EURIBOR Futures will be delivered.

Monthly expirations in all Mid Curve Options will be delivered with a Three-Month EURIBOR Futures contract of the following quarterly maturity of the respective year after the expiration of the options contract.

The position is established after the Post-Trading Full Period of the exercise day, and is based on the agreed exercise price.

Price quotation and minimum price change

The price quotation is in points, with three decimal places. The minimum price change is 0.005 points, equivalent to a value of EUR 12.50.

Contract months

Up to 12 months:The six nearest calendar months as well as the two following quarterly months of the March, June, September and December cycle.

Last trading day

Two exchange days prior to the third Wednesday of the respective expiration month, provided that on that day FBE/ACI has determined the EURIBOR reference interest rate pertaining to three-month euro term deposits; otherwise, the exchange day immediately preceding that day. Close of trading in the expiring option series on the last trading day is at 11:00 CET.

Daily settlement price

The daily settlement price is established by Eurex. The daily settlement prices for all Mid Curve Options on Three-Month EURIBOR Futures are determined trough the binomial model according to Cox/Ross/Rubinstein.

Exercise

American-style; an option can be exercised up to the end of the Post-Trading Full Period (20:00 CET) on any exchange day during the lifetime of the option, and on the last trading day until 11:45 CET.

Exercise prices

The expiration months have exercise prices with intervals of 0.125 points.

Number of exercise prices

Upon the admission of the options, at least 25 exercise prices shall be made available for each term for each call and put, such that twelve exercise prices are in-the-money, one is at-the-money and twelve are out-of-the-money.

Option premium

The premium is settled using the futures-style method.

*************************************************************************

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关键词:期货期权 利率期货 Rex Settlement Determined 期货期权 交易所 欧洲

irvingy 发表于 2014-10-16 13:13:32 |显示全部楼层 |坛友微信交流群
标的不一样

OEU3

Contract Months

Up to 24 months: The six nearest calendar months as well as the six following quarterly months of the March, June, September and December cycle thereafter. The maturity month of the underlying futures contract and the expiration month of the option are identical in the expiration months March, June, September and December, in the other expiration moths, the maturity month of the underlying futures contract is the cyclic quarterly month following the expiration month of the option.

OEM1

Settlement

The exercise of an One-Year (Two-, Three-, Four-) Mid Curve Option on a Three-Month EURIBOR Futures contract results in the creation of a corresponding position in the Three-Month EURIBOR Futures for the option buyer as well as the seller to whom the exercise is assigned, whereby a Three-Month EURIBOR Futures with a maturity of one (two, three, four) year(s) after expiration of the One-Year (Two-, Three-, Four-) Mid Curve Option on Three-Month EURIBOR Futures will be delivered.

Monthly expirations in all Mid Curve Options will be delivered with a Three-Month EURIBOR Futures contract of the following quarterly maturity of the respective year after the expiration of the options contract.

比如现在是10月份,这个月到期的OEU3期权的标的是今年12月份到期的期货,这个月到期的OEM1期权的标的是明年12月份到期的期货

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