*******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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