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Glossary

Glossary

  • "Aufgabe" transaction (Transaktion "Aufgabe")

    A cash securities trade for which a broker is listed as the counterparty (pending specification of the final counterparty). Once the trade is closed, it is ready for settlement.

  • @X-ceed Trading GUI (@X-ceed Trading GUI)

    Front-end trading application provided by Eurex for derivatives trading.

  • @X-pert Clearing GUI (@X-pert Clearing GUI)

    Front-end clearing application provided by Eurex for equity clearing.

  • @X-tract Clearing GUI (@X-tract Clearing GUI)

    Front-end clearing application provided by Eurex for derivatives clearing.

  • access code (Zugangscode)

    The ID code required for each user accessing the Eurex® system. Each person (traders, system management staff and back office personnel) must have a separate access code.

  • access point (Access Point)

    A node in the Eurex network under the control and administration of the exchange, to which front-end installations are connected. Access points each serve a geographical area (for example London, Chicago, Frankfurt) where there is a concentration of member locations. The major functions of an access point are to route transactions (requests/responses) between the back-end and the connected member installations, to multiply and distribute public broadcasts, to ensure fault tolerance and to shield the back-end from direct member access. Access points consist of two halves that are installed at different locations for enhanced disaster tolerance. These halves are cross-connected and serve as a backup to each other. Each half (generally) consists of one communications server and two routers, connecting the access point to the trading back-end and to the connected member installations.

  • account type (Kontoart)

    Type of account in which a trade is executed. Eurex offers the following account types for derivatives trading: P1 and P2 = Principal Accounts M1 and M2 = Market Maker Accounts A1 = Agent Account G1 = Pre-designated give-up (flag used for A1 account orders) G2 = Designated give-up (flag used for A1 account orders) Margin calculations are performed by Eurex Clearing AG for a participant's own-account positions ("P" & "M" accounts) on the one hand, and the customer (Agent – A1) account on the other hand. No netting or other offsets are permitted between own-account positions and customer accounts.

  • accrued interest (Stückzinsen)

    The interest accrued on a fixed income security from the last interest (coupon) payment date to the valuation date.

  • Additional Margin (Additional Margin)

    Additional Margin serves to cover the additional liquidation costs that potentially could be incurred. Such possible close-out costs could arise if, based on the current market value of a portfolio, the worst-case loss were to occur within a 24-hour period. It is used for options (also options on futures) and non-spread futures positions, bond and equity trades. For bond and equity trades, Additional Margin is calculated for securities positions but not for the corresponding cash positions.

  • agent account (Kunden-Positionskonto)

    Only trades entered into the Eurex® system on behalf of members' customers are recorded in the agent account. Agent accounts are maintained on a gross basis, which means both long and short positions are recorded for the same option series or futures contract, as specified during order entry.

  • allocated position (Zugeteilte Position)

    A long position in fixed income futures contracts, which, on the Final Settlement Date, has been assigned the securities which are to be delivered.

  • allocation algorithm (Zuteilungsalgorithmus)

    This algorithm is used in equities clearing to assign buy trades to all blocked sell trades in an equal amount.

  • allocation process (Zuordnungsverfahren)

    The process by which holders of long futures positions in contracts requiring physical delivery are chosen - at random - by Eurex Clearing AG, and subsequently informed of what they will receive.

  • Alpha (Alpha)

    A coefficient measuring the risk-adjusted performance, considering the risk due to the specific security, rather than the overall market. A large alpha indicates that the stock has performed better than would be predicted given its beta (volatility).

  • American-style option (Amerikanische Option)

    An option which can be exercised at any time before expiration.

  • Application Programming Interface (Application Programming Interface)

    An Application Programming Interface (API) is the specific method prescribed by a computer operating system, or by another application program, by which an application program can make requests of (and receive responses from) the operating system or other application. In the context of Eurex, VALUES API is the supported interface.

  • arbitrage (Arbitrage)

    A trading strategy that takes advantage of two or more instruments being mispriced relative to each other. Although in its "pure" form, arbitrage is risk-free, low-risk strategies are also frequently referred to as "arbitrage".

  • ask (Brief)

    A price in the order book at which an investor can buy a financial instrument.

  • assignment (Zuteilung)

    When a long position in options is exercised, the Eurex® system randomly selects an option seller from among all open short positions of the same option series who will be assigned that exercise: the assigned seller will be obliged to fulfill the contractual conditions for delivery or, as the case may be, receipt of the underlyings.

  • at-the-money option (at-the-money-Option, "am Geld")

    An option whose exercise price is identical to the price of the underlying.

  • automatic linking (Automatische Kopplung)

    A Xetra® trading member may initiate the automatic linking of buy and sell trades by marking the respective securities trades. Manual or automatic linking is only available for trades executed on Xetra® which have not been marked for gross processing.

  • back month (Back month)

    All delivery months of a specific futures contract other than the spot and front month.

  • Back Month Spread Margin (Back Month Spread Margin)

    The margin rate which is applied prior to the first day of the delivery month on all futures spread positions, and during the delivery month on those spread positions in which the front contract is not contained. This rate is always less than, or equal to, the Spot Month Spread Margin rate.

  • back-end

    The back-end is the central host system of Eurex.

  • back-end specific subsystems (Backend-spezifische Untersysteme)

    Back-end specific subsystems (BESS) are software components of the Deutsche Börse AG's common front end needed to access the exchange-specific back-end from the member front-end system. For instance, the Eurex BESS is configured for access to the Eurex host.

  • basis (Basis)

    The difference between the futures price and the price of the corresponding underlying, defined as cash price - futures price. In the case of fixed income futures, the futures price must be multiplied by the conversion factor.

  • basis point value (Basispunktwert)

    The change in value of an asset or portfolio resulting from a 0.01 percent change in yield.

  • basis trade (Basishandel)

    1. A trade that takes a view on the difference between the cash and the futures price of an instrument ("basis"). 2. A specific type of off-book trades - see Eurex Trade Entry Services.

  • batch (Stapelverarbeitung)

    Batch processing follows the end of the Post-Trading Period. During the batch phase of a trading day statistical information is updated, reports are generated and data maintenance is performed. The system is prepared for the next trading day and set to "Start" status upon completion of the batch.

  • Bear Spread (Bear Spread)

    A Bear Spread comprises the purchase of a high exercise price and the simultaneous sale of a lower exercise price, for an identical number of option contracts and in the same contract month. This applies both to put spreads as well as to call spreads. The buyer of a Bear Spread expects falling prices, up to (but not beyond) the level of the exercise price of the option sold, by the expiration date.

  • Beta (Beta)

    A coefficient measuring the sensitivity of a share (or portfolio) in relation to price movements of the market as a whole.

  • bid (Geld)

    A price in the order book at which an investor can sell a financial instrument.

  • binomial model (Binomialmodell)

    An option pricing model using a binomial tree (a succession of time periods, such that within each time period only two price movements are possible) to evaluate possible outcomes, and to calculate an option price. It is best suited for American-style options. Also known as the Cox-Ross-Rubinstein Model.

  • Black-Scholes model (Black/Scholes-Modell)

    An option pricing model best suited for European-style, non-dividend-paying stocks. The model was developed in 1973 by Fischer Black and Myron Scholes.

  • block (Sperren)

    Marking a cash equities trade to indicate that, from a member's point of view, settlement is not possible or not desired currently.

  • Block Trade (Block Trade)

    For certain derivatives, Eurex provides the opportunity to enter off-book trades directly into the Eurex system. Block Trades must involve a minimum number of contracts as defined by the Eurex Management Boards, on a per-product basis. See Eurex Trade Entry Services.

  • bond (Anleihe)

    An instrument for borrowing funds on the capital market, where creditors' claims are vested/certificated in the form of securities.

  • bond trade (Bond Trade)

    Bond trades can arise from cash bond transactions and repo transactions.

  • bonus dividend (Bonusdividende)

    Special distribution of a company's funds, which is a one-time special allowance which is paid to the shareholders in addition to the normal dividend payment, either in extremely good business years or in the case of extraordinary profits. These bonus payments are processed for pending trades by Clearstream Banking AG in a similar way to dividend payments and are settled via the Clearing Member's accounts. A bonus payment can also result in an adjustment to option series.

  • broker (Broker)

    An exchange member that executes business on behalf of investors.

  • Bull Spread (Bull Spread)

    A Bull Spread comprises the purchase of a low exercise price and the simultaneous sale of a higher exercise price, for an identical number of option contracts in the same contract month. This applies both to put spreads as well as to call spreads. The buyer of a Bull Spread expects a limited increase in price – to the value of the exercise price of the option sold – by the expiration date.

  • buy trade (Kaufgeschäft)

    Executed order to buy certain instruments (for example futures contracts, securities)

  • Call option (Call-Option)

    The right to buy an asset at a certain price at, or up to a certain date. In the case of options on Eurex fixed income futures, the contract gives the buyer the right to enter into a long position in the underlying futures contract at a set price, up to a given date. In the case of Eurex cash-settled options, a call option represents the right to receive a cash settlement if the final settlement price is higher than the option's exercise price.

  • capital adjustment (Kapitalveränderung)

    Adjustments to option series which result from changes in value of the corresponding underlying, caused by changes to a company's capital – for example a stock split. By adjusting exercise prices and/or contract sizes of option series, together with cash settlement of any fractional remainder, Eurex is able to maintain a value-neutral result for existing positions in options on those securities which are subject to a capital adjustment.

  • CASCADE (CASCADE)

    System used by Clearstream Banking AG for the clearing and settlement of securities.

  • cash deferral (Gleitende Geldverrechnung)

    Cash settlement for cash securities cleared via Eurex Clearing AG/Clearstream Banking AG does not take place for blocked trades contained in the offsetting block. It only takes place once the trades have been released. Thus, the participant is not required to maintain a differences account.

  • cash margin credit

    Where the deposited collateral exceeds the risk calculated within the scope of Risk-based Margining, the excess cash deposit is credited to the Clearing Member's cash account.

  • cash position (Geldposition)

    An obligation by one party to deliver cash to another party. Such a position generally exists in conjunction with a bond position or with an equity position.

  • cash settlement (Barausgleich)

    The right to buy an asset at a certain price at, or up to a certain date. In the case of options on Eurex fixed income futures, the contract gives the buyer the right to enter into a long position in the underlying futures contract at a set price, up to a given date. In the case of Eurex cash-settled options, a call option represents the right to receive a cash settlement if the final settlement price is higher than the option's exercise price.

  • cash-and-carry arbitrage (Cash-and-carry-Arbitrage)

    The creation of a risk-free or neutral position by simultaneously buying assets and selling the corresponding futures contract.

  • central counterparty, CCP (Zentraler Kontrahent)

    See counterparty function of Eurex Clearing AG.

  • central securities depository (Zentralverwahrer)

    A central securities depository is a financial institution providing custodial and securities settlement services to one or several markets. The central securities depository for Germany is Clearstream Banking AG, Frankfurt.

  • cheapest-to-deliver (cheapest-to-deliver)

    The bond, deliverable against a futures contract, for which delivery is most attractive in terms of cost from the short position holder's point of view.

  • clean price (Clean Price)

    The present value of a bond, less accrued interest. Usually, bond prices are quoted as clean prices.

  • Clearing (Clearing)

    The offsetting and settlement of transactions resulting from trading. For futures and options clearing, in particular, it refers to duties encompassing the daily balancing of profits and losses (Variation Margin), the daily calculation of collateral requirements (Additional Margin) and final settlement once the contract has expired.

  • Clearing Currency

    A currency in which the Total Margin Requirement is calculated.

  • Clearing Member (Clearing-Mitglied)

    A Clearing Member is entitled to perform the clearing of securities, futures and options transactions. In addition, Clearing Members are responsible for the timely fulfillment of all payment and delivery obligations resulting from securities transactions. Eurex Clearing AG makes a distinction between Clearing Membership types: the GCM (General Clearing Member) and the DCM (Direct Clearing Member). Unlike GCMs, DCMs may only clear principal trades, agent trades and trades of affiliated group companies.

  • Clearstream Banking AG, Frankfurt (Clearstream Banking AG, Frankfurt)

    An international central securities depository, with which Eurex Clearing AG is directly connected, for collateral management and settlement of deliveries. Clearstream Banking AG is a wholly-owned subsidiary of Deutsche Börse AG.

  • close-out (Glattstellung)

    An open position is offset (closed out) by the execution of a transaction that is equal and opposite to that which established the open position. This means that a long position can be closed by an offsetting short position, and vice-versa.

  • closing transaction (Glattstellungsgeschäft)

    Transaction to close an existing open position (close-out of a position).

  • collateral (Sicherheiten)

    Cash or securities, such as bonds and shares, pledged to cover margin requirements determined by Eurex Clearing AG.

  • collateral management (Sicherheitenverwaltung)

    Collateral management comprises the administration of collateral and fee accounts, using existing Eurex-internal functionality and processes.

  • combination trading (Kombinationshandel)

    Eurex offers a multitude of combination trading functions: A futures "calendar spread" is the simultaneous purchase and sale of two futures contracts with the same underlying but with different contract months. The buyer of a calendar spread buys the futures contract with the shorter maturity and sells a contract with a longer maturity. The Eurex Strategy WizardSM for options allows market participants to create a strategy from a range of 54 predefined strategy types (such as "Straddle", "Butterfly", "Condor" etc.). The created and published strategies are visible to the whole market and can be traded via public strategy order books. In addition, Block Trading for strategies is available. In addition, the Eurex® system supports the trading of option combinations (comprising two individual option trades) against prices quoted in the regular order book.

  • Commodity Trading Advisor, CTA (Terminhandelsberater)

    An individual or firm advising others (predominantly hedge funds) on their trading strategies. Funds often employ a selection of CTAs to ensure a diversification of the trading and investment strategies used. Alternatively, some CTAs run their own "single-manager fund".

  • compensation partner (Kompensationspartner)

    Where the processing of corporate actions for securities is initiated after a due date that has already passed, a compensation partner is automatically determined and announced for each settled trade, in order to assign the respective claims correctly. In addition, it is possible to process corporate actions according to a default process.

  • CONF Futures (CONF-Futures)

    CONF Futures are based on notional long-term debt instruments with a term of eight to 13 years, and a notional coupon rate of 6 percent, based on debt instruments issued by the Swiss Confederation. CONF Futures have a contract value of CHF 100,000 and a minimum price change of 0.01 percent, equivalent to a value of CHF 10.

  • continuous trading (Fortlaufender Handel)

    During continuous trading, each new incoming order is checked instantly against the order/quote book to see whether it can be matched. Remaining quantities of partially-executed orders that cannot be matched are put into the order/quote book, provided no execution restriction has been applied.

  • contract size (Kontraktgröße)

    The quantity of the underlying represented by one contract.

  • contractual netting (Vertragliche Aufrechnung)

    Contract providing for the netting of obligations resulting from the settlement of cash securities. Under a netting agreement, all claims lapse that can be offset against each other. The remaining balance of claims, that cannot be offset, must be physically fulfilled.

  • conversion (Conversion-Strategie)

    An individual or firm advising others (predominantly hedge funds) on their trading strategies. Funds often employ a selection of CTAs to ensure a diversification of the trading and investment strategies used. Alternatively, some CTAs run their own "single-manager fund".

  • conversion factor (Konvertierungsfaktor)

    The factor used to "equalize" for the difference in issue terms between the notional bond underlying a bond futures contract and the real bonds eligible for delivery. When multiplied by a bond futures price, the conversion factor translates the futures price to an actual delivery price for a given deliverable bond, as at the delivery date of the corresponding contract. An alternative way of explaining the conversion factor is to see it as the means of calculating the price of a deliverable bond, on the delivery date, given a market yield of six percent.

  • convexity (Konvexität)

    A parameter used to take the non-linear price-yield correlation into account when calculating the interest rate sensitivity of fixed income securities.

  • corporate actions (Kapitalmaßnahmen)

    Corporate actions refer to cash payments (dividends or bonuses) or to the booking of rights (subscription rights, partial rights, splits, mergers).

  • cost-of-carry (Haltekosten)

    The difference between financing costs and the income received on the cash position (net financing costs).

  • counterparty (Kontrahent)

    The opposite party to a financial transaction. Normally the counterparty of the buyer of a contract is the seller of that contract. In the case of Eurex, however, Eurex Clearing AG acts as the counterparty to each party to a transaction, thereby removing counterparty risk from the members.

  • counterparty function of Eurex Clearing AG (Kontrahentenfunktion der Eurex Clearing AG)

    Eurex Clearing AG functions as the counterparty for the buyer and for the seller in every transaction, and guarantees both parties to the transaction that the open contracts will be performed. This existence of two separate contracts with the central Clearing House enables the parties on both sides of the transaction to make their decisions independently of each other, and to concentrate the respective counterparty risks (default and liquidity risks) in a single party to the contract. It should be noted that only Clearing Members may be parties to the contract with Eurex Clearing AG. If an order to buy or sell is executed for a Non-Clearing Member, a transaction takes place between the Non-Clearing Member and its General Clearing Member (GCM) or Direct Clearing Member (DCM), as the case may be, and a corresponding transaction between Eurex Clearing AG and the GCM or DCM. Customers have contractual relationships exclusively with the respective Exchange Participants who handle and process their orders.

  • coupon (Coupon)

    1. Nominal interest rate of a bond. 2. Part of the bond certificate vesting the right to receive interest.

  • covered call (Covered Call)

    A short position in a stock option, for which 100 percent security has been provided by depositing the underlying. This strategy is entered into for performance-enhancement purposes. The premium received acts as a cushion against falling underlying prices, to the value of that premium.

  • Cox/Ross/Rubinstein model

    See binomial model

  • cross hedge (Cross Hedge)

    Strategy where the hedge position does not precisely offset the performance of the portfolio to be hedged, due to the stipulation of integer numbers of contracts or the incongruity of cash securities and futures and/or options.

  • cross request (Cross Request)

    The announcement of a cross or pre-arranged trade in futures or options, prior to executing such a trade.

  • cross trade (Cross-Geschäft)

    A cross trade is a trade in which a participant trades against an own order in the Eurex order book (in other words, a participant buys and sells the same contract simultaneously).

  • Current Liquidating Margin (Current Liquidating Margin)

    The Current Liquidating Margin reflects the risk of Eurex Clearing AG in case of member failure, where open security and cash positions have to be liquidated at current market prices. The Current Liquidating Margin is adjusted daily, similar to Premium Margin.

  • daily settlement (Tägliche Abwicklung)

    In order to carry out the daily offsetting of profits and losses, changes in value versus the previous day are determined for each position. This is accomplished on the basis of the daily settlement prices.

  • daily settlement price (Täglicher Abrechnungspreis)

    The daily valuation price of futures and options, as determined by Eurex, on which the calculation of daily margin requirements is based.

  • DAX® (DAX®)

    Composed of 30 German blue chip shares, which are incorporated into the index based on their market turnover and free float. DAX® is calculated as a performance index, this means it is assumed that all dividends and other distributions are reinvested. Eurex offers futures, options and DNTPs on DAX®.

  • day trader (Tageshändler)

    A trader who trades on a proprietary basis, and usually has no overnight positions.

  • Default Fund (Ausfallfonds)

    The Default Fund serves as a protection against unusual price movements not covered by the margin calculation in case of a member default. Each Clearing Member has to contribute to the Default Fund. Contributions can be provided in cash and/or in securities. It is used, up to a specific percentage, for securing the counterparty risk not covered by margin deposits. The Default Fund serves as a safeguard to reduce the negative impact on the clearing community arising from the clearing member default.

  • deferred contract (Deferred-Kontrakt)

    A futures contract that becomes due at a maturity after the current front month.

  • delivery instruction (Lieferinstruktion)

    A securities delivery instruction, for example "Delivery versus Payment" (= DvP) or "Receive versus Payment" (=RvP) or "Free of Payment" (=FoP, due to corporate actions), is generated by Eurex Clearing AG and sent to the central securities depository.

  • delivery instruction file (Lieferinstruktionsdatei)

    A data file generated within the scope of gross delivery management for the settlement of cash securities. This file is sent by a member and contains a list of all trades released for delivery by the settlement agent. For trades cleared via Eurex Clearing AG, this data is transferred to Eurex Clearing AG. For all other trades, processing takes place at the central securities eepository.

  • delivery notice (Lieferanzeige)

    By issuing the delivery notice, the holder of short positions in government bond futures contracts fulfills his obligation to nominate bonds for delivery via the CSD.

  • delivery release file (Lieferfreigabedatei)

    A data file generated within the scope of gross delivery management for the settlement of cash securities. This file is sent by a member and contains a list of all trades released for delivery by the settlement agent. For trades cleared via Eurex Clearing AG, this data is transferred to Eurex Clearing AG. For all other trades, processing takes place at the central securities depository.

  • Delivery versus Payment (Zahlung gegen Lieferung)

    Also known as "DvP" – a delivery instruction where the delivery of securities and the payment of the cash consideration are linked.

  • Delta (Delta)

    The change in the option price in the event of a one point price change in the underlying.

  • Delta-Neutral Trading Products, DNTP (Delta-Neutral Trading Products, DNTP)

    Combinations of related futures and option contracts with a position delta close to zero. With a DNTP, either both the futures and the option legs have the same underlying, or the futures product is the underlying of the option.

  • derivative (Derivat)

    Financial instrument whose value is based on one underlying from which it is derived. Hence the expression "derivatives".

  • Designated Market Maker (Designated Market Maker)

    Selected futures products are subject to Designated Market-Making to promote liquidity. This occurs for an initial period after a new futures product is introduced. Designated Market Makers are generally committed to providing quotes for a certain proportion of total trading hours.

  • Deutsche Bundesbank (Deutsche Bundesbank)

    The German central bank. Eurex clearing members are obliged to have a cash account with both the Deutsche Bundesbank and the Swiss National Bank, for the clearing of cash amounts resulting from derivatives transactions.

  • Direct Clearing Member, DCM (Direct Clearing-Mitglied, DCM)

    A Eurex participant who satisfies the capital requirements of Eurex Clearing AG and who has applied for, and been granted, a license to clear derivatives traded on Eurex Exchange. A DCM may clear its own transactions and those of its customers, as well as those of 100 percent affiliated group companies that do not hold a clearing license.

  • dirty price (Dirty Price)

    The present value of a bond, including accrued interest. Usually, bond prices are quoted as clean prices.

  • disciplinary committee (Sanktionsausschuss)

    The exchange body that investigates and penalizes violations of exchange laws and breaches of commercial trust.

  • discounting (Abzinsung)

    Calculating the present value of one or more future cash flows.

  • dividend (Dividende)

    Distributed profit of a public limited company, paid per company share (dividend per share). For pending cash securities trades, the dividends are processed by Clearstream Banking AG and settled at Deutsche Bundesbank via the Clearing Member's accounts.

  • due trade (Fälliges Geschäft)

    A due trade is a cash securities trade whose settlement day corresponds to the current business day.

  • duration (Duration)

    Duration is an indicator expressing the weighting of the cash flows from a bond by the time one must wait to receive each cash flow. Duration gives an indication of the sensitivity of a bond to a given change in interest rates.

  • dynamic hedging (Dynamische Absicherung)

    An ongoing process of adjustment for a portfolio to maintain a delta-neutral position.

  • early exercise (Vorzeitige Ausübung)

    The exercise of an American-style option before its expiration date.

  • EONIA (EONIA)

    European Overnight Index Average - a reference rate calculated by the European Central Bank as the average rate of overnight inter-bank lending transactions undertaken by a panel of declaring banks in the Eurozone. It is a benchmark rate in the euro money market, and Eurex offers futures based on the monthly average of published EONIA rates.

  • equity derivatives(Aktienderivate)

    Futures and options traded at Eurex, based on individual stocks from various global markets.

  • equity index derivatives (Aktienindexderivate)

    Futures and options traded on major equity indexes at Eurex.

  • Eurex (Eurex)

    Eurex is one of the worlds leading derivatives exchanges and was created in 1998 with the merger of DTB (Deutsche Terminbörse) and SOFFEX (Swiss Options and Financial Futures Exchange.) Both exchanges were pioneers in providing access to derivatives markets via electronic trading platforms. Eurex is a public company and wholly owned by Deutsche Börse AG. Aside from operating the electronic trading platform, Eurex provides an automated and integrated joint Clearing House for products and participants, thereby achieving centralized, cross-border risk management. Through its structure, Eurex offers participants a high-quality, cost-efficient and comprehensive range of services covering the entire spectrum from trading to final settlement via a single electronic system. Synergy effects are created for all participating exchanges through the operation and maintenance of only one trading and clearing platform.

  • Eurex Boards of Management (Geschäftsführungen der Eurex-Börsen)

    The bodies that control the organization and business operations of their respective Eurex Exchange.

  • Eurex Bonds (Eurex Bonds)

    Eurex Bonds GmbH was founded in October 2000 as a joint initiative of Eurex Frankfurt AG and leading financial institutions. The organization is a private law joint venture with the purpose of establishing and operating an electronic platform for bond and basis trading in debt issues. Eurex Clearing AG acts as the central counterparty for Eurex Bonds.

  • Eurex Clearing AG (Eurex Clearing AG)

    Eurex operates its own clearing house – Eurex Clearing AG. Eurex Clearing AG exclusively serves the Eurex futures and options market, as well as the cash market for bonds (Eurex Bonds) and the market for repurchase agreements (Eurex Repo). It also offers clearing services for equities traded on the Frankfurt Stock Exchange, where it assumes the central counterparty function for a wide range of securities. It acts as the central counterparty for every transaction in the supported products and securities, and guarantees that deliveries are performed. Eurex Clearing AG is a wholly-owned subsidiary of Eurex Frankfurt AG.

  • Eurex Deutschland (Eurex Deutschland)

    Eurex Deutschland is the public-law German exchange entity of Eurex.

  • Eurex Frankfurt AG (Eurex Frankfurt AG)

    Eurex Frankfurt AG is the administrating and operating institution of Eurex Deutschland. It provides the staff, the facilities and premises for the operation of Eurex Deutschland. Eurex Frankfurt AG is a wholly-owned subsidiary of Eurex Zürich AG.

  • Eurex Market Supervision (Eurex-Marktüberwachung)

    The exchange department controlling all trading activities on the Eurex® system.

  • Eurex Repo (Eurex Repo)

    Eurex Repo EUR-market was founded in July 2001. The electronic platform offers general collateral (GC) and special repo trading, through Eurex Clearing AG as the central counterparty.

  • Eurex Trade Entry Services (Eurex Trade Entry Services)

    At Eurex Exchange, these are transactions in Eurex-listed products where the price has been agreed off-exchange, and where the transaction has subsequently been recorded at Eurex for settlement and margining purposes. Eurex offers different Trade Entry Services for off-book trades: Block Trades, Vola Trades Exchange for Physicals (EFP/EFPI Trades), Exchange for Swaps Trades (EFS Trades), Flexible Contracts and the Multilateral Trade Registration.

  • Eurex Zürich (Eurex Zürich)

    Eurex Zürich is the Swiss exchange entity of Eurex.

  • Eurex Zürich AG (Eurex Zürich AG)

    Besides being the operating and administrating institution of Eurex Zürich, Eurex Zürich AG is a public company and is owned in equal parts by Deutsche Börse AG and Eurex Global Derivatives . Eurex Zürich AG owns 100 percent of Eurex Frankfurt AG.

  • EURIBOR (EURIBOR)

    The European Interbank Offered Rate (EURIBOR), which is the average interest rate at which a group of 57 banks are willing to lend funds to each other over a set period of time. EURIBOR is widely used as a reference rate for euro cash flows, as well as for derivatives.

  • Euro-Bobl Futures (Euro-Bobl-Futures)

    Euro-Bobl Futures are futures contracts based on a notional medium-term debt instruments issued by the Federal Republic of Germany, with a remaining term of 4.5 to 5.5 years. It bears a notional coupon rate of six percent. Contract value is EUR 100,000 and the minimum price change is 0.01 percent, equivalent to a value of EUR 10.

  • Euro-Bund Futures (Euro-Bund-Futures)

    Euro-Bund Futures are futures contracts based on a notional long-term debt instruments issued by the Federal Republic of Germany, with a remaining term of 8.5 to 10.5 years. It bears a notional coupon rate of six percent. Contract value is EUR 100,000 and the minimum price change is 0.01 percent, equivalent to a value of EUR 10.

  • Euro-Buxl® Futures (Euro-Buxl®-Futures)

    Euro-Buxl® Futures are futures contracts based on a notional long-term debt instruments issued by the Federal Republic of Germany, with a remaining term of 24 to 35 years. It bears a notional coupon rate of four percent. Contract value is EUR 100,000 and the minimum price change is 0.01 percent, equivalent to a value of EUR 10.

  • Euro-Schatz Futures (Euro-Schatz-Futures)

    Euro-Schatz Future are futures contracts based on a notional short-term debt instruments issued by the Federal Republic of Germany, with a remaining term of 1.75 to 2.25 years. It bears a notional coupon rate of six percent. Contract value is EUR 100,000 and the minimum price change is 0.005 percent, equivalent to a value of EUR 5.

  • European Energy Exchange, EEX (European Energy Exchange, EEX)

    European Energy Exchange is Germany's energy exchange, and is located in Leipzig. Through Eurex Zürich AG, the Eurex group maintains a 56.14% stake in EEX.

  • European-style option (Europäische Option)

    An option that can only be exercised on the Last Trading Day.

  • Exchange Council (Börsenrat)

    The body of Eurex Deutschland that adopts important regulations such as the Exchange Rules, and appoints members of the Board of Management of Eurex Deutschland in consultation with the Exchange Supervisory Authority of the State of Hesse.

  • Exchange Delivery Settlement Price (Schlussabrechnungspreis)

    Exchange Delivery Settlement Price - Final Settlement Price for maturing futures contracts - established on the Last Trading Day.

  • exchange participant (Börsenteilnehmer)

    An enterprise that concludes futures and options transactions for its own account (principal transactions), or in its own name for the account of third parties on a commercial basis (customer or "agent" transactions), and that has been admitted to trading at Eurex. Although in practice Eurex exchange participants are frequently referred to as "members", the correct term is "participants", since no membership purchase is required for admission to trading.

  • Exchange Traded Funds® (Exchange Traded Funds®)

    Exchange Traded Funds® are shares issued by financial institutions that allow participants to trade benchmark indexes like a stock. Eurex was the first European exchange to list futures and options on ETFs.

  • exchange trader (Börsenhändler)

    A person who has been authorized to enter into futures and options transactions at Eurex on behalf of an exchange participant.

  • exclusion (Ausschluss)

    The permanent removal of the admission to trading of an exchange participant or an exchange trader.

  • execution confirmation (Ausführungsbestätigung)

    An execution confirmation is generated upon execution of an order. In contrast to a trade confirmation, an execution confirmation only contains basic trade details.

  • exercise (Ausübung)

    The option holder's declaration to either buy (for a call) or sell (for a put) the underlyings at the conditions set in the option contract.

  • exercise price (Ausübungspreis)

    The price at which the underlying is received or delivered when an option is exercised. Often referred to as the "strike price".

  • exercised option (Ausgeübte Option)

    A long position in a given option series which the holder of the position has elected to exercise.

  • expiration day (Verfalltag)

    The date on which the option right expires. Also known as the expiry, or expiry date. Legally, Eurex option contracts expire on the exchange trading day following the Last Trading Day – in trading terms, however, it's the Last Trading Day that is relevant for most purposes.

  • extended inside market information (Erweiterte Inside Market-Informationen)

    Inside market information, including the best ten bid/ask prices (incl. Market orders) with accumulated volumes.

  • fail (Fail)

    See overdue trade.

  • fast market (Fast Market)

    An optional trading phase introduced by Eurex on a per-product basis when market-sensitive news is expected, or in the event of strong volatility.

  • fill-or-kill (fill-or-kill)

    A restriction applied to an order by a participant when entering the order. Fill-or-kill orders are executed immediately and completely, or if this is not possible they are cancelled without execution.

  • final settlement price (Schlussabrechnungspreis)

    The price of a contract on the Last Trading Day, which is determined by Eurex according to specified rules and guidelines.

  • financial futures (Finanzterminkontrakt)

    A standardized contract for the delivery or receipt of a specific amount of a financial instrument, at a set price, on a certain date in the future.

  • fixed income products (Fixed Income-Produkte)

    Futures and options on short-, medium- and long-term German and Italian government bonds, also futures (only) on Swiss government bonds. Eurex's Euro-Bund (FGBL), Euro-Bobl (FGBM) and Euro-Schatz (FGBS) Futures are the world's most heavily-traded fixed income futures. Eurex also offers options on Euro-Bund, Euro-Bobl and Euro-Schatz Futures.

  • forward (Forward)

    A contract obligating the holder to buy or sell an asset, at a predetermined price, at a predetermined time in the future. Forward contracts are usually not exchange traded.

  • forward-forward transaction (Forward-Forward-Geschäft)

    A term transaction (such as a cash borrowing or lending) that will begin at a predetermined future time. Eurex One-Month and Three-Month EURIBOR Futures are forward-forward transactions.

  • front contract (Front-Kontrakt)

    Contracts which become due in the spot month.

  • front-end (Frontend)

    The Eurex front-end is the computer installation at a member site which supports interaction with the Eurex back-end. The installation normally consists of one or more MISS servers with a number of connected workstations supporting the Eurex-supplied @X-tract / @X-ceed applications, or other third-party software. The front end is therefore generally a client/server system with a member-specific configuration.

  • futures fixed price (Futures Fixed Price)

    The price of the futures leg of a DNTP (as set by the Eurex® system).

  • Futures Spread Margin (Futures Spread Margin)

    This kind of margin is levied in order to cover those risks associated with a futures spread that could arise between today and tomorrow. It is used when an account contains several futures positions whose risks neutralize each other to a certain extent. In calculating this amount, long and short positions are offset against each other, whereby contracts with different expiration months are deemed comparable to one another (for example long Euro-Bund Sept. vs. short Euro-Bund Dec.). Futures Spread Margin therefore provides protection against the non-perfect price correlation that exists between two contracts (long and short) of differing expirations.

  • futures-style premium posting (Futures-style Premium Posting)

    The method used by Eurex Clearing AG to margin options on futures. Option premium is not paid until exercise or expiration. Options are marked-to-market daily, and Variation Margin and Additional Margin are collected or paid out.

  • Gamma (Gamma)

    The change in an option's delta that occurs for a one point change in the underlying.

  • General Clearing Member, GCM (General Clearing-Mitglied, GCM)

    A Eurex member who satisfies the capital requirements of Eurex Clearing AG and who has applied for, and been granted, a license to clear derivatives traded on Eurex. A GCM may clear its own transactions, those of its customers, and those of market participants who do not hold a Clearing License (Non-Clearing Members).

  • Generic Access To Exchanges, GATE (Generic Access To Exchanges, GATE)

    GATE is a common front-end architecture software component for all MISS-based Exchange applications. GATE provides common execution and operations services to exchange applications such as Eurex.

  • give-up (Give-up)

    Give-ups are used to transfer trades from one member to another, usually where one member performs execution and another member performs clearing.

  • good-for-day (Tagesgültig)

    A restriction applied to an order by a participant, when entering the order. A GFD order is cancelled from the order book at the end of the Eurex® system trading day. Since good-for-day is the default order validity in the Eurex® system, no separate entry is required for GFD orders.

  • good-till-cancelled (good-till-cancelled)

    A restriction applied to an order by a participant, when entering the order. A GTC order remains valid until execution, unless cancelled by the exchange participant who entered it. Orders are automatically deleted only after the instrument has expired.

  • good-till-date (good-till-date)

    A restriction applied to an order by a participant, when entering the order. A GTD order remains valid until the given date (max. one year from the order entry date) unless executed, or until it is cancelled by the exchange participant who entered it, or until the contract expires.

  • Graphical User Interface, GUI (Grafische Benutzeroberfläche, GUI)

    Graphical User Interface (GUI) is a generic term for a graphical (rather than purely character-based) user interface to a computer. Eurex supports a Trading GUI (@X-ceed), a Clearing GUI (@X-tract) and a GUI for equities clearing (@X-pert).

  • Greeks (Greeks)

    Option risk parameters (sensitivity measures) expressed by Greek letters: for example delta, gamma, theta.

  • gross delivery instruction (Brutto-Lieferinstruktion)

    Within the scope of cash securities clearing, a gross delivery instruction is generated if the underlying cash securities trade is marked with a gross processing flag in gross delivery management. The delivery instruction is transferred by Eurex Clearing AG to the central securities depository.

  • gross delivery management (Brutto-Liefermanagement)

    Through gross delivery management, participants can track the delivery status of all cash securities trades, to (partially) release or block trades for delivery as well as to give specific and individual settlement instructions.

  • gross margining (Brutto-Margining)

    Applying gross margining means that the gross risk positions, resulting from cash securities trades marked for gross processing, are taken as the calculation basis for the Current Liquidating Margin and Additional Margin.

  • gross obligation (Brutto-Obligation)

    Obligation resulting from due or overdue cash securities trades, which are marked with an indicator for gross processing.

  • gross processing (Brutto-Verarbeitung)

    Individual processing of cash securities trades, therefore no contractual netting/settlement netting is applicable. Trades that are subject to gross processing have to be collateralized separately. Additionally, separate gross delivery instructions are generated for such trades. (Also refer to gross delivery management).

  • gross risk position (Brutto-Risikoposition)

    Gross risk positions result from cash securities trades marked by the participant for processing on a gross basis. As a result, the short and the long side are accumulated separately. The result is a gross risk short position and a gross risk long position.

  • haircut (Haircut)

    A haircut is a valuation discount on deposited securities, or on cash in foreign currency: in other words, the deposited collateral is not taken into account at 100 percent (face) value.

  • hedge fund (Hedge-Fonds)

    A fund which is allowed to use strategies that may be unavailable to traditional investment funds, including selling short, leverage, program trading, swaps, arbitrage, and the unrestricted use of derivatives. Given this absence of restrictions, hedge funds were initially accessible to selected investors only. Recent EU/German legislation has paved the way for a broader investing public to use hedge funds fulfilling certain criteria. The term "hedge fund" is somewhat misleading, as hedge funds generally do not offer risk protection, but attempt to achieve total returns irrespective of general market trends. Typical investment styles employed by hedge funds include long/short equity, market neutral, global macro, fixed income/convertible bond arbitrage and managed futures.

  • hedge ratio (Hedge Ratio)

    The ratio of the size of a position in a hedging instrument to the size of the position being hedged.

  • hedging (Absicherung)

    Using a strategy to protect an existing portfolio or planned investments against unfavorable price changes.

  • historical volatility (Historische Volatilität)

    See volatility.

  • Horizontal Call Spread (Horizontal Call Spread)

    The buyer of a Horizontal Call Spread combination buys component 1, a call option, and sells component 2, a call option with the same underlying and the same exercise price, but an earlier expiration date than component 1.

  • Horizontal Put Spread (Horizontal Put Spread)

    The buyer of a Horizontal Put Spread combination buys component 1, a put option, and sells component 2, a put option with the same underlying and the same exercise price, but with an earlier expiration date than component 1.

  • Horizontal Spread (Horizontal Spread)

    An option combination with two options of the same type, having the same exercise price but different expiration dates.

  • immediate-or-cancel (immediate-or-cancel)

    A restriction applied to an order by a participant, when entering the order. An IOC order is filled immediately, either completely or to the extent possible.

  • implied repo rate (Impliziter Refinanzierungssatz)

    The implied repo rate is the financing rate implied by the futures price relative to the cash price.

  • implied volatility (Implizite Volatilität)

    See volatility.

  • in-the-money option (in-the-money-Option, "im Geld")

    An option whose intrinsic value is greater than zero.

  • Initial Margin (Initial Margin)

    Initial Margin ( see also Additional Margin) serves to cover the additional liquidation costs that potentially could be incurred. Such possible close-out costs could arise if, based on the current market value of a portfolio, the worst-case loss were to occur within a 24-hour period. It is used for options (also options on futures) and non-spread futures positions, bond and equity trades. For bond and equity trades, Initial Margin is calculated for securities positions but not for the corresponding cash positions.

  • inside market (Inside Market-Informationen)

    The best bid and best ask prices in the order book, with accumulated volumes.

  • instruction (Instruktion)

    The handling of cash securities deliveries is controlled using specific settlement instructions.

  • Inter-product Spread (Inter-product Spread)

    In the Eurex® system the Inter-product Spread (IPS) is a futures combination type. The buyer of an IPS buys the first and sells the second component in similar fashion to the Time Spread combination, but the components refer to different financial instruments.

  • Interval Product (Intervall-Produkt)

    The product within a given margin class which is used by the Eurex Risk-based Margining system to determine the projected value of the underlying for that margin class (risk array, theoretical prices). For each margin class, there is only one interval product.

  • Intraday Margin (Intraday Margin)

    Additional collateral that must be provided during the trading day in case of highly volatile market conditions.

  • intrinsic value (Innerer Wert)

    The intrinsic value of an option is equal to the difference between the current price of the underlying and the option's exercise price. The intrinsic value is always greater than or equal to zero.

  • invoice amount (Rechnungsbetrag)

    The amount (including accrued interest) that is paid to the holder of a short position in a fixed income futures contract upon delivery of a cash bond against that position.

  • ISIN (ISIN)

    Financial instruments are identified internationally through the 12-character ISIN code ( International Securities Identification Number). It consists of a two-character country code, a nine digit national identity number and a single check digit.

  • last trade (Verspätetes Geschäft)

    A cash securities trade for which delivery has not been fulfilled at all, or only in part.

  • Last Trading Day (Letzter Handelstag)

    The last day on which a futures or option contract can be traded. For Eurex options, this is generally the last day on which exercise is possible.

  • leverage effect (Hebelwirkung)

    The leverage effect allows participants in derivatives markets to enter into a much larger underlying position, using a comparably small investment. The impact of the leverage effect is that the percentage change in the profits and losses on options and futures is greater than the corresponding change in the underlying.

  • lifetime (Laufzeit)

    The period of time until maturity/expiration for futures and option contracts.

  • limit order (Limitierte Order)

    Limit orders are executed at the specified limit, or at a better price.

  • linked trades (Gekoppelte Geschäfte)

    A linked trade is released for delivery in gross delivery management only if the securities that have to be delivered are available through the fulfillment of another trade.

  • linking (Kopplung)

    Gross delivery management provides the participants with an option to link the delivery of a sell trade to the successful delivery of a buy trade with at least an equal nominal amount of cash securities. This will be considered during the process of settlement netting. Therefore, it is ensured that the sell trade is fulfilled by the buy trade.

  • local area network (Lokales Netzwerk)

    A local area network connects computers in a workgroup, department, or building.

  • long call (Long Call)

    An investor who holds a long call position is entitled (but not obliged) to buy the underlying asset at the agreed exercise price. The holder of a long call expects a rise in the price of the underlying during the lifetime of the option.

  • long position (Long Position)

    A buyer's open position in a futures or option contract.

  • long put (Long Put)

    An investor who holds a long put position is entitled (but not obliged) to sell the underlying asset at the agreed exercise price. The holder of a long put expects prices of the underlying to fall during the lifetime of the option.

  • Low Exercise Price Option (LEPO) (Low Exercise Price Option (LEPO))

    For every equity option a Low Exercise Price Option (LEPO) is available; the expiry is up to six months. Exercise price of a LEPO is the smallest exercise price of an option available in the Eurex® system. For example, for options with exercise prices with two decimal places, LEPOs with an exercise price of EUR 0.01, CHF 0.01, GBp 0,01 or USD 0.01, respectively, will be set up.

  • Macaulay Duration (Macaulay Duration)

    An indicator used to calculate the interest rate sensitivity of fixed income securities, assuming a flat yield curve and a linear price/yield correlation.

  • managed futures (Managed Futures)

    "Managed futures" is a generic term for asset management strategies using exchange-traded futures and option contracts. Managed futures accounts can trade across various asset classes. The trading strategies are usually managed by Commodity Trading Advisors (CTAs).

  • margin (Margin)

    Margin is collateral which has to be deposited by the Clearing Member for contract fulfillment (Additional Margin, Futures Spread Margin, Premium Margin) and serves to cover the risk exposure of the clearing house. Eurex calculates margin using its Risk-based Margining system.

  • margin call (Nachschusspflicht)

    If the collateral that has been deposited is no longer sufficient, (indicating a shortfall in margin coverage), then the market participant will be called upon to provide additional cash as collateral. This process is known as a "margin call".

  • margin class (Margin-Klasse)

    A grouping of products which show identical risk characteristics: for example all products based on the same index can be brought together in the margin class of the underlying index. This allows the offset of margin obligations in products within the same class. A margin class can contain only products with the same currency.

  • Margin Currency

    A currency in which cash collateral can be provided by Clearing Members intraday.

  • margin group (Margin-Gruppe)

    Portfolio containing different margin classes, whose underlying securities show a high positive price correlation and possess generally the same price risk characteristics. A margin group can contain margin classes where the class-related currency is different.

  • margin interval (Margin-Intervall)

    An interval which is determined for each margin class by adding or subtracting the margin parameter from the settlement price of the underlying. The underlying will, with 99 percent probability, not exceed the margin interval within a given one-day trading period. This parameter is used in the calculation of Additional Margin.

  • margin parameter (Margin-Parameter)

    The parameter established by Eurex Clearing AG that reflects the maximum price fluctuation which the underlying can be expected to make during the next trading day. The margin parameters are used to calculate the margin interval. The basis of this calculation is the historical volatility. Margin parameters are adjusted from time to time by Eurex Clearing AG, and any such changes are published.

  • mark-to-market (mark-to-market)

    The expression "mark-to-market" indicates that a daily revaluation and settlement of profits and losses (settlement price yesterday vs. settlement price today) will be made.

  • Market Maker (Market Maker)

    Market Makers support liquidity in the products for which they apply to become Market Makers. For option products, Market Makers may elect to take on obligations for "quote on request", or for permanent quotation (certain products only). A "quote on request" Market Maker in a particular product is permitted to enter quotes for contracts for that product, and has the obligation to answer quote requests (up to a maximum per day) by supplying bid and ask quotes within a defined time, for a minimum holding period, for a minimum quantity and with a maximum spread. Permanent Market Makers in a product or a package of products are obliged to maintain quotes throughout a defined proportion of the trading day, averaged over each month. If the obligations are met, a Market Maker usually pays lower transaction fees to the Exchanges.

  • Market Maker accounts (Market Maker-Konten)

    Trades resulting from quotes or orders entered by market-makers in options and DNTP trading and quotes by exchange participants in futures trading are recorded on Market Maker accounts.

  • market model (Marktmodell)

    The exchange market model defines the mechanism of how orders are matched to conclude trades in the exchange trading system. It describes price determination, prioritization of exchange orders as well as the type and scope of information made available to market participants during the trading session.

  • market order (Market Order)

    Market orders have no limit. They are matched immediately at the best available market price.

  • Market Order Matching Range (Market Order Matching Range)

    The range around the reference price beyond which a market order for a futures contract is not allowed to be executed.

  • market risk (Marktrisiko)

    See systemic risk.

  • Market Surveillance (Marktüberwachung)

    The generic term for the entities that monitor futures and options trading and settlement activity, collect data, and conduct audits at the Eurex Exchanges.

  • matching algorithm (Matching-Algorithmus)

    The matching algorithm defines the mechanism of matching orders to trades. It describes price determination and matching priority. Eurex uses price/time priority for matching all orders, except those concerning short-term interest rate products, for which pro rata matching is used.

  • matching rules (Matching-Regeln)

    Rules for trade price determination, according to the matching algorithm.

  • maturity date (Fälligkeitsdatum)

    The date on which the final obligations (delivery/cash settlement) defined in a contract are due.

  • maturity range (Fälligkeitsbereich)

    The classification of deliverable fixed income securities according to their remaining lifetime.

  • maximum spread (Maximum Spread)

    Market Makers must not exceed the defined maximum spread between the bid and the ask prices when entering a quote.

  • Member Integration System Server (Member Integration System Server)

    The server component of a front-end installation. The Member Integration System Server (MISS) allows members access to the Eurex® system via standard interfaces.

  • minimum size (Mindestgröße)

    Market Makers are required to enter a minimum number of contracts for the bid and the ask prices when entering a quote. A minimum size is also defined for Block Trades.

  • mistrade (Mistrade)

    A trade which was erroneously entered into, and the price of which deviates from the reference price (related to the market price according to definitions in the Mistrade Regulations) by more than the defined amount.

  • mistrade regulations (Mistrade-Regelungen)

    A section of the Eurex Rules and Regulations governing the conditions by which an erroneously entered trade may be deemed a mistrade, and thereby annulled.

  • modified duration (Modifizierte Duration)

    A measure of the interest rate sensitivity of a bond, quoted in percent. It records the proportional change in the bond price on the basis of changes in market yields.

  • Money Market Products (Geldmarktprodukte)

    One-Month EONIA Futures, Three-Month EURIBOR Futures, and Options on Three-Month EURIBOR Futures.

  • negative release method (Negativverfahren)

    With the negative release method, by default, all cash securities trades are included as "released" in the gross delivery management and can be blocked individually by a member (also refer to release method, positive release method).

  • negative release method (Negativverfahren)

    With the negative release method, by default, all cash securities trades are included as "released" in the gross delivery management and can be blocked individually by a member (also refer to release method, positive release method).

  • net delivery instruction (Netto-Lieferinstruktion)

    After settlement netting, this net delivery instruction is generated as a delivery versus payment ("DvP") instruction for the net obligation in cash securities.

  • net obligation (Netto-Obligation)

    Surplus on the buy or sell side, resulting from the settlement netting process in which the unit sides of buy and sell trades in cash securities are offset against each other.

  • net-long position - net-short position (Netto-Long Position/Netto-Short Position)

    When all open long positions and open short positions in an account are offset against each other, either a surplus of long or of short positions results. This is referred to as a "net-long" or "net-short" position.

  • netting (Netting)

    1. The offsetting of open long positions against open short positions in futures or options, in order to determine the net long or net short position. 2. The process at market opening (between the Pre-Opening and Trading Periods), during which executable futures or options orders are executed at the opening price.

  • Non-Clearing Member, NCM (Non-Clearing-Mitglied, NCM)

    An exchange participant that does not hold a clearing license. Such a participant must have a clearing agreement in effect with a General Clearing Member or a company-affiliated Direct Clearing Member.

  • non-systemic risk (Unsystematisches Risiko)

    Proportion of overall risk that cannot be explained by fluctuations in the overall market.

  • notification (Notifizierung)

    The process of giving notice of delivery against a short fixed income futures position.

  • notification day (Notifizierungstag)

    The day when the notice of delivery against a short fixed income futures position is given.

  • notified position (Notifizierte Position)

    Position notified for delivery.

  • offsetting block (Aufrechnungsblock)

    Buy and sell trades in cash securities with equal nominal amounts (or equal number of units in the case of shares) constitute the offsetting block, which is formed during settlement netting. The cash obligation resulting from the offsetting block, which is the difference in prices for the buy and sell sides, is settled by a cash transaction via Deutsche Bundesbank.

  • Omega (Omega)

    Omega (also called leverage) compares the percentage change in the price of an option to the percentage change in the price of the underlying.

  • OMX-Helsinki 25 Index (OMX-Helsinki 25 Index)

    Capital-weighted price index continuously calculated from 25 blue-chip shares traded on the Helsinki Exchanges (HEX). Eurex offers futures and options on the OMX-Helsinki 25 Index.

  • open interest (Open Interest)

    Number of open positions in a futures or option contract which have not yet been closed out by an offsetting transaction.

  • opening (Opening)

    Orders for futures and option contracts are entered, and then matched in the netting process to determine an opening price.

  • opening of a position (Eröffnen einer Position)

    The purchase or sale of an option or futures contract which establishes a new position.

  • optimization (Optimierung)

    The process of refining a hedge ratio, to improve the match between the profits or losses on the underlying and the offsetting losses or profits from the hedge.

  • option (Option)

    The right (but not the obligation) to buy ("call") or to sell ("put") a specific quantity of a specific underlying, at a fixed price, on, or up to, a specified date.

  • option premium (Optionsprämie)

    The amount of money that the option buyer must pay to the option seller. Eurex Clearing AG supports both traditional-style premium posting (where the premium is payable immediately after concluding the trade) and futures-style premium posting (where the premium is paid upon expiration or exercise).

  • option price (Optionspreis)

    See option premium.

  • option pricing model (Optionspreismodell)

    A formula, taking into consideration such things as volatility, interest rate, exercise price, and time to expiration, used to determine a fair value of a given option premium. Eurex Clearing AG uses various option pricing models to calculate the "fair" option price for margin calculation.

  • option seller (Optionsverkäufer)

    Seller of an option. 

  • order (Order)

    A contractually-binding request to other market participants to buy or sell a specific quantity of a financial instrument at a defined price.

  • order book (Orderbuch)

    The order book contains all current orders for a product, according to their trading restrictions and execution conditions.

  • order contract note (Orderschlussnote)

    In case of aggregation of cash securities trades at order level, this is the confirmation of a business transaction. It is sent from the trading platform to the participants and is generated at order level.

  • order type (Orderart)

    Eurex supports different types of orders in continuous trading (market orders, limit orders, stop orders).

  • out-of-the-money option (out-of-the-money-Option, "aus dem Geld")

    Omega (also called leverage) compares the percentage change in the price of an option to the percentage change in the price of the underlying.

  • overdue trade fail (Verspätetes Geschäft-Fail)

    A cash securities trade is overdue if the settlement day is one or more business days in the past.

  • Partial Execution (of an Order or Quote) (Teilausführung (einer Order oder eines Quote))

    The result of a situation where only a part of the volume of an order or quote can be executed. The treatment of the remaining part depends on the restrictions specified for the order.

  • partial release (Teilfreigabe)

    Marking a cash securities trade to indicate that a partial settlement of a trade at customer level is possible, from a member's point of view.

  • payment order (Zahlungsanweisung)

    During end-of-day processing for cash securities, settlement netting is performed, as a result of which net delivery instructions as well as payment orders are created (based on delivery instructions, dividend payments etc.). These are pooled and transferred to Deutsche Bundesbank.

  • pending delivery report (Soll-Lieferreport)

    The pending delivery report contains the cash securities trades that have to be fulfilled and the individual trades (marked for gross processing) that are contained therein. This report also contains the internal trades of a bank's customers. The pending delivery report contains all relevant data that is part of the "CBF-Lieferliste". Furthermore, the number of days late is given.

  • physical delivery (Physische Lieferung)

    Settlement of a transaction through delivery of the physical underlying against payment.

  • position limit (Positionslimit)

    The maximum number of futures or option contracts in a particular product that may be held by one exchange participant, or one customer, for its own account.

  • position management (Positionsmanagement)

    The Eurex clearing platform provides a wide range of functions for the management of trades and positions.

  • positive price correlation (Positive Preiskorrelation)

    A price relationship between two or more financial instruments that move in line with each other (but not necessarily synchronously).

  • positive release method (Positivverfahren)

    With the Positive Release Method, by default, all trades in securities are included as "blocked" in Gross Delivery Management and have to be released individually by the member (see also Release Method, Negative Release Method).

  • post-trading period (Nachhandelsphase (Post-Trading))

    This phase is divided into a "Post-Trading Full" and a "Post-Trading Restricted" period. All the inquiry functions are available until the end of the Post-Trading Restricted period. In the Post-Trading Full period, market, limit, stop orders and quotes may be entered for the next trading day. Exercises of options are only possible until the end of the Post-Trading Full period (unless an earlier deadline is stipulated in the contract specifications). Combination orders and quotes can only be entered during the trading period.

  • pre-arranged trade (Pre-arranged Trade)

    For pre-arranged trades, previously-negotiated orders from at least two members are executed against each other.

  • pre-opening period (Voröffnungsphase (Pre-Opening Period))

    During pre-opening, the opening prices of option series or futures contracts are determined by assessing buy and sell orders in the order book.

  • pre-trading period (Vorhandelsphase (Pre-Trading))

    This is the prelude to the Eurex trading period. Users can make inquiries on data, or can enter orders and quotes in preparation for actual trading.

  • premium (Prämium)

    See Option Premium.

  • premium margin (Premium Margin)

    Collateral that must be deposited by the seller of an option with traditional premium payment, until the option is exercised or expires. It covers the potential costs of liquidation incurred by the seller at the settlement price. Premium Margin is continuously adjusted. Buyers of an option with traditional premium payment do not have to deposit any margin, since they have acquired a right by paying the option premium but have not entered into an obligation. The buyer's maximum risk consists of letting the contract expire. Options on futures are not subject to Premium Margin, since there is no premium payment involved (See Futures-style premium posting).

  • present value (Barwert)

    The current value of a future cash flow. The present value of a security is determined by its aggregate discounted repayments.

  • price differences (Kursdifferenz)

    Since orders on the stock exchange floor can be executed via one or more brokers, it is possible that the price for the seller of a given security is different from the price that the buyer pays. The difference in prices and the respective difference in the settlement amount, which results in a profit or loss for the broker(s) involved, results in a cash risk position that has to be taken into account in risk management.

  • price reasonability check (Limitplausibilitätsprüfung)

    Upon entry, the limit of an order is compared to an exchange-defined range around the last traded price. If outside the range, the order is not submitted immediately, but needs to be checked and, where appropriate, re-submitted.

  • price-time priority (Preis-Zeit-Priorität)

    The price/time matching algorithm conforms to the price and time priority rule. This matching algorithm is used for all Eurex futures contracts except money market futures. When a new order is entered, the Eurex® system first checks the limits of the orders in the electronic order book, and executes the orders with better limits before the orders with worse limits.

  • principal accounts (Eigenhandelskonten)

    Only trades for a member's own account are recorded in the proprietary accounts. Proprietary accounts are maintained on a gross basis, both long and short positions are recorded for the same option series or futures contract, as specified during order entry.

  • Pro Rata Matching (Pro rata-Matching)

    Since the market for money market futures is characterized by low intra-day volatility in comparison to other exchange-traded derivative instruments, the price/time matching algorithm is regarded as inappropriate for such products. Instead, the pro rata matching algorithm governs execution priority. When matching against an incoming order, the pro-rata matching algorithm takes into account each book order at the inside market price according to its percentage of the overall volume bid or offered at the price, regardless of its timestamp.

  • product currency (Produktwährung)

    The currency in which a product is set up in the Eurex® system. Premiums and Variation Margin amounts are settled in this currency. The currency of the product and the currency of its underlying is always the same.

  • projected values of the underlying (Projizierte Basiswertpreise)

    All exercise prices of active option series of the interval product which lie within the margin interval.

  • proprietary trader (Eigenhändler)

    A trader who does business on a proprietary basis for his/her own account (or for the account of the company the trader works for).

  • Protective Put (Protective Put-Strategie)

    An option strategy where an investor buys a put option to protect his investment against falling prices in the underlying .

  • Put Option (Put-Option)

    The right to sell an asset at a certain price at, or up to a certain date. In the case of options on fixed income futures, the contract gives the buyer the right to enter into a short position in the underlying futures contract at a set price on, or up to, a given date. In the case of cash-settled options, a put option represents the right to receive a cash settlement if the Final Settlement Price is lower than the option's exercise price.

  • Put-Call Parity (Put-Call-Parität)

    A fundamental relationship that exists between the prices of a call option and a put option which have the same underlying, exercise price and expiration.

  • Put-Call Ratio (Put-Call-Verhältnis)

    The put/call ratio shows how many puts are traded in relation to the number of traded calls per underlying.

  • quote (Quote)

    Simultaneous entry of a limit buy and a limit sell order for the same futures or option contract.

  • quote request (Quote Request)

    A quote request allows traders to request quotes for a specific futures or option contract.

  • raw data (Rohdaten)

    The data contained in some reports is sent unformatted to members, enabling automatic processing of such data.

  • reference price (Referenzpreis)

    In relation to evaluation of a mistrade, the reference price is usually established as the average of the prices of the transactions effected immediately before and after the erroneous entry. If only one of these prices is available, that price is used as the reference price. In relation to evaluating price reasonability for price/time matched futures contracts, the reference price for buy orders is the lowest available offer price ("Best Ask") and the reference price for sell orders is the highest available bid price ("Best Bid").

  • release (Freigabe)

    Marking of a cash securities trade for further processing (within the scope of settlement netting). Trades are released if there are no obstacles to settlement at a customer level.

  • release method (Freigabeverfahren)

    There are two different release methods for cash securities trades: the "Positive Release Method" and the "Negative Release Method". The chosen release method defines the default setting for trade processing ("released" or "blocked"). The chosen release method is part of the member master data (also see Gross Delivery Management).

  • relevant trades (Relevante Geschäfte)

    Trades relevant for settlement netting of cash securities are trades which: are not flagged for gross processing have not yet reached the contractual settlement date have not yet been settled at the Clearing Member level have not been entirely blocked.

  • remaining lifetime (Restlaufzeit)

    The remaining period of time until maturity/expiration for outstanding futures or option contracts.

  • Repo (Repo)

    See Repurchase transaction

  • repurchase transaction ("Repo") (Wertpapier­pensions­geschäft («Repurchase-Geschäft» – «Repo»))

    The process of borrowing money by combining a sale of an asset (usually a fixed income security) with the repurchase of the same asset at a later time, at a slightly higher price (which reflects the borrowing rate).

  • reversal (Reversal-Strategie)

    An arbitrage strategy comprising the creation of a synthetic long underlying or futures position by buying calls and selling puts with the same exercise price and the same expiration, while simultaneously taking up a "real" short underlying or futures position. The opposite arbitrage strategy is called Conversion.

  • Reverse Cash-and-Carry Arbitrage (Reverse Cash-and-carry Arbitrage)

    The creation of a low-risk or neutral position by simultaneously selling assets and buying the corresponding futures contract.

  • risk array (Risk Array)

    The matrix of values used to determine the Additional Margin required for each margin class. It consists of the settlement price, the maximum and minimum extremes of the margin interval, and the projected values of the underlying.

  • risk parameter (Risikoparameter)

    Risk parameters ("margin parameters") – which are based on historical volatility – are used to calculate the margin interval. The margin parameters are adjusted from time to time and published via circulars and on the Internet.

  • risk positions (Risikopositionen)

    These are open positions used as a basis for calculation in the Risk-based Margining process.

  • Risk-based Margining (Risk-based Margining)

    Eurex's calculation methodology to determine collateral to cover the risks taken.

  • scalper (Day Trader)

    See Day trader

  • Schatz Futures (Schatz-Futures)

    See Euro-Schatz Futures

  • Sector Index Derivatives (Sektorindex-Derivate)

    Eurex offers a line of products based on STOXX indexes that take the unique development of different market sectors for example telecommunications or healthcare, into account. This makes it easier for investors to create and implement investment, hedging and trading strategies in the Eurozone and across Europe as a whole.

  • security coordinator (Sicherheitsbeauftragter)

    The member's security coordinator is responsible for the Eurex security maintenance functions.

  • security gross risk position (Brutto-Stücke-Risikoposition)

    Risk positions of a member in cash securities and/or subscription rights, which serve as a calculation basis for the Risk-based Margining process.

  • security long risk position (Stücke-Kauf-Risikoposition)

    Buy trade positions of a member in cash securities and/or subscription rights, which serve as a calculation basis in the Risk- based Margining process.

  • security short risk position (Stücke-Verkauf-Risikoposition)

    Sell trade positions of a member in cash securities and/or subscription rights, which serve as a calculation basis in the Risk- based Margining process.

  • SegaInterSettle (SegaInterSettle)

    An international Central Securities Depository based in Switzerland, with which Eurex Clearing AG is directly connected for the purposes of collateral management and settlement of deliveries.

  • sell trade (Verkaufsgeschäft)

    Executed order to sell certain instruments (for example futures contracts, securities).

  • Settled Delivery Report (Ist-Lieferreport)

    The Settled Delivery Report contains the (netted) cash securities trades that have been settled (fully or partially) and the individual trades for which customers have consequently received securities. Internal trades between customers of the same bank are contained in this report as well. The Settled Delivery Report shows all relevant information of the CBF "Regulierungsliste".

  • settlement (Abwicklung)

    The whole process comprising the settlement of security buy or sell transactions.

  • settlement account (Abwicklungskonto)

    The account of a settlement agent with the Central Securities Depository.

  • Settlement Bank

    A commercial bank recognized by Eurex Clearing AG to settle cash for margin purposes. The list of accepted settlement banks can be found under Collateral management > Cash collateral.

  • settlement cycle (Buchungslauf)

    Settlement cycle for cash securities at the Central Securities Depository (CBF, in Germany) for the settlement day S. This includes the following settlement runs (all times approximate, CET): STD "Standard Settlement Cycle": 07:00 to 21:00 on S-1) SDS1 "Same Day Settlement Cycle 1": 10:00 to 10:40 on S SDS2 "Same Day Settlement Cycle 2" 12:45 to 13:15 on S

  • settlement day (Abwicklungstag)

    The settlement day is the value date agreed upon at the trade date. In general, the agreed settlement day for stocks is two bank business days after the trading day (t+2 in the German market).

  • settlement institution (Abwicklungsinstitut)

    Settlement institutions perform securities settlement via accounts at CBF. They are responsible for settlement between Eurex Clearing AG and the Clearing Member. However, the responsibility towards Eurex Clearing AG to fulfill trades by means of orderly settlement remains with the Clearing Member.

  • settlement instruction data carrier (Lieferinstruktionsdatenträger)

    Data file used for the settlement of cash securities.

  • settlement lending (Settlement-Leihe)

    The lending of cash securities, arranged by the Central Securities Depository, to fulfill delivery obligations in case of insufficient supply of securities at the settlement agent.

  • settlement netting (Settlement-Netting)

    Settlement netting is used for cash securities trades not marked for gross processing. The result is an offsetting block and a net obligation, where applicable. Settlement netting is executed per Clearing Member for the respective security (denoted by the ISIN) sorted by settlement account at the Central Securities Depository. On an optional basis, it is also possible to execute settlement netting per exchange member and trading account type (for example, Principal trades or Agent trades).

  • settlement netting unit (Settlement-Netting-Einheit)

    Settlement netting of cash securities is executed separately for each settlement netting unit, and per security. A settlement netting unit contains at least a Clearing Member and a settlement account at the Central Securities Depository. On an optional basis, further differentiation according to Non-Clearing Members and Agent/Principal trades can be made by the Clearing Member.

  • settlement on CCP - Clearing Member level (Abwicklung auf Ebene CCP - Clearing-Mitglied)

    Within the scope of cash securities settlement, fulfillment of a Clearing Member's contractual obligations vis-à-vis Eurex Clearing AG (CCP) comprises the cash obligation resulting from the offsetting block or the net delivery instruction of the net obligation, as well as obligations from trades which are marked for gross processing.

  • Settlement on Clearing Member - Customer Level (Abwicklung auf Ebene Clearing-Mitglied - Kunde)

    Delivery of cash securities takes place taking into account the release status ("released" or "blocked"). From the Clearing Member's perspective, a customer's blocked trades are regarded as not yet settled .

  • shaping (Shaping)

    This term defines the partitioning of a high volume delivery instruction for cash securities into several delivery instructions of a smaller volume. The purpose of this split is to ensure the highest possible volume of a delivery instruction is fulfilled. In other words, this process serves to avoid the total fail of a high-volume delivery instruction. Example: Without shaping, a delivery instruction for 1,000,000 shares would fail if 999,999 shares were delivered. The splitting of this delivery instruction into separate smaller delivery instructions would lead to the failure of just one delivery instruction and the successful delivery of all the others.

  • short call (Short Call)

    An investor who holds a short call position is obliged to sell the underlying asset at the agreed exercise price if the call is exercised. The holder of a short call position expects a decrease in the price of the underlying asset during the lifetime of the option.

  • short option compensation (Short Option Compensation)

    The Short Option Minimum, which is calculated for every outright short option position, may result in excessive margin requirements for almost any type of option combination positions that also comprise long option positions. The concept of Short Option Compensation reflects the fact that short option positions embedded in complex option portfolios can often be balanced by long options positions or by corresponding futures positions.

  • short option minimum (Short Option Minimum)

    Within the calculation of Additional Margin requirements for option products, theoretical values for each option series are calculated assuming a "worst-case" market development. Since the calculation process does not consider any increase in implied volatility, the margin requirement for all short option positions where the worst-case liquidating value is lower than a defined minimum amount is adjusted to match that minimum.

  • short position (Short Position)

    A seller's open position in a contract.

  • short put (Short Put)

    An investor who holds a short put position is obliged to buy the underlying asset at the agreed exercise price if the put is exercised. The holder of a short put position expects an increase in the price of the underlying asset during the lifetime of an option.

  • SIS (SIS)

    See SegaInterSettle.

  • SMI® (Swiss Market Index) (SMI® (Swiss Market Index))

    Capital-weighted equity index based on a basket of shares which are traded permanently. It comprises 30 liquid stocks of the most highly-capitalized companies in Switzerland. Eurex offers futures and options on the SMI®.

  • SNB (SNB)

    See Swiss National Bank.

  • spot month (Spot Month)

    The contract month closest to the current date.

  • spot month spread margin (Spot Month Spread Margin)

    The margin rate which, throughout the delivery month, is applied to spread positions which contain a front month contract. This rate is always greater than, or equal to, the Back Month Spread Margin rate.

  • spread positions (Spread-Positionen)

    In the case of options, the simultaneous purchase and sale of option contracts with different exercise prices and/or different expirations. In the case of futures, the simultaneous purchase and sale of futures contracts with the same underlying but with different maturity dates (time spread), or with different underlyings (Inter-product Spread).

  • standard deviation (Standardabweichung)

    Measure of the extent to which the price of an asset fluctuates around a mean value during a fixed period of time.

  • standing instruction (Ständige Weisung)

    Instructions that determine the settlement processing of a cash securities trade. The instruction is specified in advance, as opposed to a separate instruction for each trade.

  • stop order (Stop Order)

    At Eurex, stop orders can only be entered for futures contracts. Stop orders are restricted orders, which are triggered only when the market price reaches (= trades at, or through) their price limit. In this case, the stop order becomes a market order and thus is executed at the best possible market price, as soon as possible.

  • STOXX (STOXX)

    STOXX Ltd. calculates and disseminates a broad spectrum of benchmark indexes.

  • STOXX Indexes (STOXX Indizes)

    Index family that represents the price development of the European market. Stoxx Ltd calculates approximately 300 indexes. The STOXX Europe 50® and EURO STOXX 50® are the blue chip indexes of the STOXX index family. They comprise the 50 largest companies in terms of capitalization from European countries or Eurozone countries, weighted by free-float market capitalization. The base date for the calculation of the index is December 31, 1991 = 1,000 points. Aside from the blue-chip indexes, Stoxx Ltd offers regional, size, style and market sector indexes. Admission to an index is - further to the index-specific criteria - subject to the free-float market capitalization of the company. The indexes are calculated as price and performance indexes. The indexes are calculated with the stock prices converted into euros or U.S. dollars.

  • Straddle (Straddle)

    The buyer of a straddle combination buys component 1, a call option, and buys component 2, a put option with the same underlying, expiration month and exercise price. The buyer of a long straddle expects a sharp rise or fall in the price of the underlying during the option's lifetime, but is indifferent as to the direction. Strong movements or overall uncertainty in the market, which may result in an increase in the option premiums, are beneficial for a long straddle.

  • Strangle (Strangle)

    The buyer of a strangle buys component 1, a call option, and buys component 2, a put option with the same underlying and the same expiration month, but with a different exercise price. The holder of the long strangle expects a very sharp rise or fall in prices during the option's lifetime, but is indifferent as to the direction. Strong movements or overall uncertainty in the market, which may result in an increase in the option premiums, are beneficial for a long strangle. Compared to the straddle, a strangle requires a more pronounced market change to be profitable

  • strategy trading (Strategie-Handel)

    See Combination trading.

  • strike price (Strike Price)

    See Exercise Price.

  • Supervisory Board (Verwaltungsrat)

    The body of Eurex Zürich that adopts important regulations such as the exchange rules, and appoints members of the Board of Management of Eurex Zürich.

  • Surveillance Office (Überwachungsstelle)

    Exchange body of Eurex Zürich which monitors futures and options trading.

  • suspension (Sperre)

    The temporary removal of the admission to trading of an exchange participant, or an exchange trader.

  • Swiss National Bank (Schweizer Nationalbank)

    The Swiss central bank. Eurex Clearing Members are obliged to have a cash account with Deutsche Bundesbank and the Swiss National Bank for clearing of cash amounts resulting from derivatives transactions.

  • synthetic position (Synthetische Position)

    The use of other derivative contracts to reproduce a futures contract, option contract, or a cash underlying position.

  • systemic risk (Systematisches Risiko)

    Risk associated with factors which influence the market as a whole. It cannot be reduced or eliminated by portfolio diversification.

  • take-up (Take-up-Geschäfte)

    Opposite to give-up. The receiving member of a give-up is required to accept ("take-up") the trade.

  • tap issue (Tap Issue)

    A fixed income security (bond) which is issued in varying amounts and at different times, usually in response to investor demand. The terms of the bond (issuing conditions, coupon and maturity) remain unchanged, but the tap price can vary according to market conditions.

  • TecDAX® (TecDAX®)

    TecDAX® tracks the performance of the Prime Standard´s 30 largest companies of the technology sector that, in terms of order book turnover and market capitalization, rank below those included in DAX®.

  • tender (Tender, Tendergeschäft)

    A method of issuing securities (predominantly fixed income securities, but also shares). A tender is an invitation by the issuer to bid for the securities offered. Depending on the type of tender auction, the securities are sold to each successful bidder at the individual bid ("Yankee auction"), or all successful bidders pay the price of the lowest successful bid ("Dutch auction"). A similar mechanism as described under 1. above may be used in central banks' open-market operations, predominantly for securities repurchase transactions ("repos"). The process of auctioning funds (liquidity made available to commercial banks for refinancing) is called a "repo tender". An offer to purchase some or all of shareholders' shares in a corporation. The price offered is usually at a premium to the market price.

  • theoretical prices (Theoretische Preise)

    Option prices (used for margin calculation) which have been calculated using option pricing models, based on projected values of the underlying.

  • tick size (Tickgröße)

    The smallest increment in which the price of a futures or option contract may trade (minimum price movement).

  • tick value (Tickwert)

    The monetary value represented by a one-tick movement in the price of a futures or option contract.

  • time spread (Time Spread)

    The simultaneous purchase and sale of two futures contracts based on the same underlying, but with different maturity dates. The buyer of the spread combination buys the first maturity and sells the second.

  • time value (Zeitwert)

    The component of the option price arising from the possibility that the investor's expectations will be fulfilled during the remaining lifetime. The longer the remaining lifetime, the higher the option price. This is due to the remaining time available during which the value of the underlying can rise or fall (a possible exception exists for options on futures and deep-in-the-money puts).

  • total margin amount (Gesamt-Margin)

    The sum of the Premium Margin, Current Liquidating Margin, Futures Spread Margin and Additional Margin, for which collateral must be deposited.

  • trade (Geschäft)

    A trade results from one of the following actions: Partial or full execution of an order or quote for a Eurex futures or options contract. Partial or full execution of an order or quote for cash securities (Xetra® or floor). Aggregation at order level on Xetra®.

  • trade confirmations (Geschäftsbestätigung)

    When an order is executed, a trade confirmation is generated. This trade confirmation includes – but is not limited to – details such as the execution price, the total amount executed and the trade number.

  • trade enrichment (Trade Enrichment)

    Trade enrichment is performed automatically after each trade execution. In this step, all necessary details for the clearing of futures and option contracts, or the settlement of cash securities are added.

  • Trade marked for gross processing (Zur Brutto-Verarbeitung gekennzeichnetes Geschäft))

    A cash securities trade marked by an indicator for gross processing. This indicator is set by default according to the customer's specification, and can be modified in Gross Delivery Management.

  • trade modification (Geschäftsnachbearbeitung)

    Modifications of cash securities trades are possible via the Eurex® system, and must be reflected accordingly in Gross Delivery Management, where necessary. Participants can make modifications of their own trade data. There are different kinds of modifications: Changes of attributes such as text or exchange participants' internal order numbers, modifications of account type, transfer of trades between Principal and Agent trades, or change of the settlement account.

  • trader (Händler)

    A trader is an individual admitted for trading at the exchange.

  • trading contract note (Handelsschlussnote)

    Confirmation of a matched cash securities trade, transmitted by the trading platform to the participant. It is generated on the level of an order's (partial) execution.

  • trading member (TM) (Handelsteilnehmer)

    Trading members are financial institutions, financial services providers and banks, which trade in futures and options, and/or in CCP-relevant instruments on Xetra® and/or on the floor of the Frankfurt Stock Exchange. They are entitled to execute principal trades and agent trades.

  • trading on behalf (Trading on Behalf)

    In an emergency, Eurex Market Supervision is able to enter orders as well as to delete orders on behalf of members, after receiving their instructions.

  • trading period (Handelsphase)

    This is the actual trading phase, during which orders and quotes for futures and option contracts are matched and trades are immediately confirmed online. Orders and quotes entered during this time, which are equal to or better than existing orders and quotes on the opposite side of the order book, are matched immediately. The Trading Period begins at the end of the Opening process.

  • trading platform (Handelsplattform)

    Environment in which securities trading takes place. There are two trading platforms at the Frankfurt Stock Exchange (FSE): the trading floor and electronic trading on the Xetra® system.

  • Trading Surveillance Office (Handelsüberwachungsstelle)

    Exchange body of Eurex Deutschland which monitors futures and options trading.

  • traditional options (Traditionelle Optionen)

    Options for which the traditional-style premium posting method is used for settlement.

  • traditional-style premium posting (Klassische Prämienverbuchung)

    The traditional method used for the margin treatment of the option premium. The premium is payable in full by the buyer of the option contract(s). Eurex Clearing AG uses this method for all stock and equity index options. Compare with Futures-Style Premium Posting.

  • transaction cost (Transaktionskosten)

    Fees associated with the execution of an order.

  • underlying (Basiswert)

    The financial instrument or security upon which a derivatives contract is based.

  • underlying asset (Zugrunde liegender Vermögenswert)

    See Underlying.

  • underlying security (Zugrunde liegendes Wertpapier)

    See underlying.

  • update trade confirmations (Aktualisierte Geschäftsbestätigungen)

    Upon further (partial) executions of a cash securities order, a trade confirmation is generated showing the accumulated volume and the volume-weighted average price of all partial executions of the current trading day, as well as price and volume of the most recent partial execution.

  • valuation of collateral (Aktualisierte Geschäftsbestätigungen)

    The valuation of collateral comprises the following steps: Marking-to-market of the deposited securities Application of haircuts to define the value of collateral Comparison of the value of deposited collateral and the required margin amount, resulting in a margin call or a margin credit.

  • VALUES API (VALUES API)

    VALUES API (Virtual Access Link Using Exchange Services – Application Programming Interface) is the programmable interface providing connectivity to Deutsche Börse’s electronic trading platforms (Eurex and Xetra®). VALUES API provides a single point of entry to the full range of the exchange functionality.

  • variation margin (Variation Margin)

    Variation margin (a daily offsetting of profits and losses) occurs as a result of the mark-to-market procedure used for futures, and options on futures. Through variation margin, the gains and losses incurred as a result of the price changes in open positions during a given trading day are offset against one another. In contrast to other kinds of margin, variation margin is not an amount which must be deposited as collateral, but is rather a daily cash settlement of debit and credit balances.

  • vertical call spread (Vertical Call Spread)

    The buyer of a vertical call spread combination buys component 1, a call option, and sells component 2, a call option with the same underlying and expiration month as component 1, but with a higher exercise price.

  • vertical put spread (Vertical Put Spread)

    The buyer of a vertical put spread combination buys component 1, a put option, and sells component 2, a put option with the same underlying and expiration month as component 1, but with a lower exercise price.

  • vertical spread (Vertical Spread)

    The simultaneous purchase and sale of option contracts of the same type (calls or puts) with the same expiration, but different exercise prices.

  • vola trade (Vola Trade)

    A trade in futures contracts, based on a pre-negotiated option trade.

  • volatility (Volatilität)

    The extent of the actual or forecast price fluctuation of a financial instrument (underlying). The volatility of a financial instrument can vary, depending on the period of time on which it is based. Generally, market participants calculate historical volatility (based on an instrument's price movements in the past), or implied volatility (the volatility implied by option prices traded in the market). Risk-based Margining employs historical volatility, calculated on a daily basis, which is then multiplied by a risk factor that has been determined statistically for each underlying by Eurex Clearing AG. The result is used to establish the margin parameter.

  • wide area network (Wide Area Network)

    A wide area network is a geographically-dispersed telecommunications network: the term distinguishes a broader telecommunications structure compared to a LAN.

  • workstation (Workstation)

    The standard front-end workstation acts as a client in relation to the MISS, providing the user with front-end applications (for example Trading and Clearing GUI) and VALUES API. MISS(es) and workstations are usually connected to each other via a LAN.

  • worst-case loss (Worst-Case Loss)

    The largest possible liquidation loss that could (potentially) arise prior to the end of the next trading day. This amount is secured by providing Additional Margin.

  • writer (Stillhalter)

    See Option seller

  • XTF (XTF)

    See Exchange Traded Fund

  • yield curve (Zinskurve, Zinsstrukturkurve)

    The graphic illustration of the relationship between the remaining lifetime and the yield of bonds.