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iSTOXX® Europe Momentum Factor Futures

iSTOXX® Europe Momentum Factor Futures (FXFM)

Product ISIN
DE000A2DB5K5
Underlying ISIN
CH0316370250
Currency
EUR

Latest

Prices/Quotes

Displayed data is 15 minutes delayed.Last trade:Oct 18, 2019 6:49:11 PM

Orderbook

Opening priceHighLowBid priceBid volAsk priceAsk volDiff. to prev. day lastLast priceDateTimeDaily settlem. priceTraded contractsOpen interest (adj.)Open interest dateLast trading day
n.a. n.a. n.a. n.a. n.a. n.a. n.a. -0.54% 128.70 10/18/2019 18:49:11 128.70 0 3,545 10/15/2019 10/18/2019

Statistics

Data is forOct 18, 2019   Last update:Oct 19, 2019 12:00:00 AM

Product type:
F
Stock exchange:
n/a
Underlying closing price:
128.05
Delivery monthOpening priceDaily highDaily lowLast priceSettlem. priceTraded contractsOpen interestOpen interest (adj.)
Dec 190.000.000.000.00128.703,5453,545
Mar 200.000.000.000.00128.9000
Jun 200.000.000.000.00128.9000
Total     03,5453,545

Vendor Codes

Vendor NameVendor Code
Bloomberg L.P.FXWA Index
thomsonreuters0#FXFM:

Trading

Contract Specifications

Version : 03 May 2017

Contract standards

ContractProduct IDUnderlying
iSTOXX® Europe Low Risk Factor FuturesFXFRiSTOXX® Europe Low Risk Factor Index
iSTOXX® Europe Momentum Factor FuturesFXFMiSTOXX® Europe Momentum Factor Index
iSTOXX® Europe Quality Factor FuturesFXFQiSTOXX® Europe Quality Factor Index
iSTOXX® Europe Size Factor FuturesFXFSiSTOXX® Europe Size Factor Index
iSTOXX® Europe Value Factor FuturesFXFViSTOXX® Europe Value Factor Index
iSTOXX® Europe Carry Factor FuturesFXFCiSTOXX® Europe Carry Factor Index

 

Settlement

Cash settlement, payable on the first exchange day following the final settlement day.

 

Contract values and price gradations

ContractContract valueMinimum price change
PointsValue
iSTOXX® Factor FuturesEUR 500.1EUR 5

 

Contract months

Standard - up to 9 months: The three nearest quarterly months of the March, June, September and December cycle.


Last trading day and final settlement day

Last trading day is the final settlement day.

Final settlement day is the third Friday of each maturity month if this is an exchange day; otherwise the exchange day immediately preceding that day.

Close of trading in the maturing futures on the last trading day is at 12:00 CET.


Daily settlement price

The daily settlement prices for the current maturity month are derived from the volume-weighted average of the prices of all transactions during the minute before 17:30 CET, provided that more than five trades transacted within this period.

For the remaining maturity months, the daily settlement price for a contract is determined based on the average bid/ask spread of the combination order book.

Final settlement price
The final settlement price is established by Eurex on the final settlement day of the contract and is based on the average of the respective iSTOXX® Index values calculated between 11:50 and 12:00 CET.


Further details are available in the clearing conditions and the contract specifications.

Trading Calendar

  • 01 Jan 2019
    Interest Rate Derivatives | Equity Derivatives | Equity Index Derivatives | Dividend Derivatives | FX Derivatives | Volatility Derivatives | Exchange Traded Products Derivatives | Commodity Derivatives | Property Derivatives | Holiday

    Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives

  • 02 Jan 2019
    Equity Index Derivatives | Switzerland | Holiday

    Eurex is closed for trading and clearing (exercise and settlement) in Swiss equity index derivatives

  • 02 Jan 2019
    Fixed income derivatives | Equity Derivatives | Equity Index Derivatives | Dividend Derivatives | Exchange Traded Products Derivatives | FX Derivatives | Switzerland | Holiday

    No cash payment in CHF

  • 21 Jan 2019
    Equity Derivatives | Equity Index Derivatives | Bloomberg | Gold Derivatives | Silver Derivatives | Exchange traded commodities derivatives | FX Derivatives | Brazil | Canada | Russia | USA | Holiday

    No cash payment in USD

  • 18 Feb 2019
    Equity Derivatives | Equity Index Derivatives | Bloomberg | Gold Derivatives | Silver Derivatives | Exchange traded commodities derivatives | FX Derivatives | Brazil | Canada | Russia | USA | Holiday

    No cash payment in USD

  • 19 Apr 2019
    Interest Rate Derivatives | Equity Derivatives | Equity Index Derivatives | Dividend Derivatives | Volatility Derivatives | FX Derivatives | Exchange Traded Products Derivatives | Commodity Derivatives | Property Derivatives | Holiday

    Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives

  • 22 Apr 2019
    Interest Rate Derivatives | Equity Derivatives | Equity Index Derivatives | Dividend Derivatives | FX Derivatives | Volatility Derivatives | Exchange Traded Products Derivatives | Commodity Derivatives | Property Derivatives | Holiday

    Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives

  • 01 May 2019
    Interest Rate Derivatives | Equity Derivatives | Equity Index Derivatives | Dividend Derivatives | FX Derivatives | Volatility Derivatives | Exchange Traded Products Derivatives | Commodity Derivatives | Property Derivatives | Holiday

    Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives

  • 27 May 2019
    Equity Derivatives | Equity Index Derivatives | Bloomberg | Gold Derivatives | Silver Derivatives | Exchange traded commodities derivatives | FX Derivatives | Brazil | Canada | Russia | USA | Holiday

    No cash payment in USD

  • 30 May 2019
    Equity Index Derivatives | Finland | Holiday

    Eurex is closed for trading and exercise in Finnish equity index derivatives

  • 30 May 2019
    Equity Index Derivatives | Switzerland | Holiday

    Eurex is closed for trading and clearing (exercise and settlement) in Swiss equity index derivatives

  • 30 May 2019
    Fixed income derivatives | Equity Derivatives | Equity Index Derivatives | Dividend Derivatives | Exchange Traded Products Derivatives | FX Derivatives | Switzerland | Holiday

    No cash payment in CHF

  • 10 Jun 2019
    Equity Index Derivatives | Germany | Holiday

    Eurex is closed for trading and exercise in German equity index derivatives, except FDAX, F2MX, FDIV, FTDX and FDXM

  • 10 Jun 2019
    Equity Index Derivatives | Austria | Holiday

    Eurex is closed for trading and exercise in Austrian equity index derivatives

  • 10 Jun 2019
    Fixed income derivatives | Equity Derivatives | Equity Index Derivatives | Dividend Derivatives | Exchange Traded Products Derivatives | FX Derivatives | Switzerland | Holiday

    No cash payment in CHF

  • 10 Jun 2019
    Equity Index Derivatives | Switzerland | Holiday

    Eurex is closed for trading and clearing (exercise and settlement) in Swiss equity index derivatives

  • 21 Jun 2019
    Equity Index Derivatives | Finland | Holiday

    Eurex is closed for trading and exercise in Finnish equity index derivatives

  • 04 Jul 2019
    Equity Derivatives | Equity Index Derivatives | Bloomberg | Gold Derivatives | Silver Derivatives | Exchange traded commodities derivatives | FX Derivatives | Brazil | Canada | Russia | USA | Holiday

    No cash payment in USD

  • 01 Aug 2019
    Equity Index Derivatives | Switzerland | Holiday

    Eurex is closed for trading and clearing (exercise and settlement) in Swiss equity index derivatives

  • 01 Aug 2019
    Equity Derivatives | Equity Index Derivatives | Dividend Derivatives | Exchange Traded Products Derivatives | Interest Rate Derivatives | FX Derivatives | Switzerland | Holiday

    No cash payment in CHF

  • 02 Sep 2019
    Equity Derivatives | Equity Index Derivatives | Bloomberg | Gold Derivatives | Silver Derivatives | Exchange traded commodities derivatives | FX Derivatives | Brazil | Canada | Russia | USA | Holiday

    No cash payment in USD

  • 03 Oct 2019
    Equity Index Derivatives | Germany | Holiday

    Eurex is closed for trading and exercise in German equity index derivatives, except FDAX, F2MX, FDIV, FTDX and FDXM

  • 14 Oct 2019
    Equity Derivatives | Equity Index Derivatives | Bloomberg | Gold Derivatives | Silver Derivatives | Exchange traded commodities derivatives | FX Derivatives | Brazil | Canada | Russia | USA | Holiday

    No cash payment in USD

  • 11 Nov 2019
    Equity Derivatives | Equity Index Derivatives | Bloomberg | Gold Derivatives | Silver Derivatives | Exchange traded commodities derivatives | FX Derivatives | Brazil | Canada | Russia | USA | Holiday

    No cash payment in USD

  • 28 Nov 2019
    Equity Derivatives | Equity Index Derivatives | Bloomberg | Gold Derivatives | Silver Derivatives | Exchange traded commodities derivatives | FX Derivatives | Brazil | Canada | Russia | USA | Holiday

    No cash payment in USD

  • 06 Dec 2019
    Equity Index Derivatives | Finland | Holiday

    Eurex is closed for trading and exercise in Finnish equity index derivatives

  • 24 Dec 2019
    Volatility Derivatives | Property Derivatives | FX Derivatives | Interest Rate Derivatives | Equity Index Derivatives | Exchange Traded Products Derivatives | Equity Derivatives | Dividend Derivatives | Commodity Derivatives | Holiday

    Eurex is closed for trading in all derivatives

  • 25 Dec 2019
    Interest Rate Derivatives | Equity Derivatives | Equity Index Derivatives | Dividend Derivatives | FX Derivatives | Volatility Derivatives | Exchange Traded Products Derivatives | Commodity Derivatives | Property Derivatives | Holiday

    Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives

  • 26 Dec 2019
    Interest Rate Derivatives | Equity Derivatives | Equity Index Derivatives | Dividend Derivatives | FX Derivatives | Volatility Derivatives | Exchange Traded Products Derivatives | Commodity Derivatives | FX Derivatives | Property Derivatives | Holiday

    Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives

  • 31 Dec 2019
    Commodity Derivatives | Dividend Derivatives | Equity Derivatives | Exchange Traded Products Derivatives | Equity Index Derivatives | Interest Rate Derivatives | Property Derivatives | FX Derivatives | Volatility Derivatives | Holiday

    Eurex is closed for trading in all derivatives

Trading Hours

Regular Trading Day
Pre-TradingTradingPost-Trading
FullLate1Late2Restricted
07:3007:5022:0022:10
Last Trading Day
Pre-TradingTradingPost-Trading
FullLate1Late2Restricted
07:3007:5012:00

Transaction Fees

Fee TypeFee
Exchange transactions: Standard fees (A-, M- and P-accounts)EUR 0.30 per contract
TES transactions: Standard fees (A-, M- and P-accounts)EUR 0.45 per contract
Position Closing AdjustmentsEUR 0.60 per contract
Cash settlementEUR 0.30 per contract
Position transfer with cash transferEUR 7.50 per transaction

Block Trades

Admitted to the Eurex Block Trade Service with a Minimum Block Trade Size of 10 contracts

Parameters

Maximum Spreads

0.50 percent based on the bid price.

In Fast Market, the Maximum Spread is increased by 100 percent.

Minimum Quote Size

5 contracts on the bid and ask side.

The minimum quote duration is 70 percent of the trading hours between 09:00 and 17:30 CET
(on a monthly average). The front month has to be quoted; five exchange days preceding the last trading day, Market Makers may choose to quote either the front month or the second contract month.

In Fast Market, the minimum quote size is reduced by 50 percent.

Market Makers

Mistrade Ranges

A deviation from the reference price shall be deemed significant if the price of the mistrade transaction deviates from the reference price by more than the higher value between the mistrade range floor or 20 percent of the PCP for the corresponding futures contract, unless another regulation has been made for an individual product.

The floor value for the mistrade range will be determined on a product level as the higher value between 10 percent of the corresponding outright futures mistrade range calculated using the price change percentile methodology and an absolute value of four ticks.

Crossing Parameters

(section 2.6 Eurex Trading Conditions)

(1) Orders and quotes relating to the same instrument or combined instrument may, in case they could immediately be executed against each other, neither be entered knowingly by an Exchange Participant (a cross trade) nor pursuant to a prior understanding by two different Exchange Participants (a pre-arranged trade), unless the conditions according to Paragraph 3 have been fulfilled. The same shall apply for the entry of orders as part of a quote.

(2) An Exchange Participant may submit a description of his internal and external links to the EDP system of Eurex Deutschland to the Market Surveillance Office of Eurex Deutschland with a view to a decision on whether the Exchange Participant acted knowingly within the meaning of Paragraph 1. The details of the specifications of the description of the IT linkage pursuant to Sentence 1 shall be determined by the Surveillance Office of Eurex Deutschland in agreement with the Management Board of Eurex Deutschland.

(3) A cross trade or a pre-arranged trade is admissible if a participant in a cross-trade or a pre-arranged trade, prior to entering his order or quote into the EDP system of Eurex Deutschland, announces his intention to execute a corresponding number of contracts as cross-trades or pre-arranged trades in the order book (“cross request”). The order or quote giving rise to the cross trade or pre-arranged trade must be entered one second at the earliest and 61 seconds at the latest with regard to Money Market Futures contracts, Fixed Income Futures contracts, options on Money Market Futures contracts and options on Fixed Income Futures contracts, respectively 31 seconds at the latest with regard to all other futures and option contracts after having entered the cross request. The purchasing Exchange Participant shall bear the responsibility for compliance with the content of the cross request entry. Entering a cross request without subsequently entering the respective order or quote is not admissible.

(4) Paragraphs 1 and 3 shall not apply to transactions consummated during the netting process in an auction (Number 1.4 Paragraphs 2 and Paragraph 3).

(5) Paragraph 1 shall apply mutatis mutandis to other behaviour constituting evasion of this regulation.

Orderbook

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