Variance

EURO STOXX 50® Variance Futures (EVAR)

  • Bloomberg L.P.
    VETA <INDEX> GO
  • Refinitiv
    <0#EVAR:>
  • Currency
    EUR
  • Product ISIN
    DE000A11Q8E3

Prices/Quotes

Price Chart

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Statistics

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Specifications

Contract Specifications

Variance Futures replicate the pay-off profile of a Variance Swap using a daily margined futures contract. Instead of a final settlement payment at the end of the life time the pay-off profile of the Variance Swap is generated as the sum of all variation margin payments throughout the holding period of the Variance Futures contract. Variance Futures are traded in a quantity of notional Vega, which represents a risk amount that is expressed in euro and at prices of volatility. Volatility is the annualised average price fluctuation of the EURO STOXX 50® Index that is expected until the maturity of the contract month. Volatility is expressed in percentage points.

Underlying

The future average price fluctuation (variance) of the EURO STOXX 50® Index.

Contract value

EUR 1 per Variance Futures point.

Settlement

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

Price calculation and minimum price change

The futures price is calculated in Variance Futures points with four decimal places. The minimum price change is 0.0001 points, equivalent to a value of EUR 0.0001.

Trading and order maintenance

Variance Futures are traded on-exchange in terms of notional Vega at volatility. Transactions via the Block Trade Service are entered in Variance Futures contracts at final Variance Futures prices.

The minimum order size is 1 notional Vega, the minimum price change is 0.05 percentage points in volatility.

Upon matching notional Vega is converted into Variance Futures contracts and rounded to the nearest integer, at least to one futures. The volatility is converted into Variance Futures prices as well.

The corresponding conversion formulas and parameters are published here.

Contract months

Up to 24 months: The three nearest successive calendar months, the three following quarterly months of the March, June, September and December cycle, and the two following semi-annual months of the June and December cycle thereafter.

Last trading day and final settlement day

Last trading day is the exchange day preceding 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 17:30 CET. There is no trading on the final settlement day of each maturity month.

Daily settlement price

The daily settlement price is determined through the conversion of volatility into the Variance Futures price according to different formulae.

The corresponding conversion formulas and parameters are published here.

Final settlement price

The final settlement price is established by Eurex Exchange on the final settlement day. The final realized variance is based on the average of the EURO STOXX 50® Index calculations between 11:50 CET until 12:00 CET.

Position limit

A Clearing Member may not own or control contracts exceeding EUR 10 million Vega notional. The position limit holds for all contract months combined. It is computed by summing up the absolute values of net positions for all contract months, i.e. Clearing Members may not recognize offsets across maturities.

Block Trades

Admitted to the Eurex Block Trade Service with a Minimum Block Trade Size of 1 contract.

Market-Making Parameter

All quotation parameters at a glance

  • Quotation period
  • Maturity range
  • Spread class & Maximum Spread
  • Minimum Quote Size
Liquidity Provider schemes

Mistrade Parameter

This file provides an overview of mistrade ranges for Options and Futures including information on their behavior close to expiration and in stressed markets.
 

Mistrade Ranges

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 Trader or several Exchange Traders of an Admitted Company (a “Cross Trade”) nor pursuant to a prior understanding between Exchange Traders of two different admitted companies (a “Pre-Arranged Trade”), unless the conditions according to Paragraph 2 have been fulfilled. The same shall apply for the entry of Orders as part of a Quote.

(2) A Cross Trade or a Pre-Arranged Trade is admissible if a participant in a Cross Trade or a Pre-Arranged Trade Eurex Trading System, announces his intention to execute a corresponding number of Contracts as Cross Trades or Pre-Arranged Trades in the Order Book (“Trade Request”). The buying participant has to ensure that he himself or the selling participant enters the Trade Request. The Order or Quote giving rise to the Cross Trade or Pre-Arranged Trade must be entered one second at the earliest and 121 seconds at the latest after the entry of the Trade Request. Entering a Trade Request without entering the respective Order or Quote is not admissible.

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

(4) The automated entry functionality for Cross Trades or Pre-Arranged Trades of the Eurex Trading System may be used for entering Cross Trades or Pre-Arranged Trades. In this case, announcement and entry of the corresponding Orders pursuant to Paragraph 2 will be automated. 

Trading Hours

Regular Trading Day
Pre-Trading Trading Post-Trading
Full Late1 Late2 Restricted
07:30 08:50 17:30 18:30 22:00
Last Trading Day
Pre-Trading Trading Post-Trading
Full Late1 Late2 Restricted
07:30 08:50 17:30

Trading Calendar

  • Jan 01
    Interest Rates | Equity | Equity Index | Dividends | FX | Volatility | ETF & ETC | Commodity | Cryptocurrency | Holiday

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

  • Jan 17
    Volatility | Last Trading Day

    Last trading day for VSTOXX® Derivatives

  • Jan 18
    Volatility | Last Trading Day

    Last trading day for EURO STOXX 50® Variance Futures

  • Jan 19
    Volatility | Final Settlement Day

    Final settlement day for EURO STOXX 50® Variance Futures (no trading)

  • Feb 14
    Volatility | Last Trading Day

    Last trading day for VSTOXX® Derivatives

  • Feb 15
    Volatility | Last Trading Day

    Last trading day for EURO STOXX 50® Variance Futures

  • Feb 16
    Volatility | Final Settlement Day

    Final settlement day for EURO STOXX 50® Variance Futures (no trading)

  • Mar 14
    Volatility | Last Trading Day

    Last trading day for EURO STOXX 50® Variance Futures

  • Mar 15
    Volatility | Final Settlement Day

    Final settlement day for EURO STOXX 50® Variance Futures (no trading)

  • Mar 20
    Volatility | Last Trading Day

    Last trading day for VSTOXX® Derivatives

  • Mar 29
    Interest Rates | Equity | Equity Index | Dividends | Cryptocurrency | Volatility | FX | ETF & ETC | Commodity | Holiday

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

  • Apr 01
    Interest Rates | Equity | Equity Index | Dividends | FX | Volatility | ETF & ETC | Commodity | Cryptocurrency | Holiday

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

  • Apr 17
    Volatility | Last Trading Day

    Last trading day for VSTOXX® Derivatives

  • Apr 18
    Volatility | Last Trading Day

    Last trading day for EURO STOXX 50® Variance Futures

  • Apr 19
    Volatility | Final Settlement Day

    Final settlement day for EURO STOXX 50® Variance Futures (no trading)

  • May 01
    Interest Rates | Equity | Equity Index | Dividends | FX | Volatility | ETF & ETC | Commodity | Cryptocurrency | Holiday

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

  • May 16
    Volatility | Last Trading Day

    Last trading day for EURO STOXX 50® Variance Futures

  • May 17
    Volatility | Final Settlement Day

    Final settlement day for EURO STOXX 50® Variance Futures (no trading)

  • May 22
    Volatility | Last Trading Day

    Last trading day for VSTOXX® Derivatives

  • Jun 19
    Volatility | Last Trading Day

    Last trading day for VSTOXX® Derivatives

  • Jun 20
    Volatility | Last Trading Day

    Last trading day for EURO STOXX 50® Variance Futures

  • Jun 21
    Volatility | Final Settlement Day

    Final settlement day for EURO STOXX 50® Variance Futures (no trading)

  • Jul 17
    Volatility | Last Trading Day

    Last trading day for VSTOXX® Derivatives

  • Jul 18
    Volatility | Last Trading Day

    Last trading day for EURO STOXX 50® Variance Futures

  • Jul 19
    Volatility | Final Settlement Day

    Final settlement day for EURO STOXX 50® Variance Futures (no trading)

  • Aug 15
    Volatility | Last Trading Day

    Last trading day for EURO STOXX 50® Variance Futures

  • Aug 16
    Volatility | Final Settlement Day

    Final settlement day for EURO STOXX 50® Variance Futures (no trading)

  • Aug 21
    Volatility | Last Trading Day

    Last trading day for VSTOXX® Derivatives

  • Sep 18
    Volatility | Last Trading Day

    Last trading day for VSTOXX® Derivatives

  • Sep 19
    Volatility | Last Trading Day

    Last trading day for EURO STOXX 50® Variance Futures

  • Sep 20
    Volatility | Final Settlement Day

    Final settlement day for EURO STOXX 50® Variance Futures (no trading)

  • Oct 16
    Volatility | Last Trading Day

    Last trading day for VSTOXX® Derivatives

  • Oct 17
    Volatility | Last Trading Day

    Last trading day for EURO STOXX 50® Variance Futures

  • Oct 18
    Volatility | Final Settlement Day

    Final settlement day for EURO STOXX 50® Variance Futures (no trading)

  • Nov 14
    Volatility | Last Trading Day

    Last trading day for EURO STOXX 50® Variance Futures

  • Nov 15
    Volatility | Final Settlement Day

    Final settlement day for EURO STOXX 50® Variance Futures (no trading)

  • Nov 20
    Volatility | Last Trading Day

    Last trading day for VSTOXX® Derivatives

  • Dec 18
    Volatility | Last Trading Day

    Last trading day for VSTOXX® Derivatives

  • Dec 19
    Volatility | Last Trading Day

    Last trading day for EURO STOXX 50® Variance Futures

  • Dec 20
    Volatility | Final Settlement Day

    Final settlement day for EURO STOXX 50® Variance Futures (no trading)

  • Dec 24
    Interest Rates | Equity | Equity Index | Dividends | Volatility | ETF & ETC | Cryptocurrency | Commodity | FX | Holiday

    Eurex is closed for trading in all derivatives

  • Dec 25
    Interest Rates | Equity | Equity Index | Dividends | FX | Volatility | ETF & ETC | Commodity | Cryptocurrency | Holiday

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

  • Dec 26
    Interest Rates | Equity | Equity Index | Dividends | FX | Volatility | ETF & ETC | Commodity | Cryptocurrency | Holiday

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

  • Dec 31
    Interest Rates | Equity | Equity Index | Dividends | Volatility | ETF & ETC | Cryptocurrency | Commodity | FX | Holiday

    Eurex is closed for trading in all derivatives

Transaction Fees

Fee Type Fee
Exchange transactions: Standard fees (A-accounts) EUR 0.30 per contract
Exchange transactions: Standard fees (M- and P-accounts) EUR 0.20 per contract
TES transactions: Standard fees (A-accounts) EUR 0.45 per contract
TES transactions: Standard fees (M- and P-accounts) EUR 0.30 per contract
Position Closing Adjustments (A-accounts) EUR 0.60 per contract
Position Closing Adjustments (M- and P-accounts) EUR 0.40 per contract
Cash settlement (A-accounts) EUR 0.30 per contract
Cash settlement (M- and P-accounts) EUR 0.20 per contract
Position transfer with cash transfer EUR 7.50 per transaction

Order Book

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Market Status

XEUR

The market status window is an indication regarding the current technical availability of the trading system. It indicates whether news board messages regarding current technical issues of the trading system have been published or will be published shortly.

Please find further information about incident handling in the Emergency Playbook published on the Eurex webpage under Support --> Emergencies and safeguards. Detailed information about incident communication, market re-opening procedures and best practices for order and trade reconciliation can be found in the chapters 4.2, 4.3 and 4.5, respectively. Concrete information for the respective incident will be published during the incident via newsboard message. 

We strongly recommend not to take any decisions based on the indications in the market status window but to always check the production news board for comprehensive information on an incident.

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