The Management Board of Eurex Deutschland has decided to introduce a new T7 Entry Services (TES) type, Delta Neutral TAM (Trade at Market) trades (“Delta TAM”) for Index Total Return Futures (TRF).
This will support delta neutral strategies entered into the T7 trading system via T7 Entry Services.
The addition is effective 22 April 2024.
The objective of the new T7 Entry Services (TES) functionality is to support market participants entering delta hedged Index Total Return Futures (TRFs) in conjunction with the corresponding Index Futures via a new TES type (Delta TAM) in the Eurex T7 trading system.
Today, delta neutral trades with Index TRFs are executed as two separate TES trades with opposite market sides, usually as a front-month of regular Index Futures contract traded in conjunction with a longer dated expiry of the related Index TRF contract (for example a Buy EURO STOXX 50® Index Futures front month – e.g. FESX JUN24 and Sell EURO STOXX 50® Index TRF with a longer dated expiry – e.g. TESX DEC26).
The Index TRF contract component (e.g. TESX DEC26) is executed as a Trade-at-Market (TAM) trade with the market participant entering a custom index “strike” which is determined based on the:
- Executed price level of the regular Index Futures contract hedge (e.g. FESX JUN24);
- Pre-agreed Index Basis (e.g. difference between FESX JUN24 and EURO STOXX 50® Index).
The new functionality Delta TAM will facilitate crossing of the two related products as a package which will ensure the execution of both components at the same time.
