Derivatives funding: Smart solutions for a complex environment Read the full article
Eurex
26 Apr 2021

STOXX® & iSTOXX® Factor Index Futures

ContractsProduct IDUnderlying

iSTOXX® Europe Low Risk, Momentum, Quality, 
Size, Value, Carry Factor Futures

FXFR, FXFM, 
FXMQ, FXMS, 
FXMV, FXMC

iSTOXX® Europe Low Risk, Momentum, Quality, 
Size, Value, Carry Factor Indexes

STOXX® Europe 600 Industry Neutral Ax Low Risk, Momentum, Quality, Size, Value, Multi-Factor Futures 

FAXL, FAXA,
FAXM, FAXQ,
FAXS, FAXV

STOXX® Europe 600 Industry Neutral Ax Low Risk, Momentum, Quality, Size, Value, Multi-Factor Net Total Return Indexes

STOXX® USA 500
Industry Neutral Ax Low Risk, Momentum, Quality, Size, Value, Multi-Factor Futures

FUAL, FUAA,
FUAM, FUAQ,
FUAS, FUAV

STOXX® USA 500
Industry Neutral Ax Low Risk, Momentum, Quality, Size, Value, Multi-Factor Net Total Return Indexes


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 Futures

EUR 50

0.1

EUR 5

STOXX® Europe 600 Factor Futures

EUR 100

0.05

EUR 5

STOXX® USA 500 Factor Futures

USD 100

0.05

USD 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 (22:00 CET for STOXX® USA 500 Factor Futures).

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 STOXX® Europe 600 & iSTOXX® Index values calculated between 11:50 and 12:00 CET.

For STOXX® USA 500 Factor Futures the final settlement price is determined by the closing value of the respective index on the last trading day.


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

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.

An instant update of the Market Status requires an enabled up-to date Java™ version within the browser.