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Passive Liquidity Protection: Further rollout to remaining equity options and DAX® index option

Release date: 13 May 2020 | Eurex Exchange

032/2020 Passive Liquidity Protection: Further rollout to remaining equity options and DAX® index option

Eurex Circular 032/20

1.  Introduction

With this circular, we would like to inform you about the further rollout of the Passive Liquidity Protection (PLP) which will start on 24 August 2020.

In addition to the already supported German and French equity options, PLP will be activated in the following products:

  • all remaining equity options including weekly options (segments XX11/12/13/14) 
  • DAX® index option (ODAX) including weekly options (ODX1 to ODX5)

The deferral times for the equity options and the ODAX index option will be set in accordance with the respective latency characteristics of each product.

PLP will be available in the Eurex simulation for the same product segments with production-like deferral time starting 20 May 2020.

Simulation start: 20 May 2020
Production start: 24 August 2020

2.  Required action

There is no particular action required. Participants who are interested in using the PLP functionality for the newly supported products should use the Eurex simulation environment for testing as of 20 May 2020. 

3.  Details of the initiative

The PLP functionality was initially activated in June 2019 for the German and French equity options. After the agreed pilot phase of six months, subsequent data analysis and member consultation, Eurex decided to further roll out PLP into all remaining equity options including weeklies (segments XX11/12/13/14) as well as the DAX® index option (ODAX) including weeklies (ODX1/2/4/5) effective on 24 August 2020.

With the activation of PLP, all aggressive order transactions, i.e. order transactions that are executable upon arrival at the matching engine, will be delayed by a segment-specific deferral time before they are able to interact with the order book.

For more information on the PLP functionality as well as impact on Eurex interfaces, please refer to the respective Eurex Functional Reference Guide available on the Eurex website www.eurexchange.com under the following link:

Further information is also available on the dedicated PLP initiative website under this link:

On the setup of the deferral time, it was agreed that it needs to be carefully adjusted and reflect the distinct latency characteristics of the respective product segment, i.e. in case affiliated products like the underlying is traded at the same venue the option is traded or not.

Subsequently and in line with the feedback received by the Participants, the deferral times for the rollout product scope are set to:

Product scope Deferral time (PRODUCTION)
Equity Options:  
All German equity options incl. weeklies (DE11/12/13/14) 1 millisecond (unchanged)
All remaining equity options incl. weeklies (XX11/12/13/14) 3 milliseconds
Equity Index Options:  
ODAX incl. weeklies (ODX1/2/4/5) 1.5 milliseconds

Eurex will constantly monitor trading activity changes and order book dynamics in order to evaluate the appropriateness of the deferral times and may change them after transparent communication in case empirical results provide evidence that a change is required.

For Participants to familiarise with the PLP order handling, PLP will be activated in the Eurex simulation environment for the respective equity options and the DAX® index option with production-like deferral times starting 20 May 2020.
 

Further Information

Recipients: All Trading Participants of Eurex Deutschland and vendors
Target groups: Front Office/Trading
Contact: client.services@eurexchange.com
Related Eurex circulars: 027/19, 042/19
Web: Passive Liquidity Protection initiative page
Authorised by: Randolf Roth