The board of Eurex Deutschland has decided to introduce a new type of T7 Entry Services, Delta Neutral TAM (Trade at Market) trading (“Delta TAM”) for Index Total Return Futures (TRF).
This will support neutral delta strategies entered into the T7 trading system through T7 Entry Services.
The addition is effective on April 22, 2024.
The objective of the new T7 Entry Services (TES) functionality is to support market participants entering delta-hedged total return index futures (TRF) in conjunction with their SME counterparts through a new type of TES (Delta TAM) in Eurex T7 trading system.
Today, delta-neutral Index TRF trades are executed as two separate TES trades with opposite market sides, usually as a pre-month regular Index Futures contract traded in conjunction with a longer expiration date of the associated Index TRF contract (for example, a Month Futures Market with EURO STOXX 50® index – e.g. FESX JUN24 and Sell EURO STOXX 50® Index TRF with a longer expiration date – e.g. TESX DEC26).
The Index TRF contract component (eg TESX DEC26) is executed as a Trade-at-Market (TAM) transaction with the market participant entering a custom index “strike” determined based on:
- Executed price level of normal Index Futures contract hedge (eg FESX JUN24).
- Pre-agreed index basis (eg difference between FESX JUN24 and EURO STOXX 50® Index).
The new Delta TAM functionality will make it easier to cross-reference the two related products as a package that will ensure both components run simultaneously.