Key product characteristics
- The Eurex IOC Liquidity Indicator for Options provides insight into the liquidity of more than 70 Eurex options products
- The proprietary indicator is based on order information not publicly available and supports algorithmic traders, banks, hedge funds and other market participants in determining liquidity and estimating the fair value of option contracts
- The indicator provides the aggregated volume of deleted IOC orders within a 10 millisecond time period starting from the timestamp of a trade triggered by an IOC order
- Data provided includes the volume indication and trade-related information such as price, quantity, execution ID and aggressive side that triggered the trade
- The information is delivered via (a) the Eurex MIC (multi-interface-channel), (b) the 10 GB Eurex market data connection as well as (c) Deutsche Börse’s CEF data feeds
Historical data available online
You can download historical data from our Data Shop > www.datashop.deutsche-boerse.com and also access free sample data.