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Deutsche Börse Market Data + Services has introduced “Eurex IOC Liquidity Indicator for Options,” a new analytics product that provides insight into the liquidity of the most widely traded options available on Eurex Exchange.
“Eurex IOC Liquidity Indicator is our first analytics product for options contracts. Because the new indicator is based on order information that is not publicly available, it gives market participants a deeper view of liquidity for Eurex Exchange’s most popular options,” said Georg Gross, Head of Information, Market Data + Services, Deutsche Börse.
The Eurex IOC Liquidity Indicator for Options is calculated for more than 70 of the most popular options contracts available on Eurex Exchange, including options on Euro-Bobl, Euro-Bund and Euro-Schatz Futures, options on DAX, EURO STOXX 50, EURO STOXX Banks Index, KOSPI 200, SMI, and VSTOXX and a variety of equity options including all DAX components.
The Eurex IOC Liquidity Indicator for Options provides the aggregated volume of deleted Immediate-or-Cancel (IOC) orders in a 10 millisecond time period starting from the timestamp of a trade triggered by an IOC order. The data provided by this indicator includes volume indication and trade-related information such as price, quantity, execution ID and the aggressive side that triggered the trade.
The Eurex IOC Liquidity Indicator for Options is disseminated via data feeds CEF Core and CEF ultra+ Eurex.
About Deutsche Börse – Market Data + Services
Deutsche Börse is one of the world’s leading data and technology service providers for the securities industry with a product and service offering for issuers, investors, intermediaries and data vendors. The Group covers the entire value chain from trading, through clearing, to settlement and securities custody. Deutsche Börse Market Data + Services encompasses the Group’s extensive market data offering and external technology and connectivity services. The product and service range includes real-time and historical data from the Group's trading venues Eurex Exchange and Xetra as well as from cooperation partners. It also includes exclusive trading signals independent of its platforms such as economic indicators or macroeconomic news, reference data for more than 1,000,000 securities, approximately 10,500 indices including the STOXX and DAX index families, superior capital market infrastructure, and reliable connectivity services.