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24 June 2015 | Data services

Mondo Visione white paper “IOC Liquidity Indicator: Gaining insight from cancelled orders”

A new white paper published by Mondo Visione reveals that Deutsche Börse’s Eurex IOC Liquidity Indicator for Options, which makes “invisible” cancelled IOC orders visible, can create huge potential for improved price discovery and provides interesting new trading signals. In particular, the white paper explains the mechanics of the IOC Liquidity Indicator and shows how it can be used by traders and other market participants.

The Eurex IOC Liquidity Indicator:

  • Reveals non-filled IOC orders not visible in the order book
  • Is derived from non-public, aggregated information
  • Is available for more than 70 Eurex options
  • Provides previously unavailable information on options liquidity
  • Allows market participants to make informed adjustments to bid/ask spreads, pricing, trade sizes and order frequency

To download the white paper, please click on the PDF in the download section on the right.

> Eurex IOC Liquidity Indicator for Options