Eurex IOC Liquidity Indicator for Options
Insights into the liquidity of the most important Eurex options
Key information product characteristics
Premium information product
The Eurex IOC Liquidity Indicator for options provides insight into the liquidity of more than 70 Eurex options products
The indicator provides the aggregated volume of deleted IOC orders within a 10-millisecond time period starting from the timestamp of the last trade
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
Information provided includes 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
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