Questions tagged [eurex]

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2
votes
1answer
120 views

impact of bond futures conversion factor on calendar spread trading

i have a quick question about conversion factor and his implication in calendar bonds roll trading. I go short on a calendar roll (short front+long back) which has the same cheapest to deliver. The ...
3
votes
1answer
335 views

Data sources for historical Eurex settlement option prices

I am looking for long history for historical settlement option prices at EUREX. This seems to be more challenge than I could imagine. Eurex themselves doesn't offer that data unfortunately (they only ...
0
votes
1answer
196 views

At what time (BST) are interest rate futures settled daily on Eurex Exchange?

ie, what is the earliest time can I expect to see settle prices for all interest rate futures (ie, BUXL future, GILT future) on Eurex exchange? Is it 15:00 local time just like it is on CME ?
1
vote
1answer
212 views

Where to obtain Eurex level 2 historical order book data from?

What are some possible sources to obtain Eurex level 2 historical order book data from? Unfortunately I have only been able to find 1 source - namely Eurex itself, which charges 2000 Euro/month for ...
2
votes
1answer
673 views

How to automate the margin requirements for Eurex markets?

I'm looking at automating the calculation of margin requirements for a portfolio of Eurex markets. Eurex describe the margin calculations in this document. However, the only tool I can find is a ...
5
votes
1answer
564 views

European turbo warrants

Totally new to the world of quant finance, so perhaps this is an odd question... Does there exist an American equivalent to the German style "knock out zertifkate"? (The name might be slightly wrong....
7
votes
1answer
1k views

Need historical prices of EUREX American and European style options

I am trying to get the historical price data on selected American and European style options at EUREX. I am not familiar with their system. Does any one know whether they have something like yahoo ...