Inter-Product Spreads for Fixed Income Futures | ||||||||||||||||||||
16 September: Launch of Inter-Product Spreads (IPS) for Fixed Income Futures | ||||||||||||||||||||
As of 16 September 2019, Eurex will offer Inter-Product Spreads (IPS) for fixed income futures as a standardized futures product. Inter-Product Spreads are strategies used to create exposure to changes in flatness and steepness of the yield curve, such as a Bund-Buxl spread or outright spreads between European government bond futures such as the BTP-Bund spread. By standardizing these spreads into a dedicated order book, Eurex creates a delta neutral (DV01 neutral) trading opportunity by using appropriate leg ratios. As the spread is traded in a single transaction, it also eliminates legging risk and saves bid-ask spread costs. Once the IPS is processed, the individual legs can be traded out in their respective order books.
Contracts and Ratios From 16 September 2019, the following Fixed Income Futures combinations are available as Eurex Inter-Product Spreads:
The above IPS leg ratios are valid for the December 2019 expiry. Final ratios will always be confirmed before each new expiry starts trading. |
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Eurex: Launch Of Inter-Product Spreads For Fixed Income Futures
Date 10/09/2019