Deutsche Börse Market Data + Services has launched “Eurex IOC Liquidity Indicator for Options,” an 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,” says 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.