Euronext-LIFFE

As an alternative to Eurex s 10-year Euro-Bund future, Euronext LIFFE offers a similar contract again based on a nominal 100,000 contract size, tick value of 10, and the same expiry cycle. The Euro-Schatz counterpart, however, offers a contract size of 200,000. The smallest allowable price movement is one half of a basis point and hence the value of a tick remains at 10. 

Euronext.liffe creates a market in contracts on 3-month interest rates in three currencies the euro, the pound sterling, and the Swiss franc, but only contracts in the first two currencies are liquid, as Exhibit 17.10 shows. 

EXHIBIT 17.10 Trading Statistics for Euronext.liffe STIR Options Jan 2003... 

EXHIBIT 17.11 Euronext.liffe STIR Option Specifications... 

EXHIBIT 17.12 Trading Volumes for Euronext.liffe STIR Futures and Options on 7 March 2003... 

The two major European derivatives exchanges, Euronext-LIFFE and their German-Swiss competitors Eurex, offer options on interest rate futures that cover a wide spectrum of maturities. Eurex and Euronext-LIFFE both offer options on their money market futures, 3-month EURI-BOR contracts. Contracts which have the European Interbank Offered... 

Rate for 3-month time deposits as their underlying instrument. Euronext-LIFFE also has options on 3-month sterling EIBOR and 3-month Euro-Swiss futures contracts at the short end of the maturity curve. 

Euronext-LIFFE s 3-month EURIBOR futures option, traded on the Chicago Mercantile Exchange, is an actively traded short-term interest rate option that enjoys high trading volume. If these options are exercised, the buyer and the seller of the option take positions in an underlying 3-month EURIBOR futures contract. The futures contract is cash-settled and the final price at delivery is equal to 100 minus the 3-month LIBOR. 

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