Euro Stoxx 50 Futures

Euro Stoxx 50 is a stock index of Eurozone stocks designed by Stoxx Ltd, an index provider owned by Deutsche Börse and SIX Group. The EURO STOXX 50 Index, provides a Blue-chip representation of supersector leaders in the Eurozone. The index covers 50 stocks from 12 Eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. The Euro Stoxx 50 Futures is listed on the Eurex, Eurex Exchange a German derivatives exchange. Typical companies making up the index include Air Liquide, VW, Unilever, and GRP SOCIETE GENERALE.

The futures contract on the index is quoted at 10 euros per point. There are 4 contracts per year H,M,U, Z. Margin is low at Euro 2171 (about 4000USD). Continuous contract codes is: @FESX. Contract size is €27,500 / $40,122.50* at 2,750 index level. The Eurex exchange Trades from 07:50 to 22:00 exchange time (CET) which is approx 5pm to 7am Australian time.

The index is currently at around a 2013 yearly high of 3058. But still well down from its all time high in 2000 of around 5450.

Market has traded from 2577 at beginning of year to high of 3099 in November. ATR has ranged from as low as 26 to as high as 60 in the last 12 months. The index nas been in a long term up trend for last 12 months. Volatility has been as low as 0.04 in November and August. Its high was 56 in April and is currently about 40. The Average Daily Volume in September 2009 was over 170,000 contracts, with an open interest of over 170,000 contracts. The bid-offer spread is regularly 1 tick wide, and the depth of market regularly several thousand contracts, offering excellent liquidity.

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Key calendar dates Euroex


01 January

Eurex is closed for trading and clearing (exercise, settlement and cash) in alsdl derivatives.

18 April

Eurex is closed for trading and clearing (exercise, settlement and cash) in alsdl derivatives.

21 April

Eurex is closed for trading and clearing (exercise, settlement and cash) in alsdl derivatives.

01 May

Eurex is closed for trading and clearing (exercise, settlement and cash) in alsdl derivatives.

04 July

Eurex is closed for trading and exercise in weather derivatives, Brazilian, Canadian and U.S. equity derivatives; no cash payment in USD.

24 December

Eurex is closed for trading in all derivatives

25 December

Eurex is closed for trading and clearing (exercise, settlement and cash) in alsdl derivatives.

26 December

Eurex is closed for trading and clearing (exercise, settlement and cash) in alsdl derivatives.

31 December

Eurex is closed for trading in all derivatives; no cash payment in KRW.

The following graph shows the annual seasonality of STOXX 50 based on a 1986 – 2008 period.

images

Trend is characterised by an upward trend from Sept to July and a downward trend for July to Sept.