Derivatives traders have told Futures and Options Intelligence that they believe Eurex is consulting market participants about whether it should abandon the ‘half-tick’ price gradations on its Bobl and Schatz futures contracts.
Eurex was unable to comment today so the reports could not be confirmed. But traders at two proprietary trading firms and one bank told FOi they understood the exchange was canvassing traders about whether they would favour such a move. Half ticks are minimum price movements of half a basis point, or one 200th of one percent.
Eurex introduced half tick pricing on its Schatz contracts on two year German government bonds in 2004. Three years later it halved the tick size on its futures on the Bobl (five year German government bond).
Half ticks are controversial because they are...