The International Derivatives Exchange
October 2009
Eurex – The International Derivatives Exchange | Risk Statement
Risk Statement
● This presentation is for information purposes only and does not
constitute investment advice nor an offer, solicitation or
recommendation to acquire or dispose of any investment or to
engage in any other transaction. This presentation is not intended
for solicitation purposes but only for use as general information. All
descriptions, examples and calculations contained in this
publication are for illustrative purposes only.
2
Tradable Eurex Products from the U.S.
Fixed Income Derivatives
Equity Index Derivatives
Fixed Income Futures
Euro-Schatz, Euro-Bobl, Euro-Bund and Euro-Buxl® Futures
CONF Futures (CONF), Euro-BTP Futures
Benchmark Equity Index Futures
DAX® Index, MDAX® Index, TecDAX® Index, Dow Jones EURO STOXX 50®
Index, Dow Jones STOXX 50® Index, SLI Swiss Leader Index® and RDxxt® USD
- RDX Extended Index Futures
Options on Fixed Income Futures
Options on Euro-Schatz, Euro-Bobl and Euro-Bund Futures
Commodity Derivatives
CO2 Derivatives
EUA Futures (F2PE), CER Futures (FCER), Options on EUA
Futures (O2PE)
Agriculture Derivatives
European Processing Potato Futures (FEPP), London Potato
Futures (FLPI), Piglet Futures (FPIG), Hog Futures (FHOG)
Precious Metal Derivatives
Gold Futures (FGFX), Gold Options (OGFX)
Silver Futures (FSFX), Silver Options (OSFX)
Sector Index Futures
Dow Jones STOXX® Large 200 Index, Dow Jones STOXX® Mid 200 Index, Dow
Jones STOXX® Small 200 Index, Dow Jones EURO STOXX® Banks Index, Dow
Jones STOXX® 600 Banks Index, Dow Jones STOXX® 600 Industrial Goods &
Services Index, Dow Jones STOXX® 600 Insurance Index, Dow Jones STOXX®
600 Media Index, Dow Jones STOXX® 600 Personal & Household Goods Index,
Dow Jones STOXX® 600 Travel & Leisure Index, Dow Jones STOXX® 600
Utilities Index, Dow Jones EURO STOXX® Select Dividend 30 Index, Dow Jones
STOXX® 600 Index, Dow Jones Global Titans 50 SM Index, SMIM® Index
Money Market Derivatives
Money Market Futures
One-Month EONIA Futures (FEO1)
Three-Month EURIBOR Futures (FEU3)
Inflation Derivatives
Euro-Inflation Futures (HICP)
Options on Money Market Futures
Options on Three-Month EURIBOR Futures (OEU3)
Please find the current products available for trade in the U.S. and the current trading hours on our website: www.eurexchange.com:
Trading > Products > Eurex Derivatives in the U.S.
Trading > Trading Calendar > Trading Hours
3
Eurex – The International Derivatives Exchange | Eurex
Why Trade on Eurex?
●
Trade during different time zones
– Trading hours: 12:50 AM CST - 3:00 PM CST
– Follow the sun…..Many moves that begin in Asia and Europe carry over
●
Diversify
– Exploit new opportunities and product offerings in foreign markets
– Use index futures as an alternative to purchase a basket of stocks – and benefit from
the leverage effect
– Lower transaction costs in futures offer advantages versus other investment vehicles
such as cash equities or ETFs
– Efficient vehicle to protect index portfolios against market downturns
– Euro-denominated contract
– Liquid, volatile markets are well suited to intraday trading.
●
Markets that provide similar profit risk/reward scenarios
– Similar to the most popular products
●
Features of Eurex Markets
– Extremely liquid
– Large open interest
– Large depth of market
– Good movement/volatility
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Eurex – The International Derivatives Exchange | Product Details
Dow Jones EURO STOXX 50® Index Futures
Average Daily Volume & Open Interest
FESX Octobert. 2009 Contract / Inside Market
DJ Euro STOXX 50 Futures
4,500,000
4,000,000
2,500,000
3,000,000
2,500,000
1,500,000
2,000,000
1,000,000
1,500,000
Open Interest
3,500,000
2,000,000
1,000,000
500,000
500,000
Average Daily Volume
9
p0
Se
09
Ju
n-
9
ar
-0
M
D
ec
-0
p0
8
0
8
0
Se
Average Daily Volume
3,000,000
Open Interest
The Average Daily Volume in September 2009 was over 1.5 million contracts, with an open
interest of over 2.3 million 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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Eurex – The International Derivatives Exchange | Product Details
Contract Specifications
Dow Jones EURO STOXX 50® Index
● A free float capitalization-weighted index of 50 blue-chips from the Euro zone countries
● DJ EURO STOXX 50® is a price return index
● Calculated by STOXX Ltd., created in 1998
Futures  Cash Settlement
Dow Jones EURO STOXX 50® Index
Trading hours
7:50AM – 10:00PM CET; 12:50AM – 3:00PM CST
Minimum tick size
1 index point = €10 / $14.59*
Contract size
€27,500 / $40,122.50* at 2,750 index level
Contract months
The 3 nearest quarterly months of Mar, Jun, Sep, Dec
Expiration
The 3rd Friday of the maturity month at 12:00PM CET / 5:00AM CST
Intraday daily settlement
5:30PM CET / 10:30AM CST
*EUR/USD = 1.46
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Eurex – The International Derivatives Exchange | Product Details
DAX® Futures Average Daily Volume & Open
Interest
FDAX October 2009 Contract / Inside Market
300,000
250,000
250,000
200,000
200,000
150,000
150,000
100,000
100,000
50,000
50,000
Average Daily Volume
Se
p0
9
09
Ju
n-
9
ar
-0
M
D
ec
-0
p0
8
0
8
0
Open Interest
300,000
Se
Average Daily Volume
DAX Futures
Open Interest
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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Eurex – The International Derivatives Exchange | Product Details
Contract Specifications
DAX® Index
● A free float capitalization-weighted index comprising the 30 largest German companies listed at
the Frankfurt Stock Exchange (FWB®)
● DAX® is a performance / total return index
● Calculated by Deutsche Börse AG and is based on prices generated in the electronic trading
system XETRA
Futures  Cash Settlement
DAX® Futures (FDAX)
Trading hours
7:50AM – 10:00PM CET; 12:50AM – 3:00PM CST
Minimum tick size
0.5 index points = €12.50 / $18.25*
Contract size
€136,688 / $199,564* at 5,467.50 index level
Contract months
The 3 nearest quarterly months of Mar, Jun, Sep, Dec
Expiration
The 3rd Friday of the maturity month at 1:00PM CET / 6:00AM CST
Intraday daily settlement
5:30PM CET / 10:30AM CST
*EUR/USD = 1.46
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Eurex – The International Derivatives Exchange | Product Details
A Comparison of Historical Volatility
Dow Jones EURO STOXX® and DAX® vs. US Equivalents
360 Day Historical Volatility Monthly Average
45
40
35
30
E-mini S&P 500® Futures
25
DAX® Futures
20
DJ EURO STOXX 50® Futures
E-mini DJ Index Futures
15
10
5
0
Sep- Oct- Nov- Dec- Jan- Feb- Mar- Apr- May- Jun09
09
09
09
09
09
08
08
08
08
Jul09
Aug- Sep09
09
Source: Bloomberg
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Eurex – The International Derivatives Exchange | Product Details
Eurex Products in relation to U.S. Index Futures
U.S. Index Futures
Eurex
Products
S&P 500 EMini Future
(ESA)
S&P 500
Future (SPA)
Nasdaq 100
E-mini Future
(NQA)
Nasdaq 100
Future
(NDA)
DJIA Mini
(DMA)
DJIA Index
Future (DJA)
1 DAX® Index Futures (GXA)
3.90
0.76
5.99
1.20
4.23
2.11
1 DJ EURO STOXX 50® (VGA)
0.79
0.16
1.21
0.24
0.85
0.43
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Eurex – The International Derivatives Exchange | EMO
European Market Outlook e-Newsletter
● Free weekly e-newsletter
● Produced by CRB (division of Barchart)
● Covers week ahead in European Markets
● What’s driving markets
● Economic calendar
● Sign up under www.eurexchange.com
●
●
●
●
Step 1 – Go to the ‘Education’ tab
Step 2 – Click on ‘Investor Newsletter’ on the left panel
Step 3 – Enter your e-mail address and confirm
If you sign up after Monday’s e-newsletter is sent out,
you will receive first newsletter NEXT week!
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Eurex – The International Derivatives Exchange | EMO
European Market Outlook e-Newsletter
12
Eurex – The International Derivatives Exchange | Disclaimer
Disclaimer
©
Eurex 2008
Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Bonds GmbH (Eurex Bonds), Eurex Repo GmbH (Eurex Repo), Eurex Clearing AG (Eurex
Clearing) and Eurex Frankfurt AG are corporate entities and are registered under German law. Eurex Zürich AG is a corporate entity and is registered under Swiss law.
Clearstream Banking S.A. (Clearstream) is a corporate entity and is registered under Luxembourg law. Eurex Frankfurt AG (Eurex) is the administrating and operating institution
of Eurex Deutschland. Eurex Deutschland and Eurex Zürich AG are in the following referred to as the “Eurex Exchanges”.
All intellectual property, proprietary and other rights and interests in this publication and the subject matter hereof (other than certain trademarks and service marks listed below)
are owned by DBAG and its affiliates and subsidiaries including, without limitation, all patent, registered design, copyright, trademark and service mark rights. While reasonable
care has been taken in the preparation of this publication to provide details that are accurate and not misleading at the time of publication DBAG, Eurex, Eurex Bonds, Eurex
Repo, the Eurex Exchanges, Eurex Clearing and Clearstream and their respective servants and agents (a) do not make any representations or warranties regarding the
information contained herein, whether express or implied, including without limitation any implied warranty of merchantability or fitness for a particular purpose or any warranty
with respect to the accuracy, correctness, quality, completeness or timeliness of such information, and (b) shall not be responsible or liable for any third party’s use of any
information contained herein under any circumstances, including, without limitation, in connection with actual trading or otherwise or for any errors or omissions contained in this
publication.
This publication is published for information purposes only and shall not constitute investment advice respectively does not constitute an offer, solicitation or recommendation to
acquire or dispose of any investment or to engage in any other transaction. This publication is not intended for solicitation purposes but only for use as general information. All
descriptions, examples and calculations contained in this publication are for illustrative purposes only.
Eurex offers services directly to members of the Eurex exchanges. Those who desire to trade any products available on the Eurex market or who desire to offer and sell any
such products to others, should consider legal and regulatory requirements of those jurisdictions relevant to them, as well as the risks associated with such products, before
doing so.
Eurex derivatives (other than Dow Jones EURO STOXX 50® Index Futures contracts, Dow Jones STOXX 50® Index Futures contracts, Dow Jones STOXX® 600 Index Futures
contracts, Dow Jones STOXX® Mid 200 Index Futures contracts, Dow Jones EURO STOXX® Banks Sector Futures contracts, Dow Jones STOXX® 600 Banks Sector Futures
contracts, Dow Jones Global Titans 50SM Index Futures contracts, DAX® Futures contracts, MDAX® Futures contracts, and Eurex interest rate derivatives) are currently not
available for offer, sale or trading in the United States or by United States persons.
Trademarks and Service Marks
Buxl®, DAX®, Eurex®, Eurex Bonds®, Eurex Repo®, Euro GC Pooling®, Eurex Strategy WizardSM, FDAX®, iNAV®, MDAX®, ODAX®, SDAX®, StatistiX®, TecDAX®, VDAX-NEW®,
Xetra® and XTF Exchange Traded Funds® are registered trademarks of DBAG.
Xemac® is a registered trademark of Clearstream Banking AG. Vestima® is a registered trademark of Clearstream International S.A.
RDXxt® is a registered trademark of Wiener Börse AG (Vienna Stock Exchange).
iTraxx® is a registered trademark of International Index Company Limited (IIC) and has been licensed for the use by Eurex. IIC does not approve, endorse or recommend Eurex
or iTraxx® Europe 5-year Index Futures, iTraxx® Europe HiVol 5-year Index Futures and iTraxx® Europe Crossover 5-year Index Futures. Eurex is solely responsible for the
creation of the Eurex iTraxx® Credit Futures contracts, their trading and market surveillance. ISDA® neither sponsors nor endorses the product’s use. ISDA® is a registered
trademark of the International Swaps and Derivatives Association, Inc.
SMI®, SLI®, SMIM® and VSMI® are registered trademarks of SWX Swiss Exchange.
STOXX®, Dow Jones STOXX® 600 Index, Dow Jones STOXX® Large 200 Index, Dow Jones STOXX® Mid 200 Index, Dow Jones STOXX® Small 200 Index, Dow Jones
STOXX® TMI Index, VSTOXX® Index, Dow Jones EURO STOXX® Select Dividend 30 Index, Dow Jones EURO STOXX®/STOXX® 600 Sector Indexes as well as the Dow
Jones EURO STOXX 50® Index and Dow Jones STOXX 50® Index are service marks of STOXX Ltd. and/or Dow Jones & Company, Inc.
Dow Jones and Dow Jones Global Titans 50SM Index are service marks of Dow Jones & Company, Inc. The derivatives based on these indexes are not sponsored, endorsed,
sold or promoted by STOXX Ltd. or Dow Jones & Company, Inc., and neither party makes any representation regarding the advisability of trading or of investing in such
products.
The names of other companies and third party products may be trademarks or service marks of their respective owners.
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MACD vs STOCHASTIC:
Which Is Right For You?
Prepared and Presented by Daniel Gramza
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About the Speaker
Materials in this presentation are covered under current United States and
international copyright laws. NO PORTION OF THIS PRESENTATION MAY BE
REPRODUCED WITHOUT THE WRITTEN PERMISSION OF THE AUTHOR.
• Daniel Gramza is currently completing two books:
• TRADING IN THE EYE OF THE STORM
• THE HANDBOOK OF JAPANESE CANDLE TRADING STRATEGIES
• You can be notified when these books are available by contacting Daniel
Gramza:
Daniel M. Gramza
President
Gramza Capital Management, Inc.
e-mail: dmgramza@att.net
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About Dan Gramza
Over 20 years experience trading futures, options on futures, stocks,
stock options and cash markets around the world
Started on the exchange floors, trades upstairs
Has experience with scalping, day trading, swing trading and position
trading
Has worked with traders from over 36 exchanges, 450 institutions, and
35 countries
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Gramza Capital Management, Inc.
AGENDA
Eurex Overview
MACD concepts
Stochastic concepts
MACD vs Stochastic Trading Applications
Q&A
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Gramza Capital Management, Inc.
AGENDA
Eurex Overview
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Gramza Capital Management, Inc.
Dow Jones Euro STOXX 50® - Underlying Index
• Benchmark equity index
• Tracks the development of the European economy
• Focus on the Euro zone countries that have adopted the Euro
as their currency
• Austria, Belgium, Finland, France, Germany, Greece,
• Ireland, Italy, Luxembourg, the Netherlands,
• Portugal and Spain
• Captures approximately 95% of the free float market
capitalization of the represented countries
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Dow Jones Euro STOXX 50® - Underlying Index
• Index of 50 European Blue-chips firms
• Companies that are included in the index:
• Banco Santander
• Carrefour
• L’Oreal
• Nokia
• Renault etc.
• Calculated by STOXX Ltd., created in 1998
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Are the Eurex Equity Indexes right for YOU?
• Are you making the most effective use of your trading capital?
• Have you diversified your investments beyond US corporate stocks?
• Have you diversified your investments beyond the US?
• Are you taking direct advantage of the European market movement?
• Do you hedge or protect your portfolio from adverse price movement?
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Gramza Capital Management, Inc.
Benefits of Trading Eurex Products
Access to the European equity and debt markets
Diversify portfolios
Hedge portfolios
Hedge or take foreign exchange risk
Easy Access
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AGENDA
Eurex Overview
Stochastic concepts
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Gramza Capital Management, Inc.
MATHEMATICAL STUDIES
Mathematical studies are
as:
DIRECTIONAL
techniques that are classified
1. Trend following or
2. Counter trend techniques
There are two general categories of mathematical studies:
1.
Price overlay studies
- Moving averages
2.
Oscillator studies
- Stochastics
- RSI
- MACD
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Gramza Capital Management, Inc.
Mathematical Study Applications
The first step in using a mathematical study is to determine
what YOU WANT
the mathematical study to add to your trading
strategy.
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Gramza Capital Management, Inc.
Stochastics
Stochastics is a study that measures momentum by indicating when
prices have gotten
high enough to find sellers
or
low enough to find buyers.
It is based on the concept that
price tends to close near a periods high when the market is in an
uptrend which indicates accumulation of buying pressure
and
price tends to close near a periods low when the market is in a
downtrend which indicates distribution of selling pressure.
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Gramza Capital Management, Inc.
Stochastics (Cont’d)
This study is graphed using two signal lines %K and %D, each have
values between 0 and 100.
%K is a 3 period modified moving average of the ratio of the
current period’s close minus the lowest low for the period of study
divided by the
difference between the highest high and the lowest low for the period
of study
multiplied by100.
%D is a 3 period modified moving average of %K.
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Gramza Capital Management, Inc.
Stochastics (Cont’d)
●Stochastic Applications
Stochastic is typically used to indicate trend reversals.
●Crossovers
A sell signal occurs when the %K and %D signal lines crossover at a
value above 70 for futures and 80 for stocks.
A buy signal occurs when the %K and %D signal lines crossover at a
value below 30 for futures and 20 for stocks.
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Gramza Capital Management, Inc.
Stochastics (Cont’d)
BUY signal typically occurs when the oscillator is in a defined lower
range, an "oversold" condition;
SELL signal typically occurs when the oscillator is in a defined upper
range, an "overbought" condition.
Example: Buy when the oscillator lines cross below 30 "oversold" or sell
when the oscillators cross above 70 "overbought".
Sell
Overbought
__________________________________________________________
70
__________________________________________________________
30
Oversold
Buy
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GRAMZA CAPITAL MANAGEMENT, INC.
Sell
Buy
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Gramza Capital Management, Inc.
Stochastics (Cont’d)
●Divergence and Convergence
When price and the oscillator do not move in the same direction at
the same time, a condition called divergence or convergence will
occur.
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Gramza Capital Management, Inc.
Stochastics (Cont’d)
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Gramza Capital Management, Inc.
Stochastics (Cont’d)
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GRAMZA CAPITAL MANAGEMENT, INC.
Stochastics (Cont’d)
How FAST an oscillator will change with a change in price is a measure
of the oscillator's sensitivity.
5 Period
20 Period
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GRAMZA CAPITAL MANAGEMENT, INC.
Stochastics (Cont’d)
●Stochastic Parameters
Standard Parameters are:
14 periods of study
Recommended Parameters are:
9 periods of study
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Gramza Capital Management, Inc.
AGENDA
Eurex Overview
Stochastic concepts
MACD concepts
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Gramza Capital Management, Inc.
MACD
The MACD is created using relationships of three exponential
moving averages.
The MACD indicator consist of two lines: the MACD line and the
signal line.
The MACD line is the difference between two exponential moving
averages.
The signal line is an exponential moving average of the MACD line.
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Gramza Capital Management, Inc.
MACD (Cont’d)
MACD Applications
The MACD is used to indicate trend reversals and trend
confirmation.
Crossovers
A MACD sell signal occurs when the MACD line crosses the signal
line from above.
A MACD buy signal occurs when the MACD line crosses the signal
line from below.
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Gramza Capital Management, Inc.
MACD (Cont’d)
MACD Applications (Cont’d)
Crossing through the zero reference line
A MACD sell signal occurs when the MACD line changes from
positive to negative values as it crosses the zero reference line.
A MACD buy signal occurs when the MACD line changes from
negative to positive values as it crosses the zero reference line.
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Gramza Capital Management, Inc.
MCAD (Cont’d)
BUY signal typically occurs when the MACD line crosses the signal line
from below.
SELL signal typically occurs when when the MACD line crosses the
signal line from above.
Sell
__________________________________________________________
0
Buy
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GRAMZA CAPITAL MANAGEMENT, INC.
MACD (Cont’d)
MACD Applications (Cont’d)
Divergence and Convergence
When price and the oscillator do not move in the same direction at
the same time, a condition called divergence or convergence will
occur.
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Gramza Capital Management, Inc.
MACD (Cont’d)
MACD Applications (Cont’d)
Trend Confirmation
MACD signals are generated after the market has moved in a new
direction and is therefore considered a trend following technique
and is used to confirm the trend.
The trend is generally considered rising if the MACD is above zero
and falling the MACD is below zero
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Gramza Capital Management, Inc.
MACD (Cont’d)
MACD Parameters
Standard Parameters are:
MACD line = 26 period exponential moving average minus 12
period exponential moving average
Signal line = 9 period exponential moving average of the MACD
line
or
MACD line = 17 period exponential moving average minus 8
period exponential moving average
Signal line = 9 period exponential moving average of the MACD
line
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Gramza Capital Management, Inc.
AGENDA
Eurex Overview
Stochastic concepts
MACD concepts
Trading Applications
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Gramza Capital Management, Inc.
Stochastics vs MACD
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Gramza Capital Management, Inc.
Stochastics vs MACD (Cont’d)
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Gramza Capital Management, Inc.
Stochastics vs MACD (Cont’d)
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Gramza Capital Management, Inc.
AGENDA
Eurex Overview
Stochastic concepts
MACD concepts
Trading Applications
Q&A
48
Gramza Capital Management, Inc.