FDAX: order flow on Eurex
Quarterly expiries, the roll and settlement on the 1 pm auction
The FDAX quarterly cycle
The FDAX has expiries in March, June, September and December, and the nearest maturity concentrates almost all the volume. The last trading day is the third Friday of the maturity month (or the previous trading day if that Friday is a holiday), and it is the same day as the expiry of DAX and Euro Stoxx 50 options: it is the day the Germans call the Hexensabbat, the witches' sabbath, the equivalent of the American triple witching.
What few traders know before living it: the expiring FDAX does not trade until the evening. It stops trading at the start of the Xetra intraday auction, at 1 pm, and its final settlement is computed on the DAX value determined from the prices of that 1 pm auction. Not a close, a midday auction.
The rest of this lesson is for students
- What it changes in the expiry morning
- The roll: switching to the next contract at the right time
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→ Card 1: the Xetra opening rotation