### Covered (Volatility) Spreads

For covered (volatility) spreads on Eurex, the exchange accepts leg multipliers from 100 to 1000. When a user submits a covered spread RFQ to the exchange, it must include the leg multipliers and **number of futures. **

In the above example, if you bought a 1 lot of the covered spread, you would buy 300 of the 3900 calls, sell 300 of the 4150 calls and sell 67 futures.

#### Creating and RFQing a covered spread using spread builder in Trade Sheets

When creating a covered spread, use the count cell to determine the desired multiple to be sent to Eurex. The value in the count cell will be multiplied by 100 to determine the multiplier sent. The delta of the spread will automatically update to represent the count you have selected and will be sent to Eurex as the number of futures associated with the spread.

In this covered spread we start with a count of 1 and a delta of 22.3. We want to create a multiplier of 300 so we increase the count to 3 which will in turn increase the delta to 67 (3 * 22.3 rounded). This will send a covered spread with a multiplier of 300 (**red**) with 67 futures (**black**) to Eurex.

When Metro receives an RFQ from Eurex (initiated by you or another party), it will parse the spread down to its base level to determine the theo and delta displayed (**Green**) as this is how the market will quote the spread.

In the above example, the user RFQ’ed a 300x300 call spread but the TV and delta are consistent with a spread ticket with a count of 1 given the fact that 300 is only a multiplier applied to the number of contracts you trade.

Eurex will always reduce a multiplier if it can. For example, if the user submitted an RFQ for a 300x300 Call Spread with a 20 delta, Eurex would return: 150x150 Call Spread with a 10 delta.

When submitting an RFQ for ODAX, the delta must be adjusted to create the correct number of FDAX futures when taking into consideration the notional value difference (FDAX is 5 times ODAX). Because of this, when submitting an ODAX covered RFQ, Metro will apply the following formula to determine the number of futures to send with the spread: Delta * .2 * 100. After applying this formula, if the number of futures Metro will submit with the RFQ is NOT a whole number, the RFQ request will be rejected.

2x3 and 2x3x2 spreads will not reduce to a count of 1 (1x1.5 and 1x1.5x1) because one of the legs would not be a whole number. These theos and deltas will be consistent with the counts 2x3 and 2x3x2.