REDSTONE™: Now covering EUREX Level I/Level II Options tick data

Nov 23rd, 2025

Photo: Deutsche Börse Group - CC Photo by Ank Kumar.

REDSTONE™ can now process EUREX options. Until now the platform has been able to provide futures and OTC instruments. Options and cash were always meant to come later, but the moment arrived a bit sooner than expected. XETRA will come later.

The motivation comes from a third strategy being developed for my family portfolio (codename TESTUDO PRIMA), which uses options as dynamic hedges to increase long-term European cash-market exposure.

End-of-day chains do not provide what I need. Liquidity in options is uneven, fragile, messy, and the data needs to be treated accordingly. So I began running a test, then another, and suddenly there was an entire REDSTONE™ EUREX extension module.

The new module starts with Level I ticks, which are enough to build snapshots and extract liquidity-relevant behaviour to build the dynamic hedges. But Level II is preserved; sooner or later, it will be used (there are actually already a couple of ideas to test).

The goal is precisely to build aggregated layers from information extracted from the microstructure. While this sounds complicated, with the right choices you can get higher-timeframe proxy data providing relevant information on liquidity. This is extremely important to backtest, which is one of the weak points of quantitative strategies around options. Whoever has worked enough with options knows where the dead bodies are buried.

As this is likely the biggest (in terms of data volume) project I have covered without the support of a hedge fund, I am interested in working with a small hedge fund or prop desk that needs European derivatives data without the overhead of maintaining their own infrastructure. It is an extremely good opportunity to obtain a mid- or large-hedge-fund data asset at a plainly ridiculous cost. If this is relevant for your current or future operation, you are welcome to get in touch. You will not be disappointed. Cash and other derivative markets can also be included with low effort.

As a piece of trivia, EUREX trades around 300,000 daily contracts, around one-fifth of CBOE. In that sense it is a more palatable dataset than its US counterpart, but once you begin handling Level II, well, it requires borrowing a trick or two from the HFT industry.

2025-11-23