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Eurex Exchange's Equity Index Highlights

Release date: 28 Feb 2017 | Eurex Exchange

Eurex Exchange's Equity Index Highlights

February 2017 Edition

We close the month of February with three significant volume highlights: Firstly, we saw the notional on our Total Return Futures contract surpass the EUR 1 billion threshold in early February and EUR 2 billion at the end of February. Recently launched in December last year, our clients have readily adopted this listed solution for transferring equity repo risk. Secondly, our MSCI Derivatives segment breached 1 million open interest in a non-roll month for the first time. Notably MSCI Japan had a +17% jump in volumes due to new order flow originating from Hong Kong. Lastly, there has been growing interest and position opening in VSTOXX® Futures and Options, specifically for the front three months of March, April and May as a result of event strategy trading around the upcoming Dutch and French elections respectively.

Zubin Ramdarshan
Head of Equity and Index Product Research & Development

Facts and figures

Equity Index Derivatives at a glance
Heightened global political uncertainty marked the start of 2017

 

Product news

Listed equity swaps hit EUR 2 billion on Eurex
Firstly, we saw the notional on our Total Return Futures contract surpass the 1 billion euro threshold in early February. The contract has 22 listed maturities up to March 2022 of which 13 have been already traded. By the end of February, the open interest has already reached more than EUR 2 billion.

VSTOXX® Futures growth strengthened by recent Euro-specific shocks and geopolitical risk

The VSTOXX® continues to strengthen its position as the European benchmark for volatility. Activity in our volatility products has been very strong in the first two months of 2017. February 2017 is seeing large positioning from market participants around the globe ahead of the French elections. Both VSTOXX® Futures (FVS) and VSTOXX® Options (OVS) OI have reached record levels.
 
MSCI Derivatives segment breached 1mn open interest in a non-roll month
In February 2017, Eurex reached for the first time (outside the roll) an open interest of 1 million contracts in MSCI Derivatives:

  • MSCI Futures: More than 800,000 contracts with a notional of approx. EUR 25 billion
  • MSCI Options: More than 200,000 contracts with a notional of approx. EUR 8 billion

Overall volumes during the first two months of the year have been very encouraging with February seeing volumes of over 650.000 contracts, a new record for a non-quarterly month. The most active contracts were Futures on MSCI Europe, EM Asia, Japan and China Free and MSCI World Options. The MSCI Japan  Futures reached new peaks - trading in January and February alone more than in the entire last year. Read why one the broadest MSCI offerings is not the only reason why Eurex is the best place to trade Emerging Markets.

VSTOXX® - The European volatility benchmark

The VSTOXX® is Europe's volatility benchmark, it is designed to reflect investor's sentiment and economic uncertainty by measuring the 30 day implied volatility of the EURO STOXX 50® Index.

VSTOXX® Derivatives are used by traditional investors, relative value traders or term structure traders. Traditional investors hedge their exposure to equity, credit or options. Equity markets have negative correlation with volatility indexes (see table below) and as such those can be used to hedge a long-only portfolio and to improve the efficient frontier. At the same time VSTOXX® offers a cost efficient way to implement a tail risk hedge.
 


Interview with SIG Susquehanna on European volatility and VSTOXX®
Set up in 2005, Susquehanna's European options desk traded 11% of the total volume traded in listed single equity and equity index options in Europe. Following the increasing dislocation between the U.S. and Europe in terms of events causing volatility spikes has been leading more customers to trade European volatility as a separate asset class.

Read the interview with Cathal Hardiman, Derivatives Sales Trader at SIG Susquehanna, providing insights into Susquehanna's business and views on trading opportunities, European volatility markets and on flows.

Events

Eurex will be present at numerous events and trade fairs during the year. Please visit our website for an overview of upcoming conferences.

To learn more about our products and services, please do not hesitate tocontact Cornelius Müller
at T +33 155 2 76-7 78, visit our website or follow us on Twitter @eurexgroup and LinkedIn.

 

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