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Equity Index Highlights - Q1/2017 Edition

Release date: 10 Apr 2017 | Eurex Exchange

Equity Index Highlights - Q1/2017 Edition

Q1/2017 Edition

March represents a key month for our Members as we saw several significant volume highlights in this roll period; notably the EURO STOXX® Banks Futures and Options both recorded strong double and triple digit growth respectively compared to the same period last year. The EURO STOXX® Banks Index is the high-beta instrument representing the broad European equity landscape. With the four largest French banks comprising approximately one quarter of the current weightings in the FESB, the continued speculation around a potential Marine Le Pen presidential election victory continues to significantly impact this index. Market participants continue to utilise our VSTOXX® Derivatives as the favoured products with which they can implement event strategy trading for the upcoming European political calendar. With realised volatility stubbornly low, the EURO STOXX 50® Weekly Options have been an increasingly popular way for clients to extract the attractive benefit of optionality whilst simultaneously minimising their theta decay costs. Finally, our MSCI Derivatives segment recorded a post-roll high in open interest of 1.1 mn contracts in March. This is an excellent growth story; with the valuable support of our members we anticipate continued interest across our unrivalled range of MSCI Derivatives.

Zubin Ramdarshan
Head of Equity and Index Product Research & Development

Facts and figures

Product news

As of 13 March 2017, EURO STOXX 50® Index Total Return Futures (Product ID: TESX) are available for trading for Eurex participants and investors domiciled in the U.S. through Eurex's direct access terminals located in the U.S. Since the launch in December 2016, more than 100,000 contracts have been traded, representing 3.4 billion notional. These figures show that the product meets the needs of market participants in the current regulatory environment. In line with current market convention, Eurex' Total Return Futures trade in 'spread' basis points and allow the implied repo rate associated with cash basket replication to be traded for the first time.

The market is warming to futurized swaps which deliver margin efficiency and new trading opportunities for the derivatives market. One such new product taking the market by storm is the Total Return Future. In an educational webinar June 20th, a panel will explain this how this newly designed futurized differs from Total Return Swap, how it operates and is being incorporated into trading strategies today among both buy and sell-side market participants.

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 quarter of 2017. Both February and March 2017 are seeing large positioning from market participants around the globe ahead of the French elections.

VSTOXX® Derivatives open interest has reached record level with 1,698,665 contracts.

March 2017 saw the highest monthly volume in MSCI Derivatives to date, with a total of 1,402,990 contracts traded - an almost twofold increase compared to March 2016 and even sevenfold to March 2015.

In line with the highest trading figures ever, open interest peaked as well: MSCI Futures posted 920,000 open contracts and MSCI Options 190,000. On a year-to-year basis, the total figure tripled.

The Quanto Futures is the exact copy of the highly liquid EURO STOXX 50® Index Futures, with the exception that it trades in USD. One year after the launch of the USD-denominated Quanto Futures on the EURO STOXX 50® Index, the open interest has already reached USD 1 bn notional. To mark the launch this article summarizes the development of the first year, reviews product enhancements and looks at applications.

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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