07 Sep 2021


Market overview September | Strong volume growth in VSTOXX® Derivatives and Index Options

Market briefing 

by Zubin Ramdarshan, Head of Equity & Index Product Design, Eurex

August exhibited all the hallmarks of traditional summer trading; a small mid-month pull back before kicking upwards again with new highs for U.S. equities. Implied volatility remained in the middle of a range established back in late Q1, despite the long market rally since. This prompted another burst of VSTOXX® futures and options volumes to exchange between participants. The end client A-account positioning remains net long VSTOXX® futures and long VSTOXX® calls / short puts. We’ve observed that this position is largely rolled from month to month.

As the global leader in ESG index derivatives, Eurex reached the one million traded contracts threshold for our STOXX® Europe 600 ESG-X futures. The next development for this segment will come in the form of new shorter-dated expiries for the respective ESG-X options in early Q4. Looking at volumes across our other ESG index futures, there was new interest in MSCI USA Screened futures during the month. Moving to another key segment; micro futures have built a solid ADV base primarily in the Micro-DAX® as that underlying index migrates from 30 components to an expanded 40, though with stricter inclusion criteria.

As traders return from their holidays, they can look forward to the listing of MSCI Brazil futures, which will be launched together with three other indices: MSCI China, MSCI Switzerland and MSCI EM Asia Screened. MSCI China Free will be delisted and replaced by MSCI China. The MSCI Brazil contract complements the extensive Latam regional and country coverage at Eurex as Brazil represents ~60% of the South American market. In addition, clients can gain exposure to the upcoming Brazilian election.

I conclude by highlighting a significant product arrival occurring in September; Bitcoin ETN futures. As anticipated, there has been a considerable number of pre-launch inquiries. This centrally cleared future based on a highly liquid Xetra listed ETN, offers our members and their clients access to the performance of the cryptocurrency in a familiar and regulated environment. We already have several market participants ready to provide liquidity support. This will mark the launch of a Crypto segment at Eurex where members can look forward to the development of a suite of products addressing market demand.

Facts & figures

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