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Equity Index Highlights - February 2018 edition

Release date: 22 Feb 2018 | Eurex Exchange

Equity Index Highlights - February 2018 edition


The market briefing, given by Zubin Ramdarshan, Head of Equity and Index Product Research & Development, is fully packed with interesting news and highlights ranging from the January trends and volumes, the effects of MiFID II to reasons for volatility and what it means for the Eurex product development. Besides, he looks into other Eurex core products giving in-depth insights.

Facts & Figures

 

At a glance


January 2018 trading volumes at Eurex were at 139.3 million contracts, an increase of 11 percent compared with January 2017. In the dividend sector, over 199 percent increase was recorded compared to the same period of time in 2017. January 2018 showed an all-time high in Single Stock Dividend Futures with a total of more than 650,000 traded contracts and an average daily volume (ADV) of more than 27,000 contracts. This follows the record year 2017 that saw more than 4.1 million traded contracts and an ADV of 17,000 contracts (compared to an ADV of 14,500 in 2016). FEXD – 570,000 contracts for January (26k ADV) - was slightly lower than in  2017 (-3.9 %). The OEXD (180,000 traded contracts in January  and 8,000 ADV) was slightly ahead of 2017 (+6.4 %).

Product news



January 2018 showed an all-time high in Single Stock Dividend Futures with a total of more than 650,000 traded contracts and an ADV of more than 27,000 contracts. This follows the record year 2017 that saw more than 4.1 million traded contracts and an ADV of 17,000 contracts (compared to an ADV of 14,500 in 2016).

The growth drivers can be seen in the fact that a lot of sector or single stock specific stories have driven the need for some participants to hedge with option positions on the index or single stock names: This has also been driving flows from investors taking a directional view on these sectors or these specific single names.

Eurex’ Single Stock Dividend Futures (SSDFs) again demonstrated that they meet a wide range of clients’ needs. The largest part of the January volumes was observed in the country segments of Italy (31 %) and France (26 %). Most of the trades (52 %) have been focused in the banks and telecom segments.

“The growth in Single Stock Dividend Futures is testament to the opportunities in this asset class. In extracting alpha from ideas, SSDFs provide investors with an often compelling alternative to an equity or bond investment. We will continue to invest in our Market-Making platform and content to provide outstanding service to our clients for this product.” Says Maximilian Leuschner, Morgan Stanley.

Eurex was the first European exchange to introduce listed Single Stock Dividend Futures in 2010. Today Eurex´ portfolio covers round 150 of the largest Eurozone and Pan-European dividends including Swiss, U.K. and U.S. equities. Further information on Eurex´ SSDF portfolio can be found in our factsheet.


Volatility is back – January snapshot on VSTOXX® derivatives



The VIX/VSTOXX® spread trended below zero in January before reaching record low levels in the beginning of February.

As before, this snapshot is a work in progress and meant to deliver information that is useful – if there are any statistics you would like to see included in this, please do not hesitate to contact us.

On 6 February, a record of 332,000 VSTOXX® Futures contracts were traded. January ADV in the futures and options continues to remain in the mid-50,000 and mid-30,000 respectively. Open interest in the OVS2 has now reached the same levels as the OVS this time last year. Order book volume continues to stay high at 88 percent of total volume in the futures and 33 percent in the options.




January saw Eurex MSCI products get off to a great start in 2018. Due to the advancing roll period, open interest in many established products and several new ones have gained traction, most notably in the MSCI U.S. products. 

Open interest across all MSCI Futures and Options has grown by almost 10 percent since December 2017 – which is a significant development given that the latter was a record month for us. Growth is even greater on the volumes on the options side: almost 86 percent was increased since December 2017. In the futures contract, over 34 percent increase was recorded in comparison with same period in January 2017.

On top of their good start in the new year, Eurex will expand its products range on MSCI indexes with two additional futures on the MSCI Japan JPY and MSCI EM Asia ex Korea Indexes. Eurex is the first and only exchange with an innovative MSCI EM Asia ex Korea contract as a listed solution to extrapolate the Korean exposure. The JPY-denominated MSCI Japan JPY contract is expected to cater more towards domestic investors needs. 

To mark this product expansion, we are offering a fee waiver on three MSCI products from today until 31 December 2018:

Our participants will benefit from portfolio margining efficiencies across the equity liquidation group group (i.e. MSCI, DAX, STOXX products, etc.) and will get exposure to Korea via two trades but will only pay the price of one.  

With the steady expansion of Eurex MSCI products, our participants can benefit from trading the most comprehensive selection of regional and single country and even factor indexes on one single platform.

 



 

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