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Equity Index Highlights - March 2018 edition

Release date: 20 Mar 2018 | Eurex Exchange

Equity Index Highlights - March 2018 edition

Market briefing

February was characterized by the sudden return of market volatility. Analysis suggests that fears over inflation and a new Fed policy stance, driven by Jerome Powell, has given markets a reason to adjust expectations. Across the Eurex equity suite, it is the EURO STOXX 50® Index Dividend Futures and Options that have seen significant volume growth. This would be entirely consistent with investors searching for an inflation hedge.

Other products which were in focus include the Mini-DAX® Futures where a new volume record was achieved. This was particularly encouraging since Eurex was able to demonstrate robust liquidity support and facilitated price transparency throughout the volatile period for the benefit of all clients. The EURO STOXX® Banks Options similarly experienced a large uptick in volumes, with an increased proportion being executed directly into the order book providing highly visible market depth.

Our Total Return Futures contract saw some clear evidence of term structure steepening: since July of last year, trading in 10-year maturities has been possible, extending the potential to hedge or gain exposure to long-dated equity repo risks. Lastly, the MSCI Derivatives segment has continued to draw in new participants attracted by the potential margin offsets available against our traditional European benchmark index products. Our EM Asia Futures contract was particularly active helping take the overall open interest to a new high.

Zubin Ramdarshan, Head of Equity and Index Product Research & Development

Facts & figures

At a glance

Overall, February trading volumes at Eurex were at 170.9 million contracts. 

Dividend segment (both single stock and equity index) performed with an extraordinary strong growth in the first two months of 2018 - 2.9 million contracts were traded; dividend options had the largest percentage growth within this segment at + 53.9% traded contracts so far in 2018 compared to last year.

Not only EURO STOXX® Banks Futures showed a good volume in February (+ 23% YtD) but also EURO STOXX® Banks Options showed + 101% YtD. Order book share has increased to ca. 40% in 2018 (compared to ca. 10% in 2017). STOXX® Europe 600: volume increase in February (+ ca. 51% YtD)

Product news

February turned out to be a record month for our Mini-DAX® Futures. For the first time ever they not only reached a new daily record with 113,000 traded contracts on Tuesday, 6 February, they also jumped to a new monthly high of more than 900,000 traded contracts in the same month. That means, Mini-DAX® Futures for the first time traded 44% of the DAX® Futures volume. This significant jump in activity coincided with the recent volatile sessions; evidence that the Mini-DAX® Futures are well supported and offer customers good liquidity and price transparency through all market conditions.

Last but not least, the open interest of Mini-DAX® Futures reached a new month end record of more than 20.000, based on bigger positions build up by some big banks.
Since October 2015, we offer Mini-DAX® Futures (FDXM) in parallel to the popular DAX® Futures (FDAX) with a lower contract value of just EUR 5. More than 14 million contracts have been traded since launch.

Eurex Market-on-Close (MOC) Futures reached a new milestone on Wednesday, 14 February, with 2,124 traded contracts. The trading screen features tight spreads in the FES1. Read more how Eurex MOC is designed to deliver multiple benefits and how using Eurex MOC Futures can confine poor execution to the past and help minimize tracking error.

Eurex asks Edouard Pelier, head of delta one and collateral trading, equity and commodity products at UniCredit Bank, and Ziad Kerbage, executive director of the equity derivatives group at JP Morgan, why market participants should trade Total Return Futures (TRF), how they can be incorporated into trading strategies and how the TRF market will develop in the future. Read more how innovation opens up investment opportunities.   

Watch our short video on Eurex EnLight and find out how the electronic request-for-quote (RFQ) service adds value to our trading participants.

Eurex has enhanced its existing market structure with the electronic price discovery service Eurex EnLight, which allows banks and brokers to selectively contact Market Makers with RFQ in order to find a trading counterparty. Orders are then automatically transmitted to Eurex' T7 Entry Service for exchange trade confirmation and post-trade processing. Eurex plans to expand its new service to equity index products in H1/2017.

To find out more about Eurex EnLight, please visit the Eurex EnLight website.

To learn more about our products and services, please do not hesitate to contact your local Sales representative, visit our website or follow us on Twitter @eurexgroup and LinkedIn.

Kind regards,
Markus-Alexander Flesch
Global Head Equity & Index Sales

Eurex Exchange - The broadest choice of Equity Index Derivatives worldwide.