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Equity Index Highlights - June 2020 edition

Release date: 09 Jun 2020 | Eurex Exchange

Equity Index Highlights - June 2020 edition

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Market briefing 

Equity market strength continued in May on the back of aggressive central bank stimulus. Also, a lack of choice -between negative yielding German government debt and equity risk premiums- remains when it comes to asset allocation. This left investors in a quandary; while not wanting to miss out on positive momentum, they also question the divergence and disconnect to economic fundamentals. Despite markets posting another positive month, implied volatility remained comparatively well supported. A likely driver is the net short positioning by some hedge funds either through outright short index futures or long put options.  [...]


Facts & figures


News
 


Eurex and Pension & Investments developed a survey to better understand the usage of derivatives in large pension plans.


EQDerivatives, the subscription-based news provider, looked at a VSTOXX® options spread strategy that profits when volatility is low but also benefits when VSTOXX® moves up dramatically.

  • How can a rule-based approach consistently profit in low volatility markets while also protecting against a quick move up in the front month of VSTOXX® futures? 
    How did this spread perform during periods of consistent contango over the past 2+ years?
  • What was the outcome of this trade during the initial reaction to the Covid-19 pandemic?

In this video, Jonas Ullmann, Head of Market Functionality, Eurex, explains the major benefits of Passive Liquidity Protection (PLP), how they approached the implementation and what comes next for the functionality.


As of 1 June 2020, just in time for the roll month of June, six additional Eurex ESG futures are now available to U.S. trading participants.


 

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