Dec 06, 2022
Eurex
Equity Index market briefing December 2022
Eurex benchmark index products seeing strong volumes in November
November was finally a good month for the traditional 60 / 40 balanced portfolio as both bond and equity markets rallied. This was a continuance of the bounce triggered last month for broad equity benchmarks. However, the focus, for once, was not on Fed interest rate pivot speculation but rather on the dramatic and precipitous demise of crypto exchange FTX. Fortunately, any contagion to our markets seems imperceptible so far. VSTOXX® levels dropped, hovering around the 20 handle for the front Dec22 expiry, primarily a delta impact as the EURO STOXX 50® spot index price increased. There have been other asset class mean-reversions for the USD and Crude Oil during November, as both traded lower, making for difficult market conditions.
The theme of 2022 continued with traditional Eurex benchmark index products on STOXX®, DAX®, KOSPI and MSCI underlyings all seeing strong volumes. The standout highlights in this month’s data came from the TRF on the EURO STOXX® Banks index and good activity in the FTSE 100 TRF and the respective vanilla price return futures.
Looking ahead to December, the focal point will be the roll of open interest into the March expiry for several futures products with large open interest positions. I expect Eurex’s calendar roll order books to offer the required depth and initial price picture formation, complemented by block liquidity provision. Going into year-end, it is the first time in a long while that I perceive a real divergence of opinion among participants, with both bullish and bearish equity views in abundance. Of course, this makes for interesting trading and I hope all members can navigate safely through.
