Eurex Exchange's Equity Index Derivatives news - Q1/2016

In Q1/2016, liquidity and open interest in our broad- and narrow-based products remained at high levels, confirming continued investor demand for listed and centrally cleared products.

This newsletter gives you the latest information about Eurex's Equity Index, Dividend and Volatility Derivatives. You will find important data and facts on volumes, open interest and more.

Overview
In Q1/2016, our Equity Index Derivatives segment enjoyed a quarterly volume of 259 million contracts (Q1/2015: 217 million).

148 (110) million Equity Index Futures and 111 (107) million Equity Index Options were traded during the first three months of 2016.

MSCI Derivatives
More than 1.15 million contracts were traded in Q1/2016, a near fourfold increase compared to 322,786 contracts for the same period last year.

The most active futures contracts were MSCI World & MSCI Europe (both in EUR), followed by the MSCI World in USD and the MSCI China Free. The latter has started to pick up in volume during the past few months.

On the options side, Eurex Exchange saw record volumes on a number of contracts, among them MSCI EM (both in EUR and USD) as well as MSCI Europe (price index), confirming Eurex as the leading exchange for MSCI Options. A total of 334,000 option contracts were traded in Q1/2016 - more than three times the options volume of Q1/2015, highlighting the advantages of different index versions being available for our clients on a single platform.

In line with higher trading figures, open interest reached new record levels: MSCI Options stand at 174,000 open contracts and MSCI Futures at 185,000. This is a nearly three-fold increase on the same period last year, where the total figure was 128,000 contracts.

In addition, another 190,000 options are open with flexible terms, increasing the total amount of open interest at Eurex Exchange in MSCI Derivatives to 540,000.

(EURO) STOXX® Sector, Broadbased & Size Index Derivatives
Following the positive trend in terms of traded volume and open interest from last year, the STOXX® Europe 600 Index Futures has continued rapid growth. Q1/2016 is showing 3,110,296 contracts traded or a spectacular 197% increase against Q1/2015. This confirms the volume transfer from domestic equity indexes towards European broadbased index futures.

The EURO STOXX® Banks Futures continued its impressive growth during Q1/2016 with 11,308,312 contracts traded (+57% vs. Q1/2015).

On the STOXX® Europe 600 Sector Index Futures side, during Q1/2016, the most noticeable volume growth came from STOXX® Europe 600 Banks Futures with 751,460 contracts traded (+94% vs. Q1/2015) and the STOXX® Europe 600 Oil & Gas Futures with 572,973 contracts traded (+90% vs. Q1/2015).

This volume increase reflects the fact that both economic sectors have been dominating the European economy and to some extent the global economy. The restructuring of the banking sector and the price impact of energy are still hot topics, both sectors should remain active.

Mini-DAX® Futures
The introduction of Mini-DAX® Futures (Product ID: FDXM) is one of our most successful product launches over the last few years, with more than 2.3 million contracts traded since launch on 28 October 2015. Its notional size of only one fifth of the DAX® Futures (Product ID: FDAX) allows for highly accurate hedging for investors.

Mini-DAX® Futures deliver greater access to the benchmark for new retail customers who may wish to move from the unregulated CFD market to the regulated and listed futures market. Our renewed Market-Making scheme (introduced 01 April 2016) will keep the spread low and competitive with other product alternatives; since its introduction, the bid/ask spread is steadily improving.



EURO STOXX 50® Index Quanto Futures
Eurex launched USD-denominated futures on the EURO STOXX 50® index on 21 March 2016 (Product ID: FESQ). The USD-denominated product allows investors to participate in the performance of the index without being subject to currency fluctuations between euro and U.S. dollar. The new Quanto Futures finally settle into the same level as the EURO STOXX 50® Index Futures, which is the most liquid derivatives instrument in Europe but with fees and margins being paid in US dollars. Currently, quanto risks coming from U.S. dollar denominated structured products are primarily hedged by banks via OTC forwards. A number of Participants are actively Market-Making. The bid/ask spread is very tight and is currently between 1 and 2 ticks, similar to the EURO STOXX 50® Index Futures spread. The traded notional volume since launch equals about USD 300 million.

KOSPI® Derivatives
Average daily volume on Eurex in Q1/2016 exceeded 116,000 contracts. The volume of the Eurex KOSPI Product was around 7.5% of the daytime volume of the KOSPI 200 Options on KRX. 100% of the volume was traded in the order book, and over 50% of the volume originated from Korean retail customers. Three Exchange Participants actively provide quotes in the Eurex KOSPI Product.

As of end Q1/2016, more than 123.5 million contracts of the Eurex KOSPI Product were traded since inception on 30 August 2010.

Currently, there are 9 Eurex Clearing Members and 27 Exchange Participants admitted to the Link.

TAIEX Derivatives
With the new revenue sharing scheme effective on 1 January 2016 and increased market volatility, we continue to see further volume development in Eurex TAIFEX Products, especially in Daily Futures on TAIEX Futures (Product ID: FTX). On 1 March, a record high of 2,778 contracts was traded in FTX. The combined volume of Daily Futures on TAIEX Futures and Daily Futures on TAIEX Options stood at 4,815 contracts on that day.

As of 31 March 2016, more than 718,000 contracts of Eurex TAIFEX Products were traded since inception on 15 May 2014. The first quarterly ADV of Eurex TAIFEX Products has recorded 2,041 contracts, increasing from 1,763 contracts in the 4th quarter of 2015. Brokerage firms are actively promoting the products to Taiwanese investors, currently accounting for over 80% of customer volume.

Dividend Derivatives
The hugely volatile first two months of 2016 meant Eurex achieved a new outright monthly record for all Dividend Derivatives in February of 1.4 million contracts (previous best amounted to 1.3 million contracts in October 2014). February 2016 also saw an individual record month for EURO STOXX 50® Index Dividend Futures with 836,000 contracts traded (previous best 817,000 in October 14).

Single Stock Dividend Futures saw records too in February with 490,000 contracts traded (previous best 461k in Sep 2013).

Open interest for all Dividend Derivatives approaches the 4 million contract level; at 3.994 million, this is almost 10% higher than at the end of March 2015.

Eurex lists 185 dividend products from benchmark and Sector Index Dividend Futures, with 169 Single Stock Dividend Futures on European and U.S. names, as well as EURO STOXX® 50 Dividend Options.

VSTOXX® Derivatives
Having recovered their composure after a tumultuous start into 2016, investors are now wondering what new risks will impact the markets. The potential for Great Britain to exit the European Union is now on investors' radars and managing this outcome is at the forefront of their strategies. As uncertainty regarding "Brexit" continues to grow, market participant's interest for the VSTOXX®, the European volatility benchmark, remains strong. The strong negative correlation of the VSTOXX® with the major European indexes makes it the perfect tool to manage this European specific risk. This has led to a widening of the VSTOXX®/VIX® Spread, which trades around 8,5 and over its historical average of 5 reflecting a heightened geopolitical risk.

Increased average daily range for Q1/2016 is 1.770 points (versus Q4/2015 of 1.298 points).

VSTOXX® Futures: Growing volume
2016 average daily volume in VSTOXX® Futures (Product ID: FVS) is at 32,393 contracts, up 21.5% from Q1/2015. Open interest is 160,172 contracts, down from 176,384 on 01 January 2016.

The new Market-Making program in VSTOXX® Futures has already shown positive results and liquidity and volume have significantly improved in the order book.

VSTOXX® Options: Growing open interest
2016 average daily volume for VSTOXX® Options (Product ID: OVS) is at 20,407 contracts, down 1.9% from Q1/2015. Open interest is 197,022 contracts, up from 170,924 on 01 January 2016.

Eurex is currently opening the VSTOXX® Options to U.S. participants as we joined the SEC No Action Relief which allows Eurex to promote to VSTOXX® Options to Qualified Institutional Buyers.

More active participants in VSTOXX® Derivatives
105 Exchange Participants have been using VSTOXX® Futures actively thus far in 2016 (up from 97 versus Q1/2015). 43 Exchange Participants have been using VSTOXX® Options (no change versus Q1/2015).