A member of
About EurexOTC Clear
EMIR 3.0 - active account
CCP Switch
On-boarding
Compression Service
Product Scope
Interest Rate Swaps
Inflation Swaps
Settlement Prices
Service Offering for PSAs
Clearing Member
ISA Direct Member
ISA Direct Light Licence Holder
Clearing Agent
Client
Jurisdictions
Multiple Clearing Relationships
Segregation Set up
Cross-Project-Calendar
Readiness for projects
C7 Releases
C7 SCS Releases
C7 CAS Releases
EurexOTC Clear Releases
Prisma Releases
Member Section Releases
Simulation calendar
Archive
User ID Maintenance
Clearing Hours
Clearing Reports
Product Specifications
Clearing on behalf
Delivery Management
Transaction Management
Collateral Management
Collateral
Transparency Enabler Files
Segregation Models
Reports
Default Fund
Intraday Margin Calls
OTC Clear Procedures
OTC Clear Tutorials
Cross Margining Support
Supplementary Margins
Default Waterfall
Model Validation
Stress testing
Default Management Process
Client Asset Protection under EMIR
Client Asset Protection under LSOC
Credit, concentration & wrong way risk
System-based risk controls
Pioneering CCP Transparency
Haircut and adjusted exchange rates
Securities margin groups and classes
Prices Rolling Spot Future
File services
Bond Clusters
Listed derivatives
OTC derivatives
Listed securities
Cash management
Delivery management
CCP eligible instruments
Eurex Newsletter Subscription
Circulars & Newsflashes Subscription
Corporate Action Information Subscription
Circulars & Readiness Newsflashes
News
Videos
Webcasts on demand
Publications
Forms
Events
FAQs
Production Newsboard
Eurex | Eurex Clearing
At the end of July, the new Italian coalition government again tested debt markets. First, indications were given that the Finance Minister would be replaced. This led to a renewed increase in 10 year Italian bond yields, which rose to 2.78 percent from 2.46 in mid-July and then further to 2.96 percent in the first week of August. Implied volatility in BTP options jumped again from 8 to 12 percent within days. Shortly thereafter, the Italian Treasury announced the possibility of repurchasing debt that would support price stability and take pressure off rising yields. This stabilized yields and implied volatility has fallen to 9 percent for at-the-money levels – almost as fast as it had increased.
Above average trading volumes
These strong fluctuations in yields were accompanied by above average trading volumes as the market found the liquidity needed to navigate these developments via the Italian bond futures and options suite of products at Eurex.
Yields on 2-year Italian debt, however, have followed a somewhat different pattern than the 10 year segment. After rising strongly in May and June marking levels above 1.5 percent, yields on 2-year bonds retracted from their highs down to 0.5 percent, and then back up to 1 percent in the first week of August. Overall, the yield curve has flattened over the past two months, also fuelling trading interest in Eurex’ 2-year Italian bond futures segment.
BTP options on the rise
Against this background, the BTP options, which were introduced in October, also met with strong demand. With the support of three liquidity providers, volume grew to an average daily volume of 5,100 contracts in HY1 2018 from 1,500 contracts in 2017. Open interest topped 100,000 contacts for the first time in May. Clients view the product launch positively and see the new products as complementary to the existing fixed income product offering of futures on 2 and 10-year BTP futures that traded 66k and 120k daily volume in 2018.