Oct 17, 2017
Eurex
Equity Index Highlights - October 2017 Edition
Market briefing
Despite geopolitical risks dominating the newspaper headlines, equity markets remain reasonably calm. Recent concerns about North Korea and Brexit have not resulted in a sustained reversion of market volatility. The debate is now whether the additional internal political turmoil that has emerged in both Spain and the UK will alter this delicate balance.
Eurex witnessed record third-quarter volumes in its exchange-traded fund (ETF) options segment. As the ETF market continues to enjoy record level inflows, Eurex has positioned itself as the top European venue for ETF options trading. The segment was revitalised in April with a rationalization of listings resulting in a more streamlined offering focussing on the largest and most liquid ETFs. It is a segment that will be expanded in the coming months and years.
The EURO STOXX 50® Index Total Return Future surpassed the notable threshold of EUR 10 billion notional traded since launch. This innovative product provides market participants with a centrally cleared solution and welcome transparency on the pricing of equity repo risk.
The exchange continues to invest in its existing suite of listed derivatives to ensure clients enjoy deep and liquid markets: the VSTOXX® Options successfully migrated from the old Options-on-Index (OVS) model to the new Options-on-Futures (OVS2) model with an open interest amounting to more than 340,000 contracts. In addition, the STOXX® Europe 600 Futures passed its first roll period since the new lower test tick size was introduced. Members can also look forward to the introduction of the Eurex Market-on-Close Futures at the end of this month, providing an elegant solution to trade the EURO STOXX 50 Index Futures cash basis.
Zubin Ramdarshan
Head of Equity and Index Product Research & Development
Facts & Figures
At a glance
At Eurex, Q3/2017 trading volumes were at 359 million contracts, 3 percent lower than in Q3/2016 (370 million). The equity index segment alone is down by 7.41 percent, compared to the prior-year period.
In Q3, Eurex's Total Return Futures (TRF) further demonstrated that they meet clients' needs. Since their launch in December 2016, over 291,000 contracts have been traded, with a notional value of more than EUR 10.3 billion and an open interest presently at EUR 7.4 billion. September 2017 was a record month with over 75,000 contracts traded.
First Roll in FXXP with Lower Tick Size in the Calendar Spread
Responding to market feedback, Eurex reduced the tick size increment for calendar spreads in STOXX® Europe 600 Index Futures (FXXP), the European broad-based benchmark. The tick size, in calendar spreads only, was changed from 0.1 (EUR 5.00) to 0.02 (EUR 1.00). Following this change, the average spreads on the BBO (best bid offer) have tightened to 0.2 ticks. Overall, traded volume in the calendar spreads increased in comparison to previous rolls, with a pronounced increase in order book activity on Agency Accounts. Open Interest stands at 290,000 contracts with a traded volume of 8.8 million contracts year-to-date and an ADV of 50 thousand contracts.
Spotlight: Q3 Record Quarter in ETF Options
Eurex saw record volumes in the ETF options segment for the third quarter of 2017. With the newly listed and quoted options on iShares Core S&P500 (CSPX), iShares Core FTSE 100 (ISF), iShares EURO STOXX Banks 30-15 UCITS (EXX1) and iShares STOXX Europe 600 ETF (EXSA), the offering is growing and more and more investors are considering implementing option strategies on existing ETF positions via ETF options. Main volume contribution can be seen in the options on iShares EURO STOXX 50 (EUN2) and iShares DAX UCITS ETF (EXS1). Find out more about the full range of Eurex's ETF options offering or download all ETF options information in one file including information such as product codes, multiplier and vendor codes.
Product news
Since their launch in May 2017, Eurex has seen its members embrace the six new iSTOXX Europe Factor Index Futures. These are systematic rules-based indexes, designed to isolate the return of key risk factors and earn a risk premium over time.
With robust liquidity provider support, new customers have been drawn to the new product suite. In the five months since launch, over 100,000 contracts have been traded, representing over EUR 630 million in notional. The most active futures have been the Value and Momentum Factors followed by Size, Quality, Low Risk and Carry, respectively.
A compelling report from Alpha Centauri, outlining the iSTOXX index performance in comparison with other smart beta indexes is available.
Eurex VSTOXX Options: Change OVS to OVS2, Last Expiration in September with Dual Listings
The Eurex VSTOXX Options market successfully completed the transition from Options on Index (OVS) to Options on Futures (OVS2). As of October 9, open interest in the options on futures stands at 381,000 contracts, with positions open across all eight expiries. With CFTC approval, the OVS2 model opens up the options to U.S.-based members and investors. Over fifty members have participated in the new options market, including U.S. members and customers who previously did not have access to the product. With the new customer flow and the increase in liquidity in the underlying futures market, Eurex has released a new market making program designed to create tighter and deeper markets on screen. As a result, order book volume is slowly increasing, now 21 percent of volume as compared to 15 percent in 2016 and 7 percent in 2015.
Events
Thank you for attending the Eurex Annual Derivatives Forum in Frankfurt
Thank you for your interest in our "Annual Derivatives Forum" that was held in Frankfurt on September 21. More than 120 representatives from the buy and sell side attended and made the Forum an informative and insightful event.
We would like to extend a special thank you to our keynote speaker, David Milleker, Chief Economist, Union Investment, who provided us with an outlook on the eurozone economy and kicked off the panel discussion on interest rate returns and the end of Quantitative Easing (QE). Watch David's video commentary where we captured the highlights of his speech.
We would also like to thank Thomas Richter, CEO, BVI, the German Investment Funds Association, who shared his experience and explained how the BVI is representing the German buy side internationally.
The Brexit panel uncovered the complexities arising and anticipated challenges ahead. Learn more about how Deutsche Börse Group's Brexit Transition Team helps customers deal with the changes and uncertainty surrounding the UK's decision to leave the European Union. Berthold Kracke, CEO of Clearstream Banking AG, Frankfurt, is heading this team.
To find out more about futurization and our offering of innovative products such as Total Return Futures, watch the recent video interview with Antoine Porcheret, Senior Equity & Derivative Strategist, BNP Paribas.
The highlight of the forum from a product perspective was the introduction of the EURO STOXX 50® Corporate Bond Index Futures. Launched on 19 September, it offers a versatile and efficient hedging instrument that enables buy and sell side to manage their credit risk of core eurozone country issuers.
Watch our speakers Lee Bartholomew, Head of Fixed Income & FX Product R&D, Eurex, and Dr. Jan-Carl Plagge, Head of Applied Research, STOXX, discuss the Corporate Bond Index Futures.
Save the date: Nordic New Asset Class Summit, Stockholm, Wednesday, November 8, 2017
Awards
GlobalCapital Names Eurex as "Global derivatives exchange of the year"
For the derivatives industry, 2017 is a year of change. Eurex has been honored as "Global derivatives exchange of the year" and "European derivatives exchange of the year". Thank you all for your support - this made us the Global and European derivatives exchange we are and also helps create a better market place for all of us.
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.
