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Eurex
The June roll in the MSCI derivatives has just come to an end. We spoke to Ralf Huesmann, Eurex Product Research and Development, about how the segment has developed recently.
Ralf, the quarterly roll period is over. Have volumes risen again?
Yes, we saw strong volumes, but not only because of the roll. On 14 June, we had an all-time-high in open interest with 2.76 million contracts. We also noted a daily record turnover on 12 June with 553,000 contracts. With a total volume of 2.44 million contracts traded so far, June is already quite close to the record monthly volume of March with 2.52 million contracts. All in all, total volume in 2018 grew 47% year-on-year.
What are the latest developments in Eurex’ MSCI space?
In particular, interest in our MSCI options has increased recently. The decisive factor here was the relatively sharp price fall in some emerging markets (EM) due to the ongoing uncertain geopolitical situation. This has created additional hedging demand and consequently increased activity in options. The open interest of our Broad EM options (price index) has doubled this year to 135,000 contracts now or almost EUR 6 billion notional.
In the past, more than 50% of open interest was linked to Asian-dominated indices. Is that still the case?
Other contracts such as MSCI USA, North America or World have gained this year. At the same time, we see increased competition in Asian contracts, so that the share of open interest in Asian-dominated products is now at approximately 45%. Here, we believe that the trading hours extension, which is planned for December, will help to foster trading of Asian-based contracts as they can be traded or entered as blocks during the local cash market hours. All MSCI Futures will be available for Asian hours right from the start.