Eurex
July 2015 saw the highest proportion ever of order book trades for Eurex Exchange MSCI derivatives. See below for the most important facts on volumes, open interest and other developments.
Volume development & increasing open interest
IIn July the order book volume was at circa 63 percent, which is a +100 percent increase relative to this year's average for the first six months.
In total, the July 2015 volume (49,290 contracts) increased by circa 60 percent as compared to the July 2014 volume (30,887 contracts). Futures volume in July 2015 more than tripled to 48,734 (underlying value: EUR 1,297 million) from 14,175 (underlying value: EUR 394 million) as compared to July 2014; a total of 556 options contracts (underlying value: EUR 21 million) were traded in July.
Open interest reached 161,000 contracts (+ 12,000 contracts) at the end of July (circa 79,000 futures contracts and circa 82,000 options contracts). In addition, we saw an open interest of 110,000 in Eurex Flexible Contracts, primarily options.
Increasing on-exchange trading
Since the beginning of April 2015, Eurex Exchange has been offering an additional Market Maker package to incentivize liquidity in the order book for a number of futures products, including the Emerging Markets Index Futures (EM).
This measure has already resulted in increased order book activity: Until March most of the on-screen trades had taken place in MSCI Europe (FMEU) and MSCI World (FMWO) Index Futures. Since April we see much more activity in MSCI Emerging Market Index Futures (in USD FMEM and in EUR FMEN), MSCI Emerging Markets Asia (FMEA) or MSCI Russia Index Futures (FMRS).
In July 2015 more than 500 trades were transacted on-screen in our FMEM contract, up from 100 in June and 15 in May, visit the below chart for a detailed breakdown.
This steep increase in the number of trades transacted via the order book is a result of a much better price picture in numerous futures products. Market participants now have the opportunity to execute larger trades on-exchange by splitting them into smaller orders.
Volume and open interest charts
Eurex Exchange - The broadest choice of equity index derivatives worldwide.
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