Sep 10, 2015
Eurex
Eurex Exchange's MSCI news - September 2015
In the context of increased global equity market volatility in August, Eurex Exchange’s MSCI derivatives experienced their highest non-roll month volume to date. See below for the most important facts on volumes, open interest and other developments.
Volume development & open interest
In total, 58,700 MSCI Futures (underlying value: EUR 1,392 million) and 26,400 MSCI Options (underlying value: EUR 891 million) were traded in August 2015 at Eurex Exchange, making this month the busiest non-roll month ever.
In August MSCI volume at Eurex Exchange increased to circa 85,000 contracts traded, up from 11,000 contracts in August 2014. The overall order book share was at circa 40 percent, which is above the 2014 average of 31 percent.
The number of trades transacted increased to 2,150, which is an increase of 100 transactions versus the previous month and an increase of 800 transactions versus August 2014.
August 2015 set a new record in terms of the number of active market participants. 45 Trading Participants were active in Eurex Exchange’s MSCI derivatives, up from 29 in August 2014.
Open interest reached another record high with circa 184,000 contracts at the end of August (97,000 futures contracts and 87,000 options contracts) versus 161,000 contracts from July 2015. In addition, there are 110,000 contracts open in Flexible Contracts, primarily options.
Contracts in focus: MSCI Emerging Markets derivatives
Open interest in Emerging Markets (EM) derivatives recorded a new high of 36,415 contracts, which is equivalent to circa EUR 1 billion nominal value. The chart below provides a detailed breakdown for MSCI Emerging Markets futures and options for the period from August 2014 through August 2015.
Volume and open interest charts
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