03 Apr 2020

Eurex, Eurex Clearing, Eurex Group

Equity Index market briefing April 2020


March was, given the highly volatile markets, of course, bursting with hedging activity on Eurex. However, rather than discussing volumes, I’d like to focus on the performance of the Eurex market infrastructure in this briefing. 

Our T7 trading architecture experienced peak numbers in both traffic and transactions. Overall, this resulted in more than 185 million transactions on 3 March, a new record statistic. From that perspective, T7 has proven to be stable and reliable, allowing trading to take place under these special market conditions.

We don’t need to look any further than our benchmark products to see how challenging trading has been. The EURO STOXX 50® March / June calendar futures roll saw a broad trading range, explained by dramatically shifting expectations on dividend timing due to the inability of certain firms to hold their respective AGMs according to previous schedules. Despite this period of high volatility, there was a significant shift towards activity in the calendar order book reaching an 89% market share. In parallel, the spreads stayed relatively stable at one index point. This is testament to the robustness of our order books and its ability to deliver price transparency during all market environments.

Crucial ingredients to the strong liquidity picture are the passive quotes posted by our members. Here, we appreciate the absorption of extraordinarily high volumes in those very volatile circumstances. In single stock options, there was ongoing quotation despite the exceptional news flow, such as the AGM / dividend postponement uncertainty. Another important pool of liquidity that was heavily utilized by clients was the early price formation during the trading hours extension. For our global MSCI index segment, clients were able to obtain sufficient liquidity on-screen and off-book even though some local underlying exchanges were closed.

To close, I take the opportunity to highlight and thank our members, the majority of whom now work from home or other remote locations, for their excellent liquidity provision efforts during these unusual times.

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