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Round-up: our Equity Index segment in Q2

Release date: 18 Jul 2018 | Eurex Exchange, Eurex Clearing

Round-up: our Equity Index segment in Q2

Market Briefing

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Zubin Ramdarshan, Head of Equity and Index Product Research & Development

Facts & figures


News section

In June, Eurex finalized its work on EURO STOXX 50? options with month-end expirations.

  • We launched the new products on 9 July. They are another part of our buy-side initiative as they meet the needs of insurers and other market participants that offer pension schemes tracking an index with monthly calculation dates.
  • EURO STOXX 50? month-end expiry index options have been listed in response to requests from the market to allow the transition from OTC into an exchange cleared environment.

The first deals of Swiss equity derivatives have been arranged on our RfQ platform EnLight following the extension of our product range to cover equity options and equity index options on Swiss underlyings.

  • Within the first three weeks after the launch - that is between 19 June and 11 July 2018 - we have already seen 30 requests, 43 responses and a total of 10 deals arranged on Eurex EnLight in this segment.
  • We will continue to extend Eurex EnLight into the equity derivatives space according to clients' needs.
  • We are planning to launch EURO STOXX? options in the first quarter of 2019, and we are currently analyzing whether further segments will be launched in between.

Block trades or central limit order book? EnLight-ment and Improve-ment may be the solution.

  • We at Eurex spent a lot of our innovative power to create new market models under the MiFID II framework that meet both the regulator's need for transparency and the industry's need for discrete execution of large orders.
  • In parallel with Eurex EnLight, our selective RfQ based service, we are working on another new service that we named Eurex Improve. This market-driven solution is designed to increase interaction of customer flow by introducing a price improvement competition in the order book. More news to follow.

TRF marked another Open Interest record at 496,000 contracts. This equals roughly EUR 17.0 billion.

  • Average Daily Volume is now at 5,500 contracts (year to date), which translates to EUR 200 million.
  • The product has seen a gradual increase in the repo rate over the last few months. In June, the curve jumped significantly with TRF spreads turning negative on the September and December expiries.
  • This means that the repo rate has increased and reverted to positive. For the September 2018 expiry, this is a 36 basis points move in a month for the December 2018 expiry it is 28.5 basis points.

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