June, 2019

ICE Equity Derivatives Report

June 2019 Highlights
ICE: The home of UK Equity Derivatives

ICE Futures Europe has grown its UK mid-cap derivatives franchise with the introduction of FTSE 250 Index Options on the Central Order Book, in addition to the following changes to the FTSE 250 Index products:

  • 4 quarterly screen tradable maturities are now available on FTSE 250 Index Options (Bloomberg code - MCX Index OMON)
  • The on screen tick size has been amended from 0.50 to 1.00 in the FTSE 250 Index Futures
  • Trading hours for the FTSE 250 Index Futures have been extended to 9pm GMT
Key statistics:

  • FTSE 100 Index Futures Open Interest up 13% YoY
  • FTSE 100 Index Dividend Futures OI up 33% YoY
  • FTSE 250 Index Options ADV up 378% YoY
  • FTSE 250 Index Options OI up 74% YoY
  • FTSE 250 Index Futures volume up 14% YTD vs same period in 2018
ICE: The leading venue for MSCI Index Futures
The June 2019 roll for the MSCI EM and MSCI EAFE futures started late in comparison to previous expiries. This was possibly due to the combination of uncertainties linked to the FOMC meeting and the G20 summit in June.  To help participants analyse roll markets, ICE added all of its major index futures contracts to the Pace of Roll tool available here.

MSCI EAFE trading volume reached 358,684 lots on the June 17 (over $33.5 billion in notional), surpassing the previous daily trading record set in March by 6%. MSCI ACWI hovered close to its record with 106,886 lots traded (around $11 billion in notional) in a single day in June.

Overall ICE’s MSCI Index derivatives complex ADV was up 12% YoY, with Open Interest of 1.85 million lots and US$113 billion in notional at month end.

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ICE: The leading venue for MSCI index futures

  • FANG+ futures volume up 7% YTD vs same period in 2018
  • FANG+ June ADV was over 2,000/day making it the 2nd best month since product launch
  • FANG+ ADV has now steadily increased over the last 4 months of 2019

MSCI Index Futures

FTSE 100 Futures

FTSE 100 Options

FTSE 250 Index Futures

FTSE 100 RDSA Dividend

FTSE 100 Weekly Options

Single Stock Options

Key Information Documents for certain products covered by the EU Packaged Retail and Insurance-based Investment Products Regulation can be accessed on the relevant exchange website under the heading “Key Information Documents (KIDS)”.
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