August, 2019
ICE Equity Derivatives Report
August 2019 Highlights
ICE: The leading venue for MSCI Index Futures
On July 31, the Fed’s decision to cut interest rates for the first time since 2008 marked the beginning of the most volatile period of the year for equity markets. Despite a backdrop of US-China trade tensions and concerns over global recession, the MSCI World NTR USD Index remained relatively close to its all-time high.
These factors have fed rising demand for ICE’s MSCI World Minimum Volatility NTR USD Index futures. An increased number of participants have already traded over US$900mln notional YTD, 22,544 lots up, +228% vs 2018, with open interest reaching US$170mln at the end of August. Launched in February 2014, ICE’s MSCI World Minimum Volatility Index future offers a simple way to de-risk a portfolio ahead of potential turbulent times but maintain an allocation to developed equities.
The MSCI World Minimum Volatility Index is a key benchmark for managed volatility strategies on equities. It is built to have the lowest absolute volatility based on a defined set of constraints. It features a lower Beta, lower volatility and lower cap bias relative to its parent index, the MSCI World NTR USD Index. To learn more about MSCI’s Minimum volatility indices please visit: https://www.msci.com/msci-minimum-volatility-indexes
Key Stats
- ICE’s MSCI Futures franchise ADV up 18% YoY, OI as of end of August in excess of US$120bio
- MSCI World Min Vol (BBG: WVWA) ADV up 228% YoY, OI up 753% YoY
ICE - The home of UK Equity Derivatives
Increased fears of a no-deal Brexit saw moves in the FTSE 100 Index while the sterling fell to a five-year low at the start of the month. This volatility spurred higher seasonal volume in FTSE 100 futures with ADV rising 51% YoY in the first half of August.
Key stats:
- FTSE 100 Index futures ADV up 36% and OI up 23% YoY
- FTSE 100 Index Dividend RDSA Withholding futures ADV up 140% YoY
- FTSE 100 Index options ADV up 23% YoY
- FTSE 250 Index options OI up 157% YoY
- Single Stock Options volumes up 42% YoY
NYSE® FANG+™: trade the top of the tech
- FANG+ futures ADV up 20% YoY
- FANG+ futures averaged 2,190/day in Aug 2019, up 94% vs. Aug 2018
Volumes
MSCI Index Futures
Single Stock Options
FTSE 100 Futures
FTSE 100 Options
FTSE 250 Index Futures
FTSE 100 RDSA Dividend
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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