March, 2020

ICE Equity Derivatives Report

Equity Derivatives | Interest Rate Derivatives

March 2020 Highlights

ICE: The leading venue for MSCI Index Futures

March saw extraordinary levels of volatility, as the pandemic triggered several major market events - the Fed made emergency rate cuts, US equities nosedived in their deepest and fastest fall in history, and tensions between Russia & Saudi Arabia ignited an oil price war. The ICE market infrastructure and our liquidity in global benchmark products remained resilient in the face of these events combined with the March Quarterly roll.

- MSCI Emerging Markets Index Futures set a new trading record of 1,233,839 lots on March 16

- MSCI Emerging Markets Index Futures (Ticker MESA) ADV of 445K up 80% YoY, OI up 5% YoY

- MSCI EAFE Index Futures (Ticker MFSA) ADV of 144K up 148% YoY, OI up 66% YoY

- MSCI EAFE Index Futures reached new highs, trading a record 436,428 lots on March 13

- March ADV across all ICE MSCI Index Futures up 79% YoY to 622k lots, OI up 6% YoY

- The Block trade minimum for the MSCI ESG Leaders Index Futures has been lowered to 20 lots effective from March 26

ICE: The home of UK Equity Derivatives

The FTSE 100 and FTSE 250 Index Futures both had strong volumes in March however the differing performance of these indices is worth noting, with the FTSE 100 dropping 30.7% since February 19 compared to a 41.1% drop for the FTSE 250 in the same period. FTSE Russell explored how the impact of Coronavirus affected these indices in a recent blog.

ICE is the home of FTSE Index derivatives and is committed to the development of this franchise. Please contact the Equity Derivatives team to learn more about the introduction of FTSE 250 Index Options and the upcoming FTSE 250 Index Futures Liquidity Provider scheme.

- FTSE 100 Index Futures ADV up 60% YoY, OI up 3% YoY

- FTSE 250 Index Futures ADV up 11% YoY, OI down 11% YoY

- FTSE 100 Index Options ADV up 26% YoY

- FTSE 250 Index Options ADV up 526% YoY, OI up 33% YoY

- FTSE 100 Dividend Futures ADV up 204% YoY, OI up 8% YoY

Volume

MSCI Index Futures

FTSE 100 Futures

FTSE 100 Options

FTSE 100 RDSA Dividend

Single Stock Options

FTSE 250 Index Futures

FTSE 250 Index 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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