September, 2020

ICE Equity Derivatives Report

September 2020 Highlights
ICE: The leading venue for MSCI Index Futures

September saw a consolidation across emerging market and developed market equities from historical highs: the MSCI USA Index dropped 4.5% while the MSCI Emerging Markets Index retreated 3.4%. This correction has been led by uncertainty on the potential for economies to recover as many countries experience a rise in COVID-19 cases. With the upcoming US election in early November bringing further uncertainties we see the market brace for more volatility.
The increased risk environment has seen ICE consolidate its position as leading venue for risk transfer:
  • Across the MSCI Index Futures franchise 50 million lots traded this year resulting in YTD ADV up 22% YoY to ~260,000 lots. The combined total open interest (OI) has increased to 1.97 million lots up 5% YoY. This corresponds to an increase in notional OI of $9 billion to $124 billion.
  • MSCI EAFE Index Futures (ticker MFSA) YTD ADV of 57,600 lots up 43% YoY, OI of 411,000 ($38.1 billion) up 20% YoY.
  • MSCI Emerging Markets Index Futures (ticker MESA) YTD ADV of 188,000 lots up 20% YoY, OI of 1.21 million ($66 billion).
  • ICE’s suite of Asia MSCI Index Futures has seen an increase in volumes and OI:
  • MSCI AC Asia ex Japan Index Futures OI of 18,000 lots ($1 billion) up 19% YoY
  • MSCI India Index Futures OI of 21,000 lots ($1.4 billion) up 53% YoY
  • MSCI EM Asia Index Futures OI of 66,500 lots ($4.3 billion) up 192% YoY

On Monday Sept. 28, ICE launched three new futures contracts on the MSCI Japan NTR USD (Ticker JPPA), the MSCI Japan ESG Select Leaders GTR JPY (Ticker JSEA), and the MSCI USA minimum volatility NTR USD Index (Ticker MVCA).

Access the full suite of ICE MSCI Futures on your terminal via BMSI.
MSCI Index Futures

ICE: The home of UK Equity Derivatives
The performance of the FTSE 100 & FTSE 250 in September was largely flat despite large swings during the month related to both COVID-19 and Brexit negotiations. Volume and OI in these two key benchmarks continue to be strong, in particular the mid cap focused FTSE 250 which saw OI grow 72% month on month in contrast to other national benchmarks across Europe.

September also saw increased activity in Natwest, Barclays and Lloyds stock options. With the dividend cycle uncertain for banks globally, speculation is starting to mount if this cycle will continue into 2021. This dividend uncertainty is also driving volume and OI growth in the FTSE 100 Dividend Index Future with volumes and OI up 139% and 34% respectively.

Contact the ICE Equity Derivative team to find out more about the development of the FTSE franchise, our plans to develop the UK Mid Cap Sector with a focus on the FTSE 250 Futures and Options and also our flexible Single Stock Futures and Options on UK, European and Emerging Market stocks. More information can be found here.      

NYSE FANG+ Index Futures
On Sept. 28, the NYSE FANG+™ Index futures was reduced to one tenth of the current size and renamed to MICRO NYSE FANG+™​ Index Futures.

Changes to the contract include:

  • The contract multiplier is now $5.00 times the index (from the current $50.00 times the index)
  • The minimum price fluctuation is now 0.20 index points, or $1.00 per contract
  • OI was converted into the new smaller contract terms by a 10-to-one ratio

The FANG+ Index has increased 140% since bottoming out in mid-March. Given this dramatic rise in the index, the new, smaller contract size appeals to a more broad based selection of participants. Flexibility is enhanced and multiple market makers are ensuring a liquid trading environment.    

FTSE 100 Futures

FTSE 100 Options

FTSE 100 RDSA Dividend

Single Stock Options    

FTSE 250 Index Futures

NYSE FANG+ Index Futures 

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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