December, 2020

ICE Equity Derivatives Report

December 2020 Highlights
ICE sees continued growth in MSCI Index Futures
Despite a year of uncertainties and volatility, global equity indices ended 2020 on record highs with the MSCI Emerging Markets and MSCI USA indices posting yearly return of 15.9% and 19.2% respectively.

Markets have generally welcomed more clarity on the political front with Brexit and progress on vaccine distribution. In the U.S., mixed economic data has not dampened expectations that the pandemic relief plan will provide temporary support to the economy.
In December, ICE’s MSCI Index Futures highlights include: 
  • Across the MSCI Index Futures franchise, the 2020 average daily volume (ADV) is up 17% YoY to ~250,000 lots. The combined total open interest (OI) is now 2 million lots for a notional value of $146 billion, a 56% market share of all globally-listed MSCI Index Futures.     
  • MSCI EAFE Index Futures (ticker MFSA) December ADV of 80,973 lots up 8% YoY, OI of 419,152 lots up 6% YoY ($45.9 billion).    
  • MSCI Emerging Markets Index Futures (ticker MESA) December ADV of 253,791, OI of 1,218,798 ($80.2 billion).   
  • ICE’s MSCI Japan Futures (ticker JPPA), which was launched in September 20020, saw its first trades in December with OI reaching ~4,000 lots ($310 million).
  • Continued activity in MSCI EM Asia NTR Index Future with OI at $4.1 billion. Margin offsets in this contract against MSCI Emerging Markets PR Index Future now at c.85%.
  • MSCI ESG Leaders Index Futures continued to grow with OI at $322 million split across the emerging markets, world and U.S. GTR contracts.
  • Access the full suite of MSCI Futures available on ICE straight on your terminal via BMSI.
MSCI Index Futures

ICE U.K. Equity Derivatives Close the Year on a High Note
The lockdown introduced in November in the U.K. was extended for many areas into December and beyond. Further news of a more infectious strain of COVID-19 added to the pre-Christmas gloom in markets. In other news, a Free Trade Agreement was finalized between the European Commission and the U.K, ending 4.5 years of negotiation between the two parties.

ICE U.K. Equity Derivatives had a strong 2020 despite the year’s challenges, with FTSE 100 Futures volumes up 10% YoY, the FTSE 100 RDSA Dividend Index Futures volumes up 127% YoY and the FTSE 250 Futures volumes up 2% YoY.

The new FTSE 100 & 250 Trade at Index Close (TIC) Futures Contracts have been embraced by the market with volumes up 89% in the FTSE 100 TIC to 32,000 YTD and volumes up 540% in the FTSE 250 TIC. To find out how these contracts work, see our FAQ.

To learn about ICE’s 2021 FTSE Derivatives initiatives, contact the ICE Equity Derivatives team.      

Volume
MICRO NYSE FANG+™​ Index Futures
  • The underlying NYSE FANG+ Index had a strong 2020, setting a number of new all-time highs. For the year, the index was up over 103%.
  • NYSE FANG+ Index earning season is approaching. NFLX’s earning are on 1/19, and AAPL, FB, TSLA and AMZN all report earnings the following week.
FTSE 100 Futures

FTSE 100 Options

FTSE 100 RDSA Dividend

Single Stock Options    

FTSE 250 Index Futures

NYSE Micro FANG+ Index Futures 


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