November, 2020
ICE Equity Derivatives Report
November 2020 Highlights
ICE: The leading venue for MSCI Index Futures
Global equity indices hit record highs in November with the MSCI EAFE and MSCI Emerging Markets indices posting monthly returns of 15.4% and 9.2% respectively. The record was fueled by positive COVID-19 vaccine news and the newly-elected U.S. presidential transition. European markets benefited from anticipation of further European Central Bank (ECB) easing to be announced at the next ECB meeting later in December.
In November, ICE’s MSCI Index Futures highlights include:
- Across the MSCI Index Futures franchise the YTD ADV is up 19% YoY to ~240,000 lots. The combined total open interest (OI) has increased to 2.08 million lots for a notional value of $149 billion, a 55% market share of all globally listed MSCI Index Futures.
- MSCI EAFE Index Futures (ticker MFSA) November ADV of 37,000 lots up 47% YoY, 9% YTD, OI of 433,012 lots up 14% YoY ($44.5 billion)..
- MSCI Emerging Markets Index Futures (ticker MESA) November ADV of 121,094 lots up 27% YoY, up 15% YTD, OI of 1.283 million ($77.5 billion).
- The ICE MSCI ESG Leaders Index Futures reached ~ $357 million of OI - most notably the MSCI EM ESG Leaders Futures (ticker LFOA) and MSCI World ESG Leaders Futures (ticker LFWA) - a 70% market share of all MSCI ESG Index Futures.
- We recently held a webinar with MSCI and Goldman Sachs on how futures can be used to integrate ESG strategies in a traditional portfolio. Access the replay.
On Dec. 14, new MSCI Index Futures will launch on ICE U.S. The launch will include futures on new country specific and regional indices and futures on the new MSCI China Technology DR and P-Chip NTR Index, which was developed by MSCI with ICE and market participants. The launch will also include futures on additional MSCI Climate Change Indices and MSCI Low Carbon Indices to complement our existing ESG offering which includes MSCI ESG Leaders Index Futures. In addition, on Nov. 23 ICE launched futures on the MSCI Emerging Market ex China Index.
MSCI Index Futures
ICE: The home of UK Equity Derivatives
The FTSE suite of products benefitted from news of a potential COVID-19 vaccine with YoY increases across all ICE FTSE products. The FTSE 100 F&O, FTSE 250 Futures and FTSE 100 Dividend Future saw YoY increases in both ADV and OI.
The FTSE 100 rebalance in November saw the reunification of Unilever, which drove volumes on the last day of the month to over 200,000 lots. Single Stock Options saw a modest increase of 1% in YOY ADV, however OI in the U.K. Single Stock Options was up 11% YTD at 2.7 million lots with the banking and airline stocks seeing the largest increases in OI. Notably, NatWest Group Plc Single Stock Options OI increased by over 800% to 154,000 lots.
Volume
MICRO NYSE FANG+™ Index Futures MICRO 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 times the index (from the current $50 times the index)
- The minimum price fluctuation is now 0.20 index points, or $1 per contract
- Open interest was converted into the new smaller contract terms by a 10-to-one ratio
In November, MICRO FANG+ averaged 5,267 contracts/day with month-end open interest at 3,455.
FTSE 100 Futures
FTSE 100 Options
FTSE 100 RDSA Dividend
Single Stock Options
FTSE 250 Index Futures
NYSE Micro 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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