October, 2020
ICE Equity Derivatives Report
October 2020 Highlights
ICE: The leading venue for MSCI Index Futures
October was a month of two halves - volatility was muted at the beginning of the month, then picked up in the days leading up to the U.S. election. Throughout the month, the outlook for Emerging and Developed equity markets seemingly diverged. DM markets were impacted by COVID-19 setbacks, the U.S election and Brexit negotiations. Meanwhile, China’s economic recovery is lifting EM equities.
In October, the MSCI USA Index retreated 2.7% while the MSCI Emerging Markets index progressed 2%, other highlights include:
- Across the MSCI Index Futures franchise the YTD ADV up 19% YoY to ~247,000 lots. The combined total open interest (OI) has increased to 2.05 million lots up 2% YoY for a notional OI of $128 billion up 5% YoY.
- MSCI EAFE Index Futures (ticker MFSA) YTD ADV of 56,100 lots up 37% YoY, OI of 441,700 lots up 20% YoY ($39.4 billion).
- MSCI Emerging Markets Index Futures (ticker MESA) YTD ADV of 178,500 lots up 17% YoY, OI of 1.25 million ($69 billion).
- The ICE MSCI ESG Leaders Index Futures has now reached ~ $300 million of OP - most notably the MSCI EM ESG Leaders Futures (ticker LFOA) and MSCI World ESG Leaders Futures (ticker LFWA).
- 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. 4, ICE U.S. is launching new MSCI Index Futures, including country-specific contracts and Low Carbon and Climate Change Index Futures to complement our existing MSCI ESG Leaders Index Futures.
MSCI Index Futures
ICE: The home of UK Equity Derivatives
After extreme volatility earlier this year and summer's recovery rally, the start of Q3 saw risk-off sentiment reflected in volumes across the ICE U.K. Equity Derivative franchise. Growth in the FTSE 100 Dividend Index Future continues to be strong with Open Interest at the end of October at its highest in the contracts history. Hedge your UK dividend exposure with FTSE 100 Dividend Index Futures.
Contact the ICE Equity Derivative team to learn about development of the FTSE franchise, UK Mid Cap Sector with focus on FTSE 250 Futures and Options and our flexible Single Stock Futures and Options on UK, European and Emerging Markets. More information can be found here.
NYSE 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
Volume
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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