May, 2020
ICE Equity Derivatives Report
May 2020 Highlights
Global equities recovered further from their March lows throughout May. Central bank interventions and the reopening of economies fueled optimism that led to a return to risk assets. This trend was most notably seen in developed market equities with the MSCI EAFE Price Return Index posting a return of 5.45% over the period while the benchmark MSCI EM Price Return Index grew by 1.48%.
The NYSE FANG+ index showed strong returns throughout May and outperformed similar indices in this sector, the drivers of this performance is discussed in a recent blog by RCM Alternatives.
ICE: The leading venue for MSCI Index Futures
Recent lower volatility has seen institutional investors use MSCI World Sector futures to better manage their sector exposure: the MSCI World Communication Services and MSCI World Real Estate Index Futures have respectively seen an increase of YTD volumes by 102% and 164%.
- At the end of May, ICE’s MSCI Future franchise reached over $110B in notional value, corresponding to global market share of over 55%.
- MSCI EAFE Index Futures (Ticker MFSA) May ADV of 40K up 37% YoY, OI of 478K
- MSCI Emerging Markets Index Futures (Ticker MESA) May ADV of 105K, OI of 1.15M
In May we saw ICE’s Liquidity Providers increase their commitment to supporting the rollover for both MSCI EM Asia Index Futures (Ticker ANSA) and MSCI China Free Futures (Ticker WQYA) on screen. A consistent price picture for those contracts is now available across time zones.
ICE offers a comprehensive list of contracts covering the Asia Pacific region. Contracts such as the MSCI AC Asia ex. Japan, MSCI Pacific and MSCI India Index futures can all be traded alongside the largest MSCI futures contract, the MSCI EM and EAFE futures.
This breadth of contracts enables market participants to fully benefit from margin offsets, therefore maximising their capital efficiency. A full list of all ICE MSCI Futures can be found here.
MSCI ESG Leaders Futures
Activity has picked up on ICE’s MSCI ESG Leaders Index Futures. Liquidity Providers are increasingly participating in those contracts, continuously making on-screen markets and responding to quote requests. The value of Open Interest at the end of May reached $150M. Learn more about ICE MSCI ESG Leaders Index Futures.
ICE: The home of UK Equity Derivatives
The positive sentiment we saw in April continued in May with the two flagship UK Equity Index Futures, the FTSE 100 & FTSE 250, posting strong performances in terms of volume and Open Interest. The increasing uncertainty over future dividend payments makes the FTSE 100 Dividend Index an attractive choice to hedge your dividend exposure.
ICE is the home of FTSE Index derivatives and is committed to the development of this franchise. With YTD volumes in the FTSE 250 Futures and Options up, please contact the ICE Equity Derivatives team to learn more on the developments in the UK Mid Cap Sector.
Volume
MSCI Index Futures
FTSE 100 Futures
FTSE 100 Options
FTSE 100 RDSA Dividend
Single Stock Options
FTSE 250 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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