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Eurex Exchange's Quarterly Equity Derivatives Highlights - Q4/2019

Release date: 27 Jan 2020 | Eurex Exchange, Eurex Clearing, Eurex Group

Eurex Exchange's Quarterly Equity Derivatives Highlights - Q4/2019

Equity options

The end of the decade turned out to be one of the better years for equity returns. Bullish sentiment and declining volatility usually translate into lower volumes in equity options. New overall records were therefore not established. Some country segments, notably Swiss, Dutch and French equity options showed considerable growth rates though. The Swiss segment grew by 7.6% percent compared to 2018 and UBS, Nestlé, ABB, Zurich and Credit Suisse are now in the top ten of largest single equity option contracts on Eurex. The Dutch segment grew by 15.1% percent while French equity options grew by 6.1% percent.

Considering the benign market conditions, single stock equity options continued to be in very strong demand. Increased adaption of hedging and covered call writing strategies have played a role here, as well as the market structure improvements Eurex implemented in 2019. For all country segments, we introduced Pro-rata matching and premium dependent tick size, while we rolled out Passive Liquidity Provider Protection (PLP) in the German and the French segment.

Order book liquidity

In 2019, several market structure measures were implemented in the SSO segment with the goal to improve order book liquidity and foster order book flow. Its success can be measured by the available liquidity top of book in the order book as well as the bid/ask spread. Across all liquid country segments, the available liquidity top of book has considerably improved while bid/ask spreads decreased.

Eurex EnLight

Eurex EnLight, the RfQ platform that combines the advantages of electronic price formation with the core functionalities of voice trading, was rolled out to all equity and equity index options in May 2019 after a successful initial roll-out to the Swiss market in 2018. Since the 2018 launch, more than 800,000 contracts were traded in single stock options, with an overall number of RfQs of 1,425 and 735 Deals until the end of 2019. Those are very encouraging results, backed by positive user feedback. More functionalities will be added to EnLight in 2020, such as the Smart RfQ functionality, further helping to connect buyers and sellers on Eurex.

Single Stock Futures

In 2019, we expanded the Eurex Single Stock Futures offering to more than 845 names, by far the largest offering of SSFs on one exchange. This offering includes 63 SSFs with physical delivery, including all the EURO STOXX 50® Index components. Overall, 2019 was a very good year for SSF volume. The average traded contracts per trade increased from 12,400 to 15,600 while volumes increased by 31 percent (176 million contracts vs 232 million contracts). Spanish SSFs form the largest segment, followed by the French SSFs. The biggest YoY gain was made in the Swedish segment though, recording a 1929 percent increase (from 49,000 contracts to 1 million).

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