Eurex Exchange: equity index derivatives with highest growth y-o-y/ Eurex Repo: GC Pooling with new all-time high
In September 2011, the international derivatives exchanges of Eurex Group recorded an average daily volume of 12.4 million contracts (Sep 2010: 9.9 million). Of those, 9.1 million were Eurex Exchange contracts (Sep 2010: 7.3 million), and 3.3 million contracts (Sep 2010: 2.6 million) were traded at the U.S.-based International Securities Exchange (ISE). The growth of 25 percent y-o-y is due to the stronger hedging needs of market participants driven by uncertainty resulting from the European sovereign debt crisis, which led to an increasing use of exchange-traded and centrally cleared derivatives in the current market environment. In total, 201.1 million contracts were traded at Eurex Exchange and 68.8 million at ISE.
At Eurex Exchange, equity index derivatives as the largest segment recorded 112.6 million contracts (Sep 2010: 69.4 million), an increase of 62 percent y-o-y and the second-best month in 2011. The future on the EURO STOXX 50 Index totaled 51.0 million contracts, its best monthly result year-to-date. The option on this blue chip index totaled 41.3 million contracts. Futures on the DAX index recorded 5.5 million contracts, also a monthly record in 2011. The DAX options reached another 6.5 million contracts. The Eurex KOSPI Product achieved its second-best monthly result with 2.2 million contracts, an ADV of 101,000 contracts.
The equity derivatives (equity options and single stock futures) segment at Eurex Exchange reached 27.1 million contracts (Sep 2010: 30.0 million). Thereof, equity options totaled 21.8 million contracts and single stock futures equaled 5.3 million contracts. Equity derivatives volume y-o-y is influenced by the change of contract specifications: In Q1/2011, Eurex Exchange increased the contract size of most equity options and single stock futures to match international standards, with the effect of potentially lower turnover in these products. The adjusted figure of monthly volume in the equity derivatives segment in August would have been approximately close to 32 million contracts based on an extrapolation.
Eurex Exchange’s interest rate derivatives segment totaled 60.2 million contracts (Sep 2010: 61.7 million). The Euro-Bund-Future reached 23.5 million contracts, the Euro-Bobl-Future 13.0 million contracts and the Euro-Schatz-Future 15.8 million contracts. The Euro-BTP-Future totaled more than 250,000 contracts and the Short Term Euro-BTP-Future 48,500 contracts.
The Eurex segment dividend-based derivatives more than doubled y-o-y and totaled 774,000 contracts. Volatility derivatives achieved 250,000 contracts.
Eurex Repo, which operates CHF, EUR repo and GC Pooling markets, achieved new records in the EUR Repo and GC Pooling market. The EUR Repo Market totaled an average outstanding volume of 179.4 billion euros in August, an increase of 47 percent y-o-y. The secured money market GC Pooling recorded a new monthly peak with an average outstanding volume of 145.4 billion euros, an increase of 50 percent y-o-y (Aug 2010: 97.1 billion euros). The CHF Repo market reached 76.3 billion euros. All Eurex Repo markets recorded 255.7 billion euros average outstanding volume (Sep 2010: 274.1 billion euros).
The electronic trading platform Eurex Bonds, which rounds out Eurex’s fixed-income product range, traded 7.8 billion euros (single counting) in September, an increase of 7 percent y-o-y (Sep 2010: 7.2 billion euros). In August 2011, volume was 9.1 billion euros.
