Eurex Vols

Discussion in 'Index Futures' started by doublechin, Jul 1, 2010.

  1. <b>Eurex monthly trading volume rose by 25 percent y-o-y </B>

    At the international derivatives markets of Eurex, an average daily
    volume of 10.9 million contracts was traded in June (June 2009: 10.7
    million). Thereof, 8.3 million contracts (June 2009: 6.7 million) were
    traded at Eurex; another 2.6 million contracts (June 2009: 3.9
    million) were traded at the International Securities Exchange (ISE).
    The increase of Eurex turnover of 25 percent y-o-y is due to the
    increasing use of exchange-traded and centrally cleared derivatives in
    the current market environment, which was driven by high volatility
    and the dividend season. In total, 241.1 million contracts were traded
    on both exchanges compared with 232.5 million contracts in June 2009.

    At Eurex, the equity index derivatives segment was the most successful
    segment, totaling 79.3 million contracts, compared with 71.1 million
    contracts in June 2009. Futures on the EURO STOXX 50 reached 41.1
    million contracts (June 2009: 32.0 million); the options recorded
    another 24.2 million contracts (June 2009: 25.5 million). The DAX
    future reached a turnover of 4.0 million contracts while the DAX
    option achieved 6.3 million contracts.

    In the Eurex segment of equity-based derivatives (equity options and
    single stock futures) 50.5 million contracts were traded (June 2009:
    30.2 million). Thereof, equity options totaled at 24.7 million
    contracts (June 2009: 23.2 million). The dividend season led to a
    strong increase of incentivized block trades of single stock futures,
    which totaled 25.8 million contracts (June 2009: 7.1 million).

    Eurex's interest rate derivatives segment reached 52.9 million
    contracts, compared with 44.9 million in June 2009. Approximately 21.7
    million contracts were traded in the Euro-Bund-Future, 13.7 million
    contracts in the Euro-Schatz Future, 12.5 million contracts in the
    Euro-Bobl-Future and almost 154.000 contracts in the Euro-BTP-Future.

    Dividend derivatives traded more than 315,000 contracts, while the
    volatility derivatives recorded almost 74,000 contracts for both
    VSTOXX futures and options. Commodities derivatives totaled at 75,000
    contracts.

    Eurex Repo, which operates CHF- and EUR repo markets, grew by 10
    percent and both repo markets hit a new overall record with an average
    outstanding volume of 228.4 billion euros (June 2009: 208.1 billion
    euros). The secured money market segment GC Pooling achieved the
    strongest growth with 29 percent and set a new monthly record with an
    average outstanding volume of 98.8 billion euros (June 2009: 76.9
    billion euros). On 21 June, GC Pooling also achieved a record daily
    average outstanding volume of 108.5 billion euros.

    The electronic trading platform Eurex Bonds, which rounds out Eurex's
    fixed-income product range, saw a volume of 7.9 billion euros (single
    counting) in June. In May 2010, the figure was 8.76 billion euros, and
    in June 2009 volume was 12.1 billion euros.

    For further information please visit http://www.eurexchange.com
     
  2. That would be impressive except that volume plunged 23% in 2009.

    If you exclude last years data. then I suspect that you would have to go back several years to find a lower volume in the interest rate products.
     
  3. dont

    dont

    I had major hassles getting market deth on eurostoxx50 options on IB. Eventually IB informs me that they don't do market depth on Eurex and don't play to any time soon. I was blown away.
     
  4. Certainly feels like a big drop in bund vol since they banned naked short selling in the cash bonds few weeks back. Hollow order book. Then again the last 3 summers have been abnormally active and we might just be reverting to the norm.
     
  5. what about the fact that most of the volume is scratched by algos and earns the exchange no income.

    i reckon its probably at least 50 per cent.

    that is crossed up illusionary bullshit.

    volume went up???

    every time i try to hit eurex in any size bids and offers disappear up their own arse.

    someone come up with eurex profits year on year
     
  6. bone

    bone ET Sponsor

    Eurex definitely isn't what it used to be.

    1. They got chopped up trying to poach business from CME.

    2. They didn't get into European energy in the late 90's and early 2000's when they had a window of opportunity to take that business from the IPE floor, like they took the Bund from LIFFE five years earlier.

    3. They were very lax in terms of enforcing policy for institutional players at the direct expense of the independent or prop trader; now that many IBs are not trading or bust, who is left standing?
    Lots of shenanigans perpetrated by the IBs were left unchecked.

    4. A series of very poor enforcement decisions, like the Deutshe Bank - DAX debacle and a series of CTD cash market manipulations by institutions bankrupted many less capitalized traders and drove them elsewhere. Prop firms in Europe and the US quietly started to 'boycott' Eurex to the extent that they advised their traders that the playing field was quite tilted. As I mentioned in item 3 above, now that the institutions have had their wings clipped off, who's left?
     
  7. It will be down 99% after the germans introduce their financial transaction tax on derivatives and other instruments in a few years time.
     
  8. Dogfish

    Dogfish

    <b>Average Daily Volume of 8.1 Million Contracts at Eurex and ISE in July</b>

    Eurex Repo continues to grow

    At the international derivatives markets of Eurex, an average daily
    volume of 8.1 million contracts was traded in July (July 2009: 9.5
    million). Thereof, 5.6 million contracts were traded at Eurex (July
    2009: 5.4 million); another 2.5 million contracts (July 2009: 4.1
    million) were traded at the International Securities Exchange (ISE).
    In total, 176.4 million contracts were traded on both exchanges
    compared with 214.6 million contracts in July 2009.

    At Eurex, the equity index derivatives segment was the most
    successful segment, totaling 56.4 million contracts, compared with
    65.0 million contracts in July 2009. Futures on the EURO STOXX 50
    reached 26.1 million contracts; the options recorded another 20.5
    million contracts. The DAX future reached a turnover of 2.9 million
    contracts while the DAX option achieved 5.0 million contracts.

    The Eurex segment of equity-based derivatives (equity options and
    single stock futures) grew by 22 percent and recorded 30.1 million
    contracts (July 2009: 24.7 million). Thereof, equity options totaled
    at 21.6 million contracts. Single stock futures totaled 8.5 million
    contracts.

    Eurex’s interest rate derivatives segment reached 36.4 million
    contracts, compared with 34.0 million in July 2009. Approximately
    15.1 million contracts were traded in the Euro-Bund-Future, 9.0
    million contracts in the Euro-Schatz Future, 9.0 million contracts
    in the Euro-Bobl-Future and almost 73,000 contracts in the Euro-BTP-
    Future.

    Dividend derivatives traded roughly 377,000 contracts, an increase
    of 20 percent compared with June 2010 and 46 percent y-o-y.
    Volatility derivatives recorded almost 28,000 contracts for both
    VSTOXX futures and options. Commodities derivatives totaled at
    71,000 contracts, compared with almost 30,000 in July 2009.

    Eurex Repo, which operates CHF- and EUR repo markets, grew by 12
    percent y-o-y and both repo markets combined reached an average
    outstanding volume of 219.8 billion euros (July 2009: 196.1 billion
    euros). The secured money market segment GC Pooling achieved the
    strongest growth with 21 percent, totaling an average outstanding
    volume of 92.3 billion euros (July 2009: 76.1 billion euros).

    <B>The electronic trading platform Eurex Bonds, which rounds out
    Eurex’s fixed-income product range, saw a volume of 6.8 billion
    euros</b> (single counting) in July. In June 2010, the figure was 7.9
    billion euros, <b>and in July 2009 volume was 8.1 billion euros.</B>

    For further information please visit http://www.eurexchange.com
     
  9. Dogfish

    Dogfish

    At the international derivatives markets of Eurex, an average daily
    volume of 7.8 million contracts was traded in August (August 2009: 9.1
    million). Thereof, 5.4 million contracts were traded at Eurex (August
    2009: 5.4 million) and 2.4 million contracts were traded at the
    International Securities Exchange (August 2009: 3.7 million). In
    total, 171.2 million contracts were traded on both exchanges compared
    with 191.5 million contracts in August 2009.

    At Eurex, the equity index derivatives segment was the most active
    segment, totaling 55.5 million contracts, compared with 55.7 million
    contracts in August 2009. Futures on the EURO STOXX 50 reached 24.8
    million contracts and options recorded another 21.2 million contracts.
    The futures and options on the DAX index reached a combined turnover
    of 7.9 million contracts.

    The Eurex segment of equity-based derivatives (equity options and
    single stock futures) recorded 25.0 million contracts (August 2009:
    25.1 million). Thereof, equity options totaled at 21.4 million
    contracts. Single stock futures totaled 3.6 million contracts.

    Eurex’s interest rate derivatives segment reached 38.5 million
    contracts, compared with 32.0 million in August 2009. Approximately
    16.7 million contracts were traded in the Euro-Bund-Future, 8.6
    million contracts in the Euro-Schatz Future, 8.5 million contracts in
    the Euro-Bobl-Future and nearly 69,000 contracts in the Euro-BTP-Future.

    Dividend derivatives traded roughly 320,000 contracts, an increase of
    more than 40 percent
    y-o-y. ETF derivatives recorded more than 67,000 contracts.
    Commodities derivatives totaled at 47,000 contracts, compared with
    almost 30,000 in August 2009.

    Eurex Repo, which operates CHF repo, EUR repo and GC Pooling markets,
    grew by 29 percent y-o-y and all markets combined reached an average
    outstanding volume of 237.5 billion euros (August 2009: 183.7 billion
    euros). The secured money market GC Pooling achieved the strongest
    growth with 38 percent, totaling an average outstanding volume of 91.6
    billion euros (August 2009: 66.5 billion euros).

    The electronic trading platform Eurex Bonds, which rounds out Eurex’s
    fixed-income product range, saw volume of 6.4 billion euros (single
    counting) in August. In July 2010, the figure was 6.8 billion euros,
    and in August 2009 volume was 6.4 billion euros.


    For further information please visit http://www.eurexchange.com
     
  10. Dogfish

    Dogfish

    <B>October 2010</B>
    At the international derivatives markets of Eurex, an average daily
    volume of 9.2 million contracts was traded in October (October 2009:
    10.4 million). Thereof, 6.3 million contracts were traded at Eurex
    (October 2009: 6.4 million) and 2.9 million contracts were traded at
    the International Securities Exchange (October 2009: 4.0 million).
    In total, 193.7 million contracts were traded on both exchanges
    (October 2009: 228.8 million); thereof, 132.0 million contracts at
    Eurex and 61.7 million contracts at ISE.

    At Eurex, the equity index derivatives segment was the most active
    segment, totaling 57.7 million contracts (October 2009: 67.4
    million). Futures on the EURO STOXX 50 reached 24.6 million
    contracts and options on this index recorded another 22.5 million
    contracts. The futures on the DAX index reached a turnover of 2.9
    million contracts, the DAX option recorded another 5.7 million
    contracts.

    The Eurex segment of equity-based derivatives (equity options and
    single stock futures) recorded 28.0 million contracts (October 2009:
    29.9 million). Thereof, equity options totaled 24.2 million
    contracts, single stock futures 3.8 million contracts.

    Eurex’s interest rate derivatives segment grew by 4 percent and
    reached 45.7 million contracts, compared with 44.0 million in
    October 2009. Approximately 18.7 million contracts were traded in
    the Euro-Bund-Future, 10.0 million contracts in the Euro-Bobl-
    Future, 10.4 million contracts in the Euro-Schatz Future and around
    78,400 contracts in the Euro-BTP-Future. The Short Term Euro-BTP-
    Future recorded more than 21,000 contracts.

    Dividend derivatives traded roughly 383,500 contracts, an increase
    of more than 23 percent y-o-y. Commodities derivatives totaled at
    68,000 contracts, compared with almost 52,000 in October 2009.
    Volatility derivatives totaled at more than 67,000 contracts.

    Eurex Repo, which operates CHF repo, EUR repo and GC Pooling
    markets, grew by 26 percent y-o-y and all markets combined reached
    an outstanding volume of 248.5 billion euros (October 2009: 196.5
    billion euros). The secured money market GC Pooling grew by 23
    percent, totaling an average outstanding volume of 93.0 billion
    euros (October 2009: 75.4 billion euros).

    The electronic trading platform Eurex Bonds, which rounds out
    Eurex’s fixed-income product range, saw volume of 6.2 billion euros
    (single counting) in October. The volume was 7.0 billion euros in
    October 2009.
     
    #10     Nov 2, 2010