Equity Options at Eurex Exchange. July 2018

Transcription

1 Equity Options at Eurex Exchange July 218

2 Your benefits trading Eurex Equity Options One Stop Shop Weeklies & Euro- Style Eurex has the largest offer on single names: traded Options, Futures and Dividend products at one exchange Weeklies on all Eurostoxx components and European style options 3-11 Market Shares Eurex attracts more and more volume: trade where the liquidity is Eurex has 53% share in France, 28% in Italy, 23% in the Netherlands and 17% in Spain 12 Best execution Eurex offers tight spreads and low fees facilitating best execution. Over the past year we have seen liquidity moving on screen resulting in tighter spreads Savings Benefit from netting effects bundling your volume at one platform 13-2 Trade Entry Services & Multilateral Trade Reg. Trade Entry services are facilitated by a number of brokers TES trades can be registered by multiple counterparties Flex Options & Vola Trades Flex Options: Define exercise price, expiration date, exercise style and settlement. Volatility Trades: Enter equity options delta-neutral strategies with an integrated cash leg 22 Lowest Fees We offer you low fees for client accounts and attractive volume and market making rebates up to 8% accross all country segments

3 Eurex Exchange Offers a Wide Range of Equity Options Eurex market participants are now able to trade Equity options on over 75 stocks, from 13 countries.* The range offers access to all the components of the EURO STOXX 5 and STOXX Europe 5 Index, as well as most components in the STOXX Europe 6, STOXX Europe Large 2, STOXX Europe Mid 2 and STOXX Europe Small 2 indices. * - Equity Options are not available for firms trading from the U.S American style, 244 weekly options and 34 European style 3

4 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Traded Contracts, in millions Open Interest, in millions Equity Options at Eurex Exchange July 218 Development Single Equity Options 1/ % % Orderbook Off-book % 32% - ADV 218: 81,392 Options contracts Equity Options Open Interest June 218: 52 Million contracts Open Interest 51% Agent Market Maker Principal Pie charts based on last 12 months data (178,885,54 traded contracts) 4

5 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Volume - ADV Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Open Interest Volume - ADV Open Interest Equity Options at Eurex Exchange July 218 Development Single Equity Options 2/3 1, , Individual Equity Options (in ') Individual Equity Options (in ') OB Off-Orderbook OI Eurex Market Share vs. Home Markets 6% % Eurex Market Share vs. Home Markets 4% 3% 6% 2% 5% 1% 4% 3% 63, 56,7 5,4 44,1 37,8 63, 31,5 56,7 25,2 5,4 18,9 44,1 12,6 37,8 6,3 31,5 25,2 18,9 12,6 6,3 French Spanish Italian French 1 Dutch Spanish Italian Dutch 2% % Note: ICE London (former Liffe) data are missing since Nov Comparison in Dutch Equity Options includes TOM until end of business % at Jun 28, 217 Comparison of Actual ADV Options vs. prev. month: +4% vs. prev. year month: +28% Comparison of Actual ADV Account distribution: Account distribution: Options vs. prev. month: +4% 2933 Revenues vs. prev. 59 in EUR per Traded 53 Contract.2 year month: +28% Options.16 A Acc. M Acc. P Acc Revenues.1 in EUR per Traded Contract Options Eurex 212 Equity Q1 Dutch French Italian Spanish Options (in ') ADV current month ADV previous month Competitive view. Market share curr. month 23% 53% 28% 17% Q1 Market share prev. month 2% 46% 17% 25% 218 OI current month 3,229 8,321 2,488 2,355 OI previous month 3,831 9,448 2,526 2,779 Competitive view

6 Equity Options by Underlying Country Germany and Switzerland accounted for over 71% of the traded volume from January to June

7 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 Mar-18 May-18 Traded Contracts Open Interest Millions Millions Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 Mar-18 May-18 Traded Contracts Open Interest Millions Millions Equity Options at Eurex Exchange July 218 Equity Options Country Segments Development German Equity Options Swiss Equity Options

8 Jan-12 Jun-12 Nov-12 Apr-13 Sep-13 Feb-14 Jul-14 Dec-14 May-15 Oct-15 Mar-16 Aug-16 Jan-17 Jun-17 Nov-17 Apr-18 Jan-12 Jun-12 Nov-12 Apr-13 Sep-13 Feb-14 Jul-14 Dec-14 May-15 Oct-15 Mar-16 Aug-16 Jan-17 Jun-17 Nov-17 Apr-18 Traded Contracts Open Interest Traded Contracts Open Interest Millions Millions Millions Millions Jan-12 Jun-12 Nov-12 Apr-13 Sep-13 Feb-14 Jul-14 Dec-14 May-15 Oct-15 Mar-16 Aug-16 Jan-17 Jun-17 Nov-17 Apr-18 Jan-12 Jun-12 Nov-12 Apr-13 Sep-13 Feb-14 Jul-14 Dec-14 May-15 Oct-15 Mar-16 Aug-16 Jan-17 Jun-17 Nov-17 Apr-18 Traded Contracts Open Interest Traded Contracts Millions Millions Thousands Open Interest Millions Equity Options at Eurex Exchange July 218 Equity Options Country Segments Development French Equity Options Italian Equity Options , Dutch Equity Options Spanish Equity Options

9 Jan-12 Jun-12 Nov-12 Apr-13 Sep-13 Feb-14 Jul-14 Dec-14 May-15 Oct-15 Mar-16 Aug-16 Jan-17 Jun-17 Nov-17 Apr-18 Traded Contracts Thousands Thousands Open Interest Jan-12 Jun-12 Nov-12 Apr-13 Sep-13 Feb-14 Jul-14 Dec-14 May-15 Oct-15 Mar-16 Aug-16 Jan-17 Jun-17 Nov-17 Apr-18 Jan-12 Jun-12 Nov-12 Apr-13 Sep-13 Feb-14 Jul-14 Dec-14 May-15 Oct-15 Mar-16 Aug-16 Jan-17 Jun-17 Nov-17 Apr-18 Traded Contracts Thousands Thousands Open Interest Traded Contracts Thousands Thousands Open Interest Equity Options at Eurex Exchange July 218 Equity Options Country Segments Development Austrian Equity Options Belgian Equity Options British Equity Options

10 Product Variations Weekly Options and Europeans Weekly & European Style Options Weekly Options 61 Weekly equity options are available on Eurex: Weekly options expire every Friday Contract specifications are similar to the monthly options Advantages: Lower premiums Implement more targeted strategies, i.e..: tailor strategies around specific market events Wider choice of expiry dates Short-term investment in the underlying equity European Style Options European Style options are available on 34 equity underlyings The exercise style is the only difference between the American and European equity options contract specifications Advantages: Implement more targeted strategies Option can only be exercised at the end of it s life Remove uncertainty of executions during the options lifetime Cheaper than American options 1

11 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 Mar-18 May-18 Traded Contracts, in thousands Open Interest, in thousands Equity Options at Eurex Exchange July 218 Equity Options with Weekly Expiries % % 6 3 Orderbook Off-book 4 2 4% 2% Weekly Expiry Options Open Interest Equity Options with weekly expiries are now available on 6 underlyings ADV 218: 3,389 Options contracts Open Interest June 218: 23,126 contracts 76% Agent Market Maker Principal Pie charts based on last 12 months data (766,69 traded contracts) 11

12 Benefit from Efficiencies Benefit from netting effects bundling your volume at one platform Bundle your volume at one platform With Eurex Clearing Prisma Portfolio ing, trading for example the EURO STOXX 5 future or Sector & Broadbased futures versus several options of its components, makes you benefit from netting effects The same applies to trading different country segments at one platform Mitigating risks through CCP clearing With Eurex Clearing, Europe s leading clearing house for securities and derivatives transactions, as the central counterparty to all trades, you benefit from mitigated counterparty risk Eurex Clearing provides effective CCP, risk management and collateral management services thus improving operational efficiency as well as market safety overall 12

13 Mixed Countries (Options) Trading Equity Options on one single platform instead of several platforms can result into large margin savings Migrate your French, Dutch, Italian and Spanish Equity Option trading to Eurex as a single platform to benefit a maximum of netting effects They will be netted versus other country groups such as German and Swiss Equity Options as well as our benchmark futures AAR 33,649 CAR 58,748 CSGN 23,54 ALV 252,265 56% savings Portfolio 252,266 Single s Portfolio ing Name Eurex Long Short P/C Exp. Date Exercise Price Initial (in EUR) Liquidity add on (in EUR) Total (in EUR) Portfolio Total (in EUR) savings Allianz ALV 1 C 216/12/ ,997 34, ,265 Credit Suisse ABN Amro CSGN 25 C 216/12/ ,219 22,321 23,54 AAR 23 C 216/12/ ,974 5,675 33, ,266 56% Carrefour CAR 35 C 216/12/ ,295 13,453 58,748 13

14 France vs. Germany (Options) Trading French and German Equity Options on one single platform instead of several platforms can result into large margin savings Migrate your French Equity Options to benefit a maximum of netting effects. The Eurex market share within French Equity Options is consistenly above 5% versus our competitors and you will find the same level of liquidity They will be netted versus other country groups such as German and Swiss Equity Options as well as our benchmark futures BMW 3,772 BAS 4,29 AXA 234,222 LOR 1,823,32 26% savings Portfolio 1,512,997 Single s Portfolio ing Name Eurex Long Short P/C Exp. Date Exercise Price Initial (in EUR) Liquidity add on (in EUR) Total (in EUR) Portfolio Total (in EUR) savings BASF BAS 1 C 216/12/16 8 3, ,29 AXA AXA 5 P 216/12/ ,71 5, ,222 BMW BMW 4 C 216/12/16 1 3,77 2 3,772 1,512,997 26% L Oréal LOR 14 P 216/12/ ,416,43 46,989 1,823,32 14

15 FESX vs. Dutch equity options Especially the Eurostoxx components are very interesting to have on Eurex in respect to the netting effects you would have against the futures contract This example shows the Dutch options where you do not only benefit from a significantly lower fee at Eurex, but also from a netting effect PHI1 23,46 UNI 24,935 INN 28,796 FESX 118,413 44% savings Portfolio 18,498 Single s Portfolio ing Name Eurex Long Short P/C Exercise Price SX5E Index Future Exp. Date Initial (in EUR) Liquidity add on (in EUR) Total (in EUR) FESX 5-217/3/17 118, ,413 ING INN 1 C /3/17 26,325 2,47 28,796 Philips PHI1 1 C /3/17 2,643 2,817 23,46 Portfolio Total (in EUR) savings 18,498 44% Unilever UNI 1 C /3/17 23,57 1,878 24,935 *Option Style: American 15

16 Liquid Options Trading liquid Equity Options on Eurex as a single platform results in netting effects They will be netted versus versus the highly liquid Eurostoxx or Eurostoxx Banks Future (example below) BNP 84,586 DBK 147,495 FESB 315,54 VO3 511,39 27% savings Portfolio 766,795 Single s Portfolio ing Name Eurex Long Short P/C Exp. Date Exercise Price Initial (in EUR) Liquidity add on (in EUR) Total (in EUR) Portfolio Total (in EUR) savings SX5E Banks Fut FESB 5-216/12/16-24,211 75, ,54 VW VO3 5 P 216/12/ , ,56 511,39 Deutsche Bank DBK 1 P 216/12/ ,46 34,35 147, ,795 27% BNP Paribas BNP 1 P 216/12/ ,969 21,597 84,586 16

17 Financial Institutions (Mixed Countries) Trading liquid Equity Options on banks with Eurex as a single platform results in netting effects They will be netted versus versus the highly liquid Eurostoxx Banks Future (example below) CRI5 61,31 FESB 74,799 BSD2 12,477 BPD 299,714 BNP 332,357 32% savings Portfolio 6,984 Single s Portfolio ing Name Eurex Long Short P/C Exp. Date Exercise Price Initial (in EUR) Liquidity add on (in EUR) Total (in EUR) Portfolio Total (in EUR) savings SX5E Banks Fut BNP Paribas FESB 5-216/12/16-53,864 2,935 74,799 BNP 8 C 216/12/ ,885 51, ,357 Santander BSD2 1 P 216/12/ ,479 35,968 12,477 6,984 32% UBI Banca BPD 6 C 216/12/ ,957 98, ,714 UniCredit CRI5 1 P 216/12/16 4 6,66 1,235 61,31 17

18 Automobiles (Italy & France) Trading liquid Equity Options on companies such as Fiat and Peugeot with Eurex as a single platform results in netting effects They will be netted versus versus the liquid Eurostoxx Automobiles Future (example below) PEU 84,586 FESA 147,495 57% savings FIA5 511,39 Portfolio 522,627 Single s Portfolio ing Name Eurex Long Short P/C Exp. Date Exercise Price Initial (in EUR) Liquidity add on (in EUR) Total (in EUR) Portfolio Total (in EUR) savings ES Autom.&P FESA 1-216/12/16-26,241 17, ,115 Fiat FIA5 9 P 216/12/ ,75 26,73 741, ,627 57% Peugot PEU 8 P 216/12/ ,628 5,897 29,525 18

19 Contract Specifications Contract Size Price Quotation Tick Size Contract Months 1, 1, 1, 5, 1,, 2,5 or 5, shares EUR**/CHF/USD:.1 GBP:.25 or.5 **Exceptions - Italian equity options: EUR.5 - Bank of Ireland and Permanent TSB holdings : EUR.1 Up to 12, 24 and 6 months: The three nearest successive calendar months, the three (for Spanish equity options nine) following quarterly months of the March, June, September and December cycle thereafter, and the four (for Spanish equity options the nearest) following semi-annual months of the June and December cycle thereafter, and the two following annual months of the December cycle thereafter. Daily Settlement Price Final Settlement Price The Daily Settlement Price is established by Eurex. The Daily Settlement Prices for equity options are determined through the binomial model according to Cox/Ross/Rubinstein. If necessary, dividend expectations, current interest rates or other payments are taken into consideration. American-style; an option can be exercised until the end of the Post-Trading Full Period (2: CET) on any trading day during the lifetime of the option. European-style for equity options with group ID DE 14, CH14, FI14, FR14 and NL14; an option can only be exercised on the Last Trading Day until the end of the Post-Trading Full Period (2: CET).European-style Russian equity options: an option can only be exercised on the Last Trading Day until the end of the Post-Trading Full Period (17:4 CET). Settlement Physical delivery of underlying shares is two exchange trading days after exercise: t+2 Last Trading Day Option Premium Trading Hours Third Friday of the respective month, for Italian equity options the day before the third Friday, of each expiration month, if this is an exchange day; otherwise, the exchange day immediately preceding that day. The premium is payable in full in the currency of the respective contract on the exchange day following the day of the trade. Orderbook: 9: - 17:3 CET; Swiss EO: 9: - 17:2 CET; Russian EO: 9:15-16:3 CET Eurex Trade Entry Services: 9: - 19: CET; Austrian EO: 9:15-19: CET; UK and Irish EO: 9: - 18:3 CET; Russian EO: 1: - 19: CET ( 16:3-17: CET on the Last Trading Day of Russian EO) The opening time of 9: is considered a reference point. Eurex opens its equity options staggered between 8:5-9:5 The closing time of 17.3 is considered a reference point. Eurex closes its equity options staggered between 17:3-17:36 19

20 Eurex Trade Entry Services Offers You Safety Participants can enter off-order book trades into the Eurex system, benefiting from the safety of clearing and settlement as well as the flexibility of off-book trades. Eurex Trade Entry Services Members are able to enter bilaterally agreed off-book transactions into the trading and clearing system. Registered off-book trades are then automatically cleared like regular exchange transactions The Eurex Trade Entry Services facility is fully electronic and integrated into members processes (Minimum number of contracts apply) Eurex Trade Entry Services Nondisclosure facility Block trades reaching or exceeding a certain number of contracts (defined by the exchange) are optionally not disclosed intraday. Thresholds are published on the Eurex website No Extra fee for non-publication On the following day, reports will contain updated volumes and open interest, including the ones that were not disclosed 2

21 and Flexibility Participants can enter off-order book trades into the Eurex system, benefiting from the safety of clearing and settlement as well as the flexibility of off-book trades Flexible Options Multilateral Trade Registration Allows customisation of equity options to suit the participant requirement Users can define Exercise price, Expiration date, Exercise style and Settlement type Flexible contracts are not disclosed intra-day. Members can enter an off-book transaction involving multiple counterparties with automated confirmation. Partial trades can be entered which can be assigned to counterparties. Block trade fee caps are applied to all partial trades. Fees apply only up to the fee cap, providing substantial cost efficiencies Eurex Vola Strategy Participants are able to enter equity options delta-neutral strategies trades with an integrated cash leg The facility provides Straight-through processing for all legs of a volatility strategy including the equity cash leg 21

22 Competitive & Transparent Fee Structure Trading and clearing covered by one fee Up to 8% fee rebates are available, depending on monthly proprietary trading volume, liquidity class and trade type Trade Entry Services (TES) fees apply to all transactions executed via the Eurex Block Trade facility and to flexible options Product currency Transaction fees Threshold Exercise fee Fee per lot Reduced fee* A-Account P-Account Fee per lot** Orderbook TES Orderbook TES (contracts) (contracts) EUR (European Equity Options) EUR (German Equity Options) A- Account EUR (German Equity Options) P/M- Account CHF A-Account CHF P/M-Account ,1 1, GBP USD *Applies to contracts exceeding the threshold **No fees are charged for exercise of LEPOs 22

23 Fee Comparison for Netherlands: Client Accounts Trading Client orders on Eurex reduces cost by more than half for Dutch Options *based on publicly available information according to the TOM. Euronext and LCH website 23

24 Fee Comparison for Spain: Client Accounts Eurex is always cheaper, especially for small orders. Otherwise you can save half your trading costs trading on Eurex E.g. a 2 lot trade costs you 4 on MEFF and only 15 on Eurex enlarged *based on publicly available information according to the MEFF website 24

25 Fee Comparison for Italy: Client Accounts Eurex is always cheaper *based on publicly available information according to the IDEM website 25

26 Fee Comparison for France: Client Accounts There is a small difference up to 1 lot orders, then Eurex is cheapest up to 3 / 4 lot trades Eurex offers free non-publication from different thresholds onwards 26

27 Fee Comparison for UK: Client Accounts 27

28 Further information For full equity option product list, contracts specifications and parameters (including Group ID): Corporate action announcements: Eurex Trade Entry Services: erviceparameters.zip Market Making : Broker & Market Makers: Trading Fees: 28

29 Further information Contact us Sales Germany, Benelux & France Simona Simon Achim Karle Eurex Frankfurt AG Germany, Representative Office Mergenthalerallee Eschborn T: simona.simon@eurexchange.com Sales Switzerland & Italy Vincenzo Zinnà Eurex Global Derivatives AG Baarerstrasse Zug Switzerland T: vincenzo.zinna@eurexchange.com T: achim.karle@eurexchange.com Nicolas Kageneck Paris, Representative Office 17 Rue de Surène 758 Paris France T: nicolas.kageneck@deutsche-boerse.com Trading T: Eurex Functional Helpdesks Clearing T: Eurex Technical Helpdesk Technical T:

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