options on etfs - eurex exchange€¦ · options on etfs february 2020 2 your advantage trading...
TRANSCRIPT
Options on ETFs
September 2020
Agenda
1 Your Advantage Trading Eurex ETF
Options5 Key Growth Factors for the European
ETF Market
2 Volume Development of ETF Options 6 Comparison Equity Index Options vs.
ETF Options
3 Agile Product Introductions 7 Strategies with ETF Options –
Building a Position
4 Existing ETF Options Offering
2 3 November 2020
Your Advantage Trading Eurex ETF Options
3 3 November 2020
Central Counterparty and
Margin Efficiency
Physical Delivery
On-screen Liquidity
Equity-, Fixed Income-
and Commodity ETFs▪ Eurex offers a broad range of ETF options on more than 30 of the most liquid ETFs in Europe
▪ The physical settlement of ETF options allows an exact realization of strategies in combination with the
underlying without additional spread costs of a possible cash-leg transaction on assignment
▪ Tradable volume of 3m notional on-screen. More volume always available through request for quote to
Market Makers
▪ ETF options are settled into physical
▪ Eurex Clearing guarantees a secure settlement as CCP and clients benefit from cross margin
efficiencies
Option Strategies
UCITs compliance
▪ Eurex offers full compliance for UCITS regulated funds to invest across the asset class spectrum, most
notably allowing investment into precious metals on an unfunded basis or risk management of existing
positions in those underlyings
Volume Development of ETF Options
4
▪ Trading volume has been dominated by IGLN since launch
demonstrating the opportunity for products that fulfil a need
▪ Good balance between market-making, proprietary and client flow in
the Equity complex while IGLN has so far been driven by block trades
3 November 2020
-
20.0
40.0
60.0
80.0
100.0
120.0
140.0
160.0
180.0
-
20.0
40.0
60.0
80.0
100.0
120.0
140.0
May 2018 January 2019 September 2019 May 2020
Op
en
In
tere
st
in t
ho
usa
nd
s
Tra
de
d C
on
tra
cts
in
th
ou
sa
nd
s
ETF's & ETC's ex-IGLN
Contract Volume Open Interest
54%40%
6%
Account Distribution
Agent
Market Maker
Principal
Pie chart based on buy and sell traded volume until Sep 2020
0
200
400
600
800
1,000
1,200
1,400
1,600
0
500
1,000
1,500
2,000
2,500
May 2018 January 2019 September 2019 May 2020
Op
en
In
tere
st
in T
ho
usa
nd
s
Tra
de
d C
on
tra
cts
in
Th
ou
san
ds
IGLN
Contract Volume Open Interest
Agile Product IntroductionsListing criteria to streamline product introductions and allow members to test demand
Underlying
▪ AUM of at least EUR 500mn
▪ CCP eligibility for post trade settlement
▪ Physical replication (typically preferred by the Eurex
Risk Department)
▪ Clear client intention to execute regular trades on the exchange
(as opposed to OTC)
▪ Indicative 10,000 lots as quarterly expected volume
▪ Name listed as LP on the website and in sales material
▪ Participation in joint events (panels, speaking slots)
▪ Sponsor articles in relevant media on listed ETF options
Main objectives
▪ Cover all major European ETFs to become the leading venue for trading options
▪ Expand on the theme of volume migration from US 40 Act towards European UCITS ETFs
▪ Expand into traditionally inaccessible asset classes (e.g. Commodities, Credit etc.)
▪ Increase awareness of ETF options offering within ETF investor community
▪ Offer execution simplicity to the buyside for their ETF option strategies
Member
5 3 November 2020
Existing ETF Options Offering
6
EUREX ETFs & ETCs DERIVATIVES - BLOOMBERG
OPTIONS FUTURES
Product Name
Underlying ISINUnderlying
Ticker
Underlying
MarketCurrency Income
ETF
Fact
Sheet
online
Eurex Contract
Codes
Launch
date
Contract
Size
Options
Tick Size
Options
Minimum
Block Size
Options
Exercise
Final
Settlement
Price
Maturity
(months)
Trading
Hours
Eurex
Contract
Codes
Launch
date
Contract
Size Futures
Tick Size
Futures
Minimum
Block Size
Futures
Final
Settlement
Price
Maturity
(months) Trading Hours
Xtrackers ETFs
Xtrackers MSCI Emerging Markets UCITS ETF LU0292107645 XMEM GY XETR EUR Acc. Link DBX1 Dec-10 100 0.01 100 European NAV 24 9:00-17:30 - - - - - - - -
Xtrackers MSCI World UCIT ETF LU0274208692 XMWO GY XETR EUR Acc. Link DBXW Dec-10 100 0.01 100 European NAV 24 9:00-17:30 - - - - - - - -
Xtrackers MSCI Europe UCITS ETF LU0274209237 XMEU GY XETR EUR Acc. Link DBXA Dec-10 100 0.01 100 European NAV 24 9:00-17:30 - - - - - - - -
Xtrackers Harvest CSI300 UCITS ETF LU0875160326 RQFI GY XETR EUR Dist. Link - - - - - - - - - CRQF Feb-17 1,000 0.01 100 Close 9 9:00-17:30
iShares Equity ETFs
iShares Core DAX® UCITS ETF (DE) DE0005933931 DAXEX GY XETR EUR Dist. Link EXS1 Nov-02 100 0.01 2500 American Close 24 9:00-17:30 EXSF Nov-02 100 0.01 1,000 Close 9 9:00-17:30
iShares Core EURO STOXX 50® UCITS ETF IE0008471009 EUN2 GY XETR EUR Dist. Link EUN2 Nov-02 100 0.01 5000 American Close 24 9:00-17:30 EUNF Nov-02 100 0.01 1,000 Close 9 9:00-17:30
iShares SMI® (CH) CH0008899764 CSSMI SW XSWX CHF Dist. Link XMT Nov-02 100 0.01 1000 American Close 24 9:00-17:30 XMTF Nov-02 100 0.01 1,000 Close 9 9:00-17:30
iShares EURO STOXX Banks 30-15 UCITS ETF (DE) DE0006289309 SX7EEX GY XETR EUR Dist. Link EXX1 Apr-17 100 0.01 5000 American Close 24 9:00-17:30 - - - - - - - -
iShares STOXX Europe 600 UCITS ETF (DE) DE0002635307 SXXPIEX GY XETR EUR Dist. Link EXSA Apr-17 100 0.01 2000 American Close 24 9:00-17:30 - - - - - - - -
iShares MSCI Europe UCITS ETF (Dist) IE00B1YZSC51 IQQY GY XETR EUR Dist. Link IQQY Apr-17 100 0.01 1500 American Close 24 9:00-17:30 - - - - - - - -
iShares MSCI Emerging Markets UCITS ETF (Dist) IE00B0M63177 IDEM LN XLON USD Dist. Link IDEM Apr-17 100 0.01 1000 American Close 24 9:00-17:30 - - - - - - - -
iShares Core MSCI World UCITS ETF IE00B4L5Y983 IWDA LN XLON USD Acc. Link IWDA Apr-17 100 0.01 1000 American Close 24 9:00-17:30 - - - - - - - -
iShares Core S&P 500 UCITS ETF IE00B5BMR087 CSPX LN XLON USD Acc. Link CSPX Apr-17 100 0.01 750 American Close 24 9:00-17:30 - - - - - - - -
iShares Core FTSE 100 UCITS ETF (Dist) IE0005042456 ISF LN XLON GBX Dist. Link ISF Apr-17 1,000 0.25 750 American Close 24 9:00-17:30 - - - - - - - -
iShares FTSE 250 UCITS ETF (Dist) IE00B00FV128 MIDD LN XLON GBX Dist. Link MIDD Feb-19 100 0.25 1000 American Close 24 9:00-17:30 - - - - - - - -
iShares MSCI Brazil UCITS ETF (DE) DE000A0Q4R85 4BRZ GY XETR USD Acc. Link 4BRZ Feb-19 100 0.01 500 American Close 24 9:00-17:30 - - - - - - - -
iShares European Property Yield UCITS ETF (Dist) IE00B0M63284 IPRP NA XAMS EUR Dist. Link IPRP Feb-19 100 0.01 500 American Close 24 9:00-17:30 - - - - - - - -
iShares S&P 500 Financials Sector UCITS ETF IE00B4JNQZ49 IUFS LN XLON USD Acc. Link IUFS Feb-19 1,000 0.01 500 American Close 24 9:00-17:30 - - - - - - - -
iShares S&P 500 Health Care Sector UCITS ETF IE00B43HR379 IUHC LN XLON USD Acc. Link IUHC Feb-19 1,000 0.01 500 American Close 24 9:00-17:30 - - - - - - - -
iShares S&P 500 Information Technology Sector UCITS ETF IE00B3WJKG14 IUIT LN XLON USD Acc. Link IUIT Feb-19 1,000 0.01 500 American Close 24 9:00-17:30 - - - - - - - -
iShares S&P 500 Energy Sector UCITS ETF IE00B42NKQ00 IUES LN XLON USD Acc. Link IUES Feb-19 1,000 0.01 500 American Close 24 9:00-17:30 - - - - - - - -
iShares S&P 500 Utilities Sector UCITS ETF IE00B4KBBD01 IUUS LN XLON USD Acc. Link IUUS Feb-19 1,000 0.01 500 American Close 24 9:00-17:30 - - - - - - - -
iShares Fixed Income ETFs
iShares USD High Yield Corporate Bond ETF IE00B4PY7Y77 IHYU LN XLON USD Dist. Link EHYU / OHYU Nov-17 100 0.01 100 European /American Close 36 9:00-17:30 - - - - - - - -
iShares J.P. Morgan USD Emerging Market Bond ETF IE00B2NPKV68 IEMB LN XLON USD Dist. Link EEMB / OEMB Nov-17 100 0.01 100 European /American Close 36 9:00-17:30 - - - - - - - -
iShares USD Corporate Bond ETF IE0032895942 LQDE LN XLON USD Dist. Link ELQD / OQDE Nov-17 100 0.01 100 European /American Close 36 9:00-17:30 - - - - - - - -
iShares EUR High Yield Corporate Bond ETF IE00B66F4759 IHYG LN XLON EUR Dist. Link OHYG Dec-19 100 0.01 100 European Close 12 9:00-17:30 - - - - - - - -
iShares Core EUR Corporate Bond ETF IE00B3F81R35 IEAC LN XLON EUR Dist. Link OEAC Dec-19 100 0.01 100 European Close 12 9:00-17:30 - - - - - - - -
iShares USD Treasury Bond 20+yr UCITS ETF IE00BSKRJZ44 IDTL LN XLON USD Dist. Link ODTL Mar-20 2,000 0.01 100 European Close 12 9:00-17:30 - - - - - - - -
Exchange Traded Commodities
WisdomTree WTI Crude Oil GB00B15KXV33 CRUD LN XLON USD None Link OCRU Jul-11 1,000 0.01 200 European Close 60 9:00-17:30 FCRU Jul-11 100 0.01 8,500 Close 36 9:00-17:30
WisdomTree Physical Gold JE00B1VS3770 PHAU LN XLON USD None Link OPHA Jul-11 10 0.01 500 European Close 60 9:00-17:30 FPHA Jul-11 100 0.01 500 Close 36 9:00-17:30
Xetra-Gold® DE000A0S9GB0 4GLD GY XETR EUR None Link OXGL Sep-10 100 0.01 250 European Close 60 9:00-17:30 FXGL Sep-10 1,000 0.01 250 Close 36 9:00-17:30
iShares Physical Gold ETC IE00B4ND3602 IGLN LN XLON USD None Link IGLN May-18 100 0.01 2000 American Close 60 9:00-17:30 - - - - - - - -
iShares Physical Silver ETC IE00B4NCWG09 ISLN LN XLON USD None Link ISLN Apr-19 100 0.01 500 American Close 24 9:00-17:30 - - - - - - - -
3 November 2020
Key Growth Factors for the European ETF Market
7
Underlying Market Options Market
Education and Distribution (= more investors)
▪ Product benefits (e.g. transparency, low cost etc.)
▪ Further investor education
▪ Growing institutional use (including insurance companies)
▪ Lower barriers across individual markets
▪ Product benefits (e.g. physical delivery, UCITS compliant)
▪ Locally listed ETFs remain very important (e.g. LSE only)
▪ Close cooperation with retail brokers to offer ETF options
Regulation (= streamlining operations)
▪ MiFID II – increase market efficiency and choice, push more trading onto
regulated trading venues
▪ Retail Distribution Review (RDR) – shift toward fee-based advice
▪ Capital Markets Union (CMU) – remove barriers to cross-border investments
▪ UCITS regulation limiting use of non UCITS products
▪ Centralised settlement (T2S) – ECB’s effort to create a centralised
European settlement system
Technology (= higher penetration)
▪ Expansion of robo-advisors, ETF strategists (e.g. an investment advisor that
constructs portfolios of ETFs) and online platforms
Liquidity and choice (= bigger size and diverse base of users)
▪ Increased number of asset classes and types of ETFs (e.g. fixed income,
commodities as well active ETFs)
▪ Cover wide array of underlyings to give investors choice
▪ On screen liquidity by a number of Market Makers
3 November 2020
Comparison Equity Index Options vs. ETF OptionsProduct comparison of EURO STOXX50® Options vs. Options on ETF
8
EURO STOXX® Index Options iShares EURO STOXX 50® Options
Ticker OESX EUN2
Contract Value10 EUR per index point
(~30’000 EUR notional)
100 shares of underlying
(~3’000 EUR notional)
Settlement Cash Physical
Minimum Block Trade Size 1,000 (~30m EUR Nominal) 5,000 (~15m EUR notional)
Final Settlement Price Index value between 11:50 and 12:00 CETClosing price of the underlying at the
expiration date
Last Trading Day Third Friday of the expiration month
Exercise European style American style
Trading Mechanism Price / Time Priority Pro-rata
Trading Hours on the Last Trading Day 09:00 – 12:00 CET 09:00 – 17:30 CET
Trading FeesOrderbook: EUR 0.30
Eurex TES: EUR 0.30
Orderbook: EUR 0.30
Eurex TES: EUR 0.40
Bloomberg Codes SX5E Index <OMON> EUN2 GR Equity <OMON>
3 November 2020
Comparison Equity Index Options vs. ETF OptionsComparison of 3m Implied Vol (Mid-Market)
9 3 November 2020
Strategies with ETF Options – Building a Position (1/2)Building a Position via Short Put instead of Direct Purchase
10
400,000 iShares
EURO STOXX 50®
(14m notional)
+100,000 iShares
EURO STOXX 50®
(+3.50m notional)
500,000 iShares
EURO STOXX 50®
(17.50m notional)
3 November 2020
Profit
Loss
Scenario 2: Underlying > Strike price
Scenario 1: Underlying < Strike price
11
Sell Put-Options
▪ Price underlying: EUR 35.00
▪ Strike price: EUR 35.00
▪ Time to maturity: 3 months (Dec 2017)
▪ Received premium (on-screen): EUR 1.20*
▪ Implied volatility: 15.50%*
+100’000 iShares
at 33.80 EUR
Portfolio Profitability:
0.86% absolute
3.15% p.a.
*Prices as of 8th of September 2017
+120’000 EUR
(3.42% / 12.60% p.a.)
Strategies with ETF Options – Building a Position (2/2)Building a Position via Short Put instead of Direct Purchase
3 November 2020
Break-Even vs.
Direct Purchase:
EUR 36.20
Onscreen Liquidity Providers for Existing ETF Options
12
Member Contact Person ETF Options
Susquehanna Tom Karlsson
+353 1 802 8000
iShares Equity ETF options
(EUN2, EXS1, CSPX, ISF, SXXPIEX,
SX7EEX)
IMC Cathal Hardiman [email protected] iShares EURO STOXX 50 (EUN2)
BNP Alain de Coudenhove+33 1 4014 3924
[email protected] EURO STOXX 50 (EUN2)
Morgan Stanley Gabriel Manceau+44 20 7425 4163
iShares Physical Gold (IGLN)
iShares Physical Silver (ISLN)
WisdomTree WTI Crude Oil (OCRU)
DRW Sanil Roy+44 207 2820903
[email protected] iShares ETF options (26 in total)
3 November 2020
eurex.com
Thank you!Matthew Riley
Equity & Index Sales EMEA
Tel: +44 (0) 207 8 62-72 [email protected]
Nicolae Raulet
Equity & Index Product Design
Tel: +44 (0) 207 8 62-72 74
Vassily Pascalis
Fixed Income Sales
Tel: +44 (0) 207 8 62-72 11
Fax: +44 (0) 207 8 62-92 [email protected]
Rex Jones
Fixed Income ETD Product Design
Tel: +49 (0) 69 211-1 78 06
Fax: +49 (0) 69 211-61 78 06
www.eurex.com/ETF
Disclaimer
© Eurex Frankfurt AG 2020
Deutsche Börse AG (“DBAG”), Clearstream Banking AG (“Clearstream”), Eurex Frankfurt AG (“Eurex”), Eurex
Clearing AG (“Eurex Clearing”), Eurex Securities Transactions Services GmbH (“Eurex STS”) and Eurex Repo
GmbH (“Eurex Repo”) are corporate entities and are registered under German law . Eurex Global Derivatives AG is a
corporate entity and is registered under Sw iss law . Clearstream Banking S.A. is a corporate entity and is registered
under Luxembourg law . Eurex Frankfurt AG is the administrating and operating institution of Eurex Deutschland.
Eurex Deutschland is in the follow ing referred to as the “Eurex Exchange”.
All intellectual property, proprietary and other rights and interests in this publication and the subject matter hereof
(other than certain trademarks and service marks listed below ) are ow ned by DBAG or its aff iliates and subsidiaries
or used under authorization by their respective ow ners, including, w ithout limitation, all patent, registered design,
copyright, trademark and service mark rights. While reasonable care has been taken in the preparation of this
publication to provide details that are accurate and not misleading at the time of publication DBAG, Clearstream,
Eurex, Eurex Clearing, Eurex Repo as w ell as the Eurex Exchange and their respective subsidiaries, servants and
agents (a) do not make any representations or w arranties regarding the information contained herein, w hether
express or implied, including w ithout limitation any implied w arranty of merchantability or f itness for a particular
purpose or any w arranty w ith respect to the accuracy, correctness, quality, completeness or timeliness of such
information, and (b) shall not be responsible or liable for any third party’s use of any information contained herein
under any circumstances, including, w ithout limitation, in connection w ith actual trading or otherw ise or for any errors
or omissions contained in this publication.
This publication is published for information purposes only and shall not constitute investment advice respectively
does not constitute an offer, solicitation or recommendation to acquire or dispose of any investment or to engage in
any other transaction. This publication is not intended for solicitation purposes but only for use as general
information. All descriptions, examples and calculations contained in this publication are for illustrative purposes only.
Eurex and Eurex Clearing offer services directly to members of the Eurex Exchange respectively to clearing
members of Eurex Clearing. Those w ho desire to trade any products available on the Eurex market or w ho desire to
offer and sell any such products to others or w ho desire to possess a clearing license of Eurex Clearing in order to
participate in the clearing process provided by Eurex Clearing, should consider legal and regulatory requirements of
those jurisdictions relevant to them, as w ell as the risks associated w ith such products, before doing so.
Only Eurex derivatives that are CFTC-approved may be traded via direct access in the United States or by United
States persons. A complete, up-to-date list of Eurex derivatives that are CFTC-approved is available at:
https://w ww.eurex.com/ex-en/rules-regs/eurex-derivatives-us.
In addition, Eurex representatives and participants may familiarize U.S. Qualif ied Institutional Buyers (QIBs) and
broker-dealers w ith certain eligible Eurex equity options and equity index options pursuant to the terms of the SEC’s
July 1, 2013 Class No-Action Relief. A complete, up-to-date list of Eurex options that are eligible under the SEC
Class No-Action Relief is available at: https://w ww.eurex.com/ex-en/rules-regs/eurex-derivatives-us/eurex-options-in-
the-us-for-eligible-customers. Lastly, U.S. QIBs and broker-dealers trading on behalf of QIBs may trade certain
single-security futures and narrow -based security index futures subject to terms and conditions of the SEC’s
Exchange Act Release No. 60,194 (June 30, 2009), 74 Fed. Reg. 32,200 (July 7, 2009) and the CFTC’s Division of
Clearing and Intermediary Oversight Advisory Concerning the Offer and Sale of Foreign Security Futures Products to
Customers Located in the United States (June 8, 2010).
Trademarks and Service Marks
Buxl®, DAX®, DivDAX®, eb.rexx®, Eurex®, Eurex Repo®, Eurex Strategy WizardSM, Euro GC Pooling®, FDAX®,
FWB®, GC Pooling®,,GCPI®, MDAX®, ODAX®, SDAX®, TecDAX®, USD GC Pooling®, VDAX®, VDAX-NEW® and
Xetra® are registered trademarks of DBAG or its aff iliates and subsidiaries. All MSCI indexes are service marks and
the exclusive property of MSCI Barra. ATX®, ATX® five, CECE® and RDX® are registered trademarks of Vienna
Stock Exchange AG. IPD® UK Quarterly Indexes are registered trademarks of Investment Property Databank Ltd.
IPD and have been licensed for the use by Eurex for derivatives. SLI®, SMI® and SMIM® are registered trademarks
of SIX Sw iss Exchange AG. The STOXX® indexes, the data included therein and the trademarks used in the index
names are the intellectual property of STOXX Limited and/or its licensors. Eurex derivatives based on the STOXX®
indexes are in no w ay sponsored, endorsed, sold or promoted by STOXX and its licensors and neither STOXX nor
its licensors shall have any liability w ith respect thereto. PCS® and Property Claim Services® are registered
trademarks of ISO Services, Inc. Korea Exchange, KRX, KOSPI and KOSPI 200 are registered trademarks of Korea
Exchange Inc. The names of other companies and third party products may be trademarks or service marks of their
respective ow ners.
Eurex Deutschland qualif ies as manufacturer of packaged retail and insurance-based investment products (PRIIPs)
under Regulation (EU) No 1286/2014 on key information documents for packaged retail and insurance-based
investment products (PRIIPs Regulation), and provides key information documents (KIDs) covering PRIIPs traded on
Eurex Deutschland on its w ebsite under the follow ing link: https://w ww.eurex.com/ex-en/rules-regs/priips-kids.
In addition, according to Art. 14(1) PRIIPs Regulation the person advising on, or selling, a PRIIP shall provide the
KID to retail investors free of charge.
14 3 November 2020