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Options on ETFsProduct Presentation
February 2020
www.eurexchange.com
February 2020Options on ETFs
2
Your advantage trading Eurex ETF options
Physical delivery
• The physical settlement of ETF options allow an exact realization
of strategies in combination with the underlying without additional
spread costs of a possible cash-leg transaction
On-screen
liquidity
• Tradable volume of 3m notional on-screen. More volume always
available through request towards market makers
Option strategies
• ETF options are settled physical
Central
Counterparty and
margin efficiency
• Eurex Clearing guarantees a secure settlement as CCP and
clients benefit of cross margin efficiencies
Equity-, Fixed
Income- and
Commodity ETFs
• Eurex offers a broad range of ETF options on more than 20 of
most liquid ETFs in Europe
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February 2020Options on ETFs
3
Volume development of ETF options
• 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 Pie chart based on buy
and sell traded volume
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Op
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tere
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in T
ho
us
an
ds
Tra
de
d C
on
tra
cts
in
Th
ou
sa
nd
s
ETF's & ETC's ex-IGLN
Traded Contracts Open Interest Adjusted
0,0
0,2
0,4
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0,8
1,0
1,2
1,4
1,6
0,0
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1,0
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May
-18
Ju
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Au
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Oc
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Dec
-18
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-19
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illi
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Tra
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on
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cts
in
Mil
lio
ns
IGLN
Traded Contracts Open Interest Adjusted
57%32%
11%
Account Distribution
Agent Market Maker Principal
www.eurexchange.com
February 2020Options on ETFs
Agile product introductions
4
Listing 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
www.eurexchange.com
February 2020Options on ETFs
5
Existing ETF Options offering
Product Name Underlying ISINUnderlying
Ticker
Underlyin
g Market
Currenc
yIncome
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 LN XLON GBX Dist. Link IPRP Feb-19 100 0.25 500 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 OHYU Nov-17 100 0.01 100 American Close 36 9:00-17:30 - - - - - - - -
iShares J.P. Morgan USD Emerging Market Bond ETF IE00B2NPKV68 IEMB LN XLON USD Dist. Link OEMB Nov-17 100 0.01 100 American Close 36 9:00-17:30 - - - - - - - -
iShares USD Corporate Bond ETF IE0032895942 LQDE LN XLON USD Dist. Link OQDE Nov-17 100 0.01 100 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
Exchange Traded Commodities
WisdomTree 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 - - - - - - - -
FUTURES
EUREX ETFs & ETCs DERIVATIVES - BLOOMBERGOPTIONS
www.eurexchange.com
February 2020Options on ETFs
6
Key growth factors for the European ETF market
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
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February 2020Options on ETFs
7
Comparison Equity Index Options vs. ETF Options (1/3)
EURO STOXX 50® Index Options iShares EURO STOXX 50® Options
Ticker OESX EUN2
Contract value 10 EUR per index point
(~30’000 EUR notional)
100 shares of underlying
(~3’000 EUR Nominal)
Settlement Cash Physical
Min block trade size 1,000 (~30m EUR Nominal) 5,000 (~15m EUR Nominal)
Final settlement price Index value between 11:50 and 12:00
CET
Closing 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 fees Order book: EUR 0.30
Eurex TES: EUR 0.30
Order book: EUR 0.30
Eurex TES: EUR 0.40
Bloomberg codes SX5E Index <OMON> EUN2 GR Equity <OMON>
Product comparison of EURO STOXX50® Options vs. Options on ETF
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February 2020Options on ETFs
8
Comparison Equity Index Options vs. ETF Options (2/3)
Trading: Example atm Put Option
iShares EURO
STOXX 50®-Options
EURO STOXX 50®
Index-Options
Difference
Tradable Volume on-screen1 EUR 4,90m notional
(1400 contracts)
EUR 11,20m notional
(320 contracts)
EUR 6,30m
Bid/Ask spread from mid market
(in % of strike price)1
0.12% 0.03% 0.09%
Implied volatility2 15,50% 15,50% -
1)Average prices per hour Eurex August 2017, Source: Deutsche Börse StatistiX2) Live prices 08.09.2017, Source: Bloomberg
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February 2020Options on ETFs
9
Comparison Equity Index Options vs. ETF Options (3/3)
Comparison of 3m implied vol (mid market)
Source: Bloomberg
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February 2020Options on ETFs
10
Strategies with ETF options – Building a position
Building a position via short Put instead of direct purchase
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)
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February 2020Options on ETFs
11
Strategies with ETF options – Building a position
Scenario 1: Underyling < Strike price Scenario 2: Underlying > Strike price
Building a position via short Put instead of direct purchase
+100’000 iShares
at 33.80 EUR
+120’000 EUR
(3.42% / 12.60% p.a.)
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%*
Portfolio profitability:
0.86% absolute
3.15% p.a.
Prices as of 8th of September 2017
Break-Even vs.
direct purchase:
EUR 36.20
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February 2020Options on ETFs
12
Comparison of trading fees
Comparison of cost of trading with the example of the short put strategy
iShares EURO STOXX
50®-Options
EURO STOXX 50®
Index-Options
Difference
Sell transaction Put Options
(Eurex Fee)
EUR 300.00 (1’000
contracts à 0.30 EUR)
EUR 30.00 (100
contracts à 0.30 EUR)
EUR 270.00
Sell transaction Put Options
(Broker Fee)
Individual Individual -
Bid/Ask Spread Put Option1 EUR 4’200.00 EUR 1’050.00 EUR 3’150.00
Implied volatility1 15.50% 15.50% -
Broker fee for Cash-Leg Individual Individual -
Exercise Fee EUR 300 - EUR 300.00
Bid/Ask-Spread Cash-Leg
transaction2
- EUR 2’364.00 EUR -2’364.00
Execution Risk No Yes Total 0.04%
EUR 1’356.00
1) Based on average price August 20172) Xetra Liquidity Measure September 2016 for EUR 3m
notional: 0.1525% - whereas 50% relevant
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February 2020Options on ETFs
13
iShares ETF Options
MemberContactperson
EUN2 EXS1 CSPX ISF SXXPIEX SX7EEX IGLN
Susquehanna Tom Karlsson+353 1 802 [email protected]@sig.com
✓ ✓ ✓ ✓ ✓ ✓
IMCCathal Hardiman [email protected]
✓ ✓
BNPAlain de Coudenhove
+33 1 4014 [email protected]
✓ ✓
Morgan Stanley
Gabriel Manceau
+44 20 7425 [email protected]
✓
Market Maker for Existing ETF options
Contact details of Market Makers
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February 2020Options on ETFs
14
Product development Equity & Index Equity & Index Sales
Nicolae Raulet
T: +44 207 8 62-72 [email protected]
Matthew Riley
T: +44 20 7862 [email protected]
www.eurexchange.com/ETF
Product development Fixed Income Fixed Income Sales
Rex Jones
T: +49 69 211-1 78 06F: +49 69 211-61 78 [email protected]
Vassily Pascalis
T: +44 207 8 62-72 11F: +44 207 8 62-92 [email protected]
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February 2020Options on ETFs
© Eurex 2019Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) as well as Eurex Bonds GmbH (Eurex Bonds) and EurexRepo GmbH (Eurex Repo) are corporate entities and are registered under German law. Eurex Zürich AG is a corporate entity and is registered under Swiss law. Clearstream Banking S.A. is a corporate entity and is registered under Luxembourg law. U.S. Exchange Holdings, Inc. and International Securities Exchange Holdings, Inc. (ISE) are corporate entities and are registered under U.S. American law. Eurex Frankfurt AG (Eurex) is the administrating and operating institution of Eurex Deutschland. Eurex Deutschland and Eurex Zürich AG are in the following referred to as the “Eurex Exchanges”. 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 owned by DBAG and its affiliates and subsidiaries including, without 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, EurexBonds, Eurex Repo as well as the Eurex Exchanges and their respective servants and agents (a) do not make any representations or warranties regarding the information contained herein, whether express or implied, including without limitation any implied warranty of merchantability or fitness for a particular purpose or any warranty with 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, without limitation, in connection with actual trading or otherwise 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 exchanges respectively to clearing members of Eurex Clearing. Those who desire to trade any products available on the Eurex market or who desire to offer and sell any such products to others or who 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 well as the risks associated with such products, before doing so.
Eurex derivatives are currently not available for offer, sale or trading in the United States or by United States persons (other than EURO STOXX 50® Index Futures, EURO STOXX 50®
ex Financials Index Futures, EURO STOXX® Select Dividend 30 Index Futures, EURO STOXX® Index Futures, EURO STOXX® Large/Mid/Small Index Futures, STOXX® Europe 50
Index Futures, STOXX® Europe 600 Index Futures, STOXX® Europe 600 Banks/Industrial Goods & Services/Insurance/Media/Travel & Leisure/Utilities Futures, STOXX® Europe
Large/Mid/Small 200 Index Futures, Dow Jones Global Titans 50 IndexSM Futures (EUR & USD), DAX®/MDAX®/TecDAX® Futures, SMIM® Futures, SLI Swiss Leader Index® Futures,
MSCI World/Europe/Japan/AC Asia Pacific ex Japan Index Futures and VSTOXX® Futures as well as Eurex inflation/commodity/weather/property and interest rate derivatives).
Trademarks and Service Marks
Buxl®, DAX®, DivDAX®, eb.rexx®, Eurex®, Eurex Bonds®, 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. Phelix Base® and Phelix Peak® are registered trademarks of European Energy
Exchange AG (EEX). 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 Annual All Property Index is a registered trademark of Investment Property Databank Ltd. IPD and has been licensed for the use by Eurex for derivatives.
SLI®, SMI® and SMIM® are registered trademarks of SIX Swiss 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 way sponsored, endorsed, sold or promoted by STOXX and its
licensors and neither STOXX nor its licensors shall have any liability with respect thereto.
Dow Jones, Dow Jones Global Titans 50 IndexSM and Dow Jones Sector Titans IndexesSM are service marks of Dow Jones & Company, Inc. Dow Jones-UBS Commodity IndexSM and
any related sub-indexes are service marks of Dow Jones & Company, Inc. and UBS AG. All derivatives based on these indexes are not sponsored, endorsed, sold or promoted by Dow
Jones & Company, Inc. or UBS AG, and neither party makes any representation regarding the advisability of trading or of investing in such products.
All references to London Gold and Silver Fixing prices are used with the permission of The London Gold Market Fixing Limited as well as The London Silver Market Fixing Limited,
which for the avoidance of doubt has no involvement with and accepts no responsibility whatsoever for the underlying product to which the Fixing prices may be referenced.
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.
BSE and SENSEX are trademarks/service marks of Bombay Stock Exchange (BSE) and all rights accruing from the same, statutory or otherwise, wholly vest with BSE. Any violation of
the above would constitute an offence under the laws of India and international treaties governing the same.
The names of other companies and third party products may be trademarks or service marks of their respective owners.
15
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