Market Statistics Summary (Q2 2019)

Highlight – Latest US-China trade tensions & its impact on USD/CNH & FTSE China A50

• After President Trump’s tweet on imposing a 10% tariff on another US$300billion of Chinese goods wef 1 September that re-ignited the US-China trade war, global FX markets went into a frenzy. SGX’s USD/CNH were heavily traded during US trading hours on Friday morning (US Thursday afternoon), before the start of trading in Asia with a record US$7.5 bn (75,098 contracts) traded on Friday 2 August.

• On Monday 5 August, the USD/CNH exchange rate went above RMB 7 for the first time since 2008 triggering another 38% jump in trading volumes and a new record of US$10.3 bn.

• With the trade war re-igniting between US and China, FTSE China A50 futures also saw heightened activity in particular the T+1 session. Ratio of T+1/T session trading volumes for FTSE China A50 were at 94% and 102% on 1 and 2 August respectively , as investors made use of SGX’s extended trading hours to manage their risk around the clock boosting SGX’s share during this time.  The price of FTSE China A50 futures has dropped an est. 5.7% since the announcement to date.

SGX Equity Derivatives Futures

• SGX FTSE China A50 Futures volumes grew by 25% YoY to 403,710 contracts per day in June , matched by open interest growing 6% YoY to 821K contracts (US$11.2b)  by end June. FTSE Russell kicked off its first phase of A-share inclusion in June, with 1000 Chinese companies added to the Emerging Market Index representing U$10B of AUM. Next 2 phases is earmarked for September and March 2020, with total program expected to add US$260b to FTSE EM indices. The IMF estimated that equity and bond funds, passive and active, will create inflows of as much as $450 billion into China in 2019-2020, which is equivalent to 3% to 4% of GDP.

• SGX Nikkei 225 Index Options on Futures established a record volume share of 39% in the block market in terms of notional value. In another first, SGX also conducted a pilot Nikkei Options compression run on 20 June and was the first exchange in Asia to extend portfolio compression from the OTC space to listed derivatives.

• In June, SGX's MSCI NTR Futures doubled its volume YoY, registering a new monthly volume record of 1.4 million lots with open interest at US$32 billion (Mar 19: US$27b, Jun 18: US$12b). MSCI EM Asia, MSCI China, MSCI Japan, MSCI India and MSCI Taiwan were among the most actively traded contracts. MSCI EM Asia contract, in particular, attracted approximately US$8 billion in notional open interest, growing 3.4-times YoY.

SGX FX Futures –  Exceeds US$1.1 trillion in 12 months ending June 2019, 2Q up 51% YoY

https://www2.sgx.com/research-education/market-updates/20190709-sgx-fx-futures-achieves-record-financial-year-which-saw

• In June, the aggregate open interest for SGX FX Futures set new record, and ended above US$ 8 billion (146,762 contracts). With established liquidity and footprints in the INR and RMB FX futures, SGX sees increasing take-up in the KRW futures which hit a new high in 1H 2019 with US$ 4.4 billion traded; up 175% from the preceding six months.

• The total trading volume for the SGX INR/USD futures was US$ 30 billion (1,034,490 contracts) in June - up 6 % from May 2019. Open interest for the SGX INR/USD futures also increased in recent months, hitting a new record in June of 109,084 contracts (on 26 June) before ending the month at 78,007 contracts. Overall, the open interest for SGX INR/USD Futures is up 160% from December 2018 - a strong indication that the market is moving to SGX to manage risk.

• USD/CNH trade a record US$90b in June as US-China trade talks dominate news cycle, with new single day record on 3 June at US$6.45b. Trading volume market share amongst global volume was at 78% while open interest is approximately 63% at end June, compared to other exchanges for comparable RMB futures. Liquidity also deepened with active interest in the overnight trading session, well outside the traditional Asian trading hours, as indicated by the near 38% executed in the T+1 session this year.

SGX India Single Stock Futures

• SGX SSFs recorded average daily volume of 6,787 contracts in June (up 15% M-o-M) representing US$74m daily, the highest achieved since launch. Open interest grew in tandem, reaching $570million, as of 28 June 2019. On a half-yearly comparison, volume of SGX SSFs doubled and open interest grew 30% during 1H2019 over 2H2018.  For more details on SGX Single Stock Future Contract Specifications , please refer to https://www2.sgx.com/derivatives/products/indiassf?cc=ZADS#Contract%20Specifications, or reach out to us.

SGX Iron Ore Futures

• SGX 62% Iron Ore volumes totaled 195.7 mil MT in June, up 1% m-o-m and 109% y-o-y and was the highest quarter on record at 540.2 mil MT. Futures traded 121.0 mil MT, up 7% m-o-m, offsetting a lower options volume which ended at 46.2 mil MT for the month. 

• Screen volumes were about 10,589 ADV, and accounted for 18% of total iron ore volumes in Q2 2019.  The growing financialisation of iron ore has seen increasing participation by funds on the screen, further diversifying the participant pool. Over 3,000 lots/month of quarterly strips have traded since this functionality was introduced in Nov-18 (both outright and spreads) .

• Volumes in the SGX 65% iron ore contract benchmarked off Fastmarkets index for iron ore 65% Fe Brazil-origin fines cfr Qingdao remained well supported at 1.0 mil MT. Participants have been trading the 65%-62% FE Iron ore spread which could serve as a proxy to the steel mills’ margins or for those who wish to express a view about the effects of environmental controls in China on grade differentials.