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16 3月 2023

Eurex Asia

【期貨選擇權】股指總回報期貨年初開局良好

股指總回報期貨 (Total Return Futures, TRF) 在 2023 年開局強勁,1 月份有超過 100 萬手歐元STOXX®藍籌 50 (SX5E) TRF 交易。這可能是來自於去年持有至年底的大量“放空歐洲”的頭寸進行平倉,原本未平倉合約高達 230 萬手。

英國富時100 (FTSE 100) TRF 在2023年第一個月也表現強勁,1 月份有 105,000 手交易。這與 12 月的創紀錄月份相去不遠。未平倉合約攀升至240,000手的高位(190 億英鎊)。歐元STOXX®精選30股息指數 (SD3E) TRF 的交易量創下單月曆史新高,未平倉合約達到77,000 手, 大部分交易合約期限較長(2024年 12 月至 2027 年 12 月到期),表明交易量與結構性產品對沖有關。

最後,歐元STOXX®銀行類股指 (SX7E) TRF 在 1 月份也創下了 274,000 手的交易紀錄,2023 年 6 月合約的報價為 +110 個基點(負回購),而 2028 年 12 月為 +71 個基點。這是由於更高的銀行股息的影響,未平倉合約達到約 600,000 手的創紀錄水平。



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