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16 3月 2023

Eurex Asia

【期货期权】股指总回报期货年初开局良好

股指总回报期货 (Total Return Futures, TRF) 在 2023 年开局强劲,1 月份有超过 100 万手欧元STOXX®蓝筹 50 (SX5E) TRF 交易。 这可能是来自于去年持有至年底的大量“放空欧洲”的头寸进行平仓,原本未平仓合约高达 230 万手。

英国富时100 (FTSE 100) TRF 在2023年第一个月也表现强劲,1 月份有 105,000 手交易。这与 12 月的创纪录月份相去不远。未平仓合约攀升至240,000手的高位(190 亿英镑)。欧元STOXX®精选30股息指数 (SD3E) TRF 的交易量创下单月历史新高,未平仓合约达到77,000 手, 大部分交易合约期限较长(2024年 12 月至 2027 年 12 月到期),表明交易量与结构性产品对冲有关。

最后,欧元STOXX®银行类股指 (SX7E) TRF 在 1 月份也创下了 274,000 手的交易纪录,2023 年 6 月合约的报价为 +110 个基点(负回购),而 2028 年 12 月为 +71 个基点。这是由于更高的银行股息的影响,未平仓合约达到约 600,000 手的创纪录水平。



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