it's more than them just being magneto's kids, though. they both started as x-men villians with the brotherhood of mutants. they reformed (wanda mostly, quicksilver still had a pretty strong mean streak in him) and became avengers. so their origin is as x-men villians but the majority of their stories are avengers related.
so... here's a very brief history of what happened. back in the late 80's comic books started to become big for collector's due to the rarity of some of the issues. because of this, people started buying more regular comics in the hopes that one day they'd be worth something. so to meet the demand, marvel started spending a TON of money printing issues, which in turn, completely deflated collector value so people stopped buying them. so marvel bankrupted itself and in the early 90's they started selling off the movie rights to different studios in hopes that they could financially recover. at the time, they were just trying to stay afloat; they never even considered having any kind of movie studio.
sony bought the spider-man IP which included anything that primarily belonged to spider-man (rogue's gallery, ancillary characters like uncle ben, aunt may, gwen stacy, etc). Fox bought both the x-men IP and the Fantastic Four IP (again, including anything that primarily belonged to them). apparently, hulk has some weird rights where universal has rights to him, but ONLY for solo movies? no one wanted the avengers because at the time, the avengers were just a mish-mash of characters that were popular enough to be on a team, but not popular enough to really sell well on their own.
so it was a huge gray area for certain characters like scarlet witch and quicksilver, because they very clearly belong to both the x-men AND the avengers. like araysar pointed out, everyone lawyered up and the judgment was that quicksilver and scarlet witch as mutants belonged to fox, while scarlet witch and quicksilver as NOT mutants belonged to marvel studios. from what i understand it was very clear that these had to be DIFFERENT characters and that they couldn't reference each other. i could be wrong, but i think that's why each studio focused on different twins. i think age of ultron was filmed first so they were allowed to keep him in the movie so it wouldn't cause undue financial strain in completely re-writing the movie, but they agreed to kill off quicksilver and move forward with just scarlet witch, while x-men never even mentioned scarlet witch and just went forward with quicksilver