Equity contracts performance
| Product code | Ticker | Mar 24' ADV | YTD ADV | Open interest | |
|---|---|---|---|---|---|
| FTSE | |||||
| FTSE 100 Index Futures | Z | Z A | 179,338 | 117,803 | 537,999 |
| FTSE 100 Index Options | ESX | UKX | 30,709 | 28,035 | 1,335,481 |
| FTSE 250 Index Futures | Y2 | YBYA | 3,397 | 1,630 | 19,341 |
| FTSE 100 Dividend Index Futures | XZ | UKDA | 2,258 | 2,393 | 138,166 |
| MSCI | |||||
| MSCI Emerging Markets Index Futures | MME | MESA | 214,813 | 140,037 | 1,013,275 |
| MSCI EAFE Index Futures | MFS | MFSA | 84,548 | 51,439 | 439,292 |
| MSCI EM Asia Index Futures | ASN | ANSA | 3,090 | 1,126 | 20,860 |
| MSCI Brazil Index Futures | MCG | MCBA | 4,244 | 1,563 | 40,104 |
| MSCI ACWI Index Futures | MMW | MWAA | 1,672 | 653 | 15,315 |
Climate & ESG | |||||
| MSCI World Climate PAI Index Futures | MVR | MRPA | 609 | 367 | 6,165 |
| MSCI World ESG Leaders Index Futures | LFW | LFWA | 649 | 286 | 5,902 |
| MSCI EM ESG Leaders Index Futures | LFM | LFOA | 723 | 314 | 6,700 |
| MSCI Europe Climate PAI Index Futures | MVT | MTEA | 602 | 200 | 6,695 |
| FANG | |||||
| Micro FANG+ Index Futures | FNG | FNSA | 10,131 | 8,390 | 8,480 |
| Single Stock Derivatives | |||||
| Futures | - | - | 85,946 | 50,150 | 210,491 |
| Options | - | - | 50,015 | 54,686 | 3,247,944 |
Products highlights
MSCI Index Total Return Futures
This month marked the debut of MSCI Total Return Futures (TRFs) on ICE Futures U.S.
These contracts offer investors a transparent and cost-effective alternative to over-the-counter total return swaps, allowing them to track the total return performance of the following flagship MSCI indices: MSCI USA GTR USD, MSCI Emerging Markets NTR USD, MSCI EAFE NTR USD, and MSCI World NTR USD indices.
Compared to traditional swaps, ICE's MSCI TRFs offer a listed and centrally cleared solution for benchmark tracking, boasting reduced counterparty risk, enhanced margin efficiency, and simplified processes. Discover the benefits of TRFs and how they can be added to your investor toolkit.
To promote the adoption of these new contracts, ICE is waiving the Exchange and Clearing fees for MSCI TRFs until the end of 2024.
List of contract codes
| MSCI USA TRF | MSCI Emerging Markets TRF | MSCI EAFE TRF | MSCI World TRF | |
|---|---|---|---|---|
| Contract Code | MVA | MVE | MVH | MWA |
| Underlying Index | MSCI USA GTR Index | MSCI Emerging Markets NTR Index | MSCI EAFE NTR Index | MSCI World NTR Index |
| Bloomberg Futures Ticker | MABA | MADA | MASA | MAYA |
| Bloomberg Index Ticker | M2US | M1EF | M1EA | M1WO |
| Refinitiv Futures Code | 0#MVA: | 0#MVE: | 0#VMH: | 0#AWM: |
| Refinitiv Index Code | .MIUS00000GUS | .MIEF00000NUS | .MIEA00000NUS | .MIWO00000NUS |
Micro NYSE FANG+ Index Futures
This quarter, the U.S. equity market experienced a significant surge, driven by economic optimism, anticipation of interest rate reductions, and continued optimism towards artificial intelligence.
While this positivity fueled a broad rally, not all components of the NYSE FANG+ Index enjoyed equal success. Companies like Apple and Meta faced challenges, contrasting with others like Nvidia, which continued their upward trajectory. Despite the varied performance, the NYSE FANG+ index still recorded a substantial 14.7% increase for the quarter, highlighting the divergent fortunes within the big tech sector.
In March, micro-NYSE FANG+ futures achieved a never reached before monthly average daily volume (ADV) of over 10,000 lots. Overall, the traded volumes for Q1 '24 surged over 30% vs. Q1 '23 with the open interest (OI) in the contract ending the month at 8,480 lots or US$424 million notional.
The micro-NYSE FANG+ futures now attract a diverse range of market participants, and benefit from active screen quoting supported by key market makers.
ICE Sustainable Equity Futures
So far this year, ICE has seen consistent market demand for sustainable index derivatives. Volumes across the complex surged by 137% in Q1 '24 compared to Q1 '23, totaling 134,000 lots. Month-end OI saw a significant increase reaching 55,000 lots, a 166% YoY increase and a total notional value exceeding $3 billion.
March was particularly significant for ICE's Climate Index derivatives: over 70,000 lots traded across the MSCI Climate Change and Climate Paris Aligned (PAI) Futures. Month-end OI in these contracts reached a total of 42,000 lots, representing a notional value of $2.3 billion.
In 2024, ICE’s MSCI Climate Change Index Futures emerged as the fastest-growing sustainable equity derivative globally, notably with the MSCI World Climate Change Futures reaching a notional OI of over $1.2 billion at the end of March.
MSCI Climate Change Indices aim to reflect the performance of investment strategies that adjust the weights of securities based on climate change opportunities and risks, as well as the transition to a low-carbon economy. Meanwhile, MSCI Climate PAI Indices aim to assist investors in mitigating their exposure to transition and physical climate risks and are specifically designed to align with the requirements of the Paris Agreement.
FTSE Index Derivatives Complex
FTSE 100 Dividend Index futures serve as essential tools for investors to manage risks associated with the dividends paid by FTSE 100 companies annually.
In March, ICE’s FTSE 100 Dividend Index Futures experienced a notable surge in activity with the ADV increasing by 88% to 2,300 lots, equivalent to £6.7 million of traded notional daily. The OI in these contracts now stands at over 130,000 lots for a notional OIof £414 million.
Market markers support on screen price discovery by quoting the front four quarterly expiries and the next 6 annual December expiries.
Finally, this month saw an increase of 13% of the ADV for FTSE 250 Options, with OI now reaching at £847 million, a 36% YoY growth. This uptick underscores the growing adoption of the FTSE 250 index, serving as a key indicator of the U.K. economy.