Putting Futures to Work
Rohit Gupta and Hitendra Varsani
March 30, 2022
Futures linked to MSCI indexes are increasingly being used as a tool to manage market exposure and maintain exposures to target investment benchmarks. In the chart below, we focus on futures tracking broad-market and single-country MSCI indexes listed on several global and local exchanges. In the top chart, we have illustrated aggregated “Volume notional” (in USD), month-end “Open-interest notional” (USD), month-end “Open interest” and average daily volume (“ADV”), along with their moving averages (Month: last 3 months and Quarter: last 4 quarters). At the bottom, the two tables illustrate the top five market exposures based on the previous month’s “ADV notional” (USD) and previous month-end “Open-interest notional” (USD).
How to interact with this plot: Use the frequency drop-down menu at the bottom to select monthly or quarterly frequency. Use the market drop-down menu to select futures tracking broad-market or single-country indexes. For the top-chart, click the relevant radio button to select the required parameter and hover the mouse over the chart to see more details. Tables at the bottom are populated based on the selection of the market drop-down menu.
Based on data from ICE Futures US, ICE Futures Europe, SGX, EUREX, HKEX, Cboe and Tadawul. Open Interest from EUREX shows a T-2 lag.