ICE: The leading venue for MSCI Index Futures
RJune saw many economies engage in the gradual reopening of businesses while attempting to maintain control of COVID-19 infection rates. Equity markets trended higher last month despite signs that global recovery may take longer than initially planned. The MSCI Emerging Markets Index closed 7% higher than May and the MSCI EAFE Index was up 3.2% over the same period.
With the June roll for the main MSCI contracts taking place in the very last days before expiry, ICE saw a record 1,658,925 lots traded on ICE Futures U.S. across the MSCI futures complex on June 15 vs. the previous record of 1,644,733 lots.
- ICE’s MSCI Index Futures YTD ADV is up 39% YoY to ~294,000 lots with a combined total Open Interest (OI) up +4% YoY at over 1.93 million lots. ICE open interest market share in MSCI Index Futures continues to grow and stood at 60% (notional open interest $) and 53% (number of lots) at the end of June.
- MSCI EAFE Index Futures (Ticker MFSA) June ADV of 92,000 up 30% YoY, OI of 451,000 up 47% YoY. On June 15, a record 446,050 ICE MSCI EAFE futures contracts traded on ICE Futures U.S., surpassing the previous record of 436,428 lots.
- MSCI Emerging Markets Index Futures (Ticker MESA) June ADV of 275,000 up 12% YoY, OI of 1.19 million lots.
- MSCI AC Asia ex Japan (Ticker SCAA) June ADV of 2,295 lots up 80% YoY, OI of 22,350 lots up 60% YoY.
- ICE MSCI ESG Leaders Index Futures - OI continues to grow with over $175 million in notional value, making them the most popular MSCI ESG Index Futures globally. ICE’s Liquidity Providers continue to support the contracts, providing on-screen prices during the European and U.S. trading day.
- ICE further increased its cooperation with market participants to promote intraday price formation during Asian trading hours.
- ICE offers a comprehensive list of futures contracts covering the Asia-Pacific region. Contracts such as the MSCI EM Asia Futures, MSCI China Free Futures, MSCI India Futures, MSCI AC Asia ex. Japan Futures and MSCI Pacific Futures, which can be traded alongside the largest MSCI futures contracts, the MSCI Emerging Market and EAFE futures. This breadth of contracts enables market participants to fully benefit from margin offsets, therefore maximizing their capital efficiency.
A full list of all ICE MSCI Futures and their associated vendor codes can be found here. Contract specifications can be found here.