ESG Index Derivatives Development Update Q4/2023

The Eurex ESG segment is approaching its 5-year anniversary next month. What began as a place for trading the first derivatives on ESG versions of STOXX benchmark indices is now recognized as the market’s first choice in terms of volume and open interest:

• Confirming liquidity and new records: December posted several new monthly records, representing the best month of the year as for traded contracts (557,455 lots), capitalized volume (more than 12 billion EUR) and notional Open Interest (more than 5.5 billion EUR).
• MSCI ESG Screened Index Futures have shown exceptional growth in December with 117,999 lots traded equivalent to 2.3 billion EUR notional.

Facts & ESG Index Derivatives development highlights Q4/2023

• Total traded volume: 17 billion EUR in Q4 (+11% QoQ) and 66.21 billion EUR in 2023
• Total notional Open Interest (OI): 5.5 billion EUR (+19% QoQ)
• Traded contracts: more than 836,000 in Q4 (+14.6% QoQ) and 3.21 million in 2023
• This amounts to an Average Daily Volume (ADV) of 259.6 million EUR

Derivatives on STOXX Indices

• Over 2.6 million contracts were traded in 2022 and over 2.7 million in 2023
• Proven order book liquidity for our flagship product, the STOXX® Europe 600 ESG-X Futures, with major activity on the best bid/ask level 
• EURO STOXX 50® ESG Options (including weeklies) reached 336,000+ traded contracts and 5.1 billion notional

Derivatives on MSCI Indices

• Total traded volume: over 2.6 billion EUR in Q4 2023 (+53.5% QoQ)
• Open Interest across all ESG Index Derivatives on MSCI at the end of Q4 stands at 50,479 contracts, a 35% growth compared to the end of Q3 OI, for a total capitalized OI of over 1.1 billion EUR (+35.5% QoQ)

Aiming to serve new user groups with stricter ESG mandates and building on the positive development Eurex will further expand its offering to Socially Responsible Investing (SRI) indexes as of 22 January. The new Futures will cover SRI versions of the STOXX Europe 600 and MSCI Europe, USA, World and EM. Interested exchange participants find further information in Eurex Circular 109/2023.

Index Changes – Results of STOXX Market Consultation

STOXX Ltd. has announced on 24 November 2023 the results of the market consultation effecting the EURO STOXX 50 Low Carbon and the STOXX Europe Climate Awareness Ex Global Compact Controversial Weapons & Tobacco indices. All suggested changes have been agreed on by the participants and will be implemented in March 2024.

As part of the upcoming methodology enhancements STOXX decided to:

• Apply additional screens effecting Norms Based Screening, Controversial Weapons, Tobacco, Thermal Coal, Civilian Firearms, Military and Unconventional Oil & Gas Involvement 
• Change the annual review from December to March
• Amend the Carbon Intensity data provider to ISS ESG from CDP

For details on the index methodology changes, please refer to STOXX website.

View our entire ESG Index Derivatives offering and discover the detailed daily and month-end statistics of all ESG Index Derivatives.