08 Feb 2023


Strong start for Index Total Return Futures

Index Total Return Futures (TRF) started 2023 strong, with more than 1 million SX5E index TRF trading in January. This was possibly due to the unwinding of "short Europe" positions held into year-end with OI up to 2.3 million contracts.

The FTSE 100 TRF also saw a strong first month, with 105k traded in January. This was just off from December's record month. The open interest in the contract climbed to a high of 240k contracts (GBP 19 billion notional.) The SD3E 30 TRF saw a record trading month and a high open interest at 77k contracts. The majority is across the longer tenors (Dec24 - Dec27 expiries), suggesting the volume is related to structured product hedging. 

Finally, the SX7E (Banks) TRF also had a record January with 274k contracts traded and with quotes for Jun 23 of +110 bps (negative repo) vs. +71 bps for Dec28. This is due to the impact of higher levels of bank dividends, with OI reaching a record level of ca.600k contracts.

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