09 Jun 2020

Eurex Exchange

MSCI Roll Update June 2020

330,000 MSCI futures traded over past 2 days (June 8, Monday to June 9, Tuesday); Total OI over USD 120 Billion

Facts & Figures 

  • MSCI EM Asia (ZTW) traded 88,000 contracts in the last two days. Total open interest across expiries is at over USD 20 billion.
  • MSCI Japan traded 41,000 contracts in the last two days. The roll just started to get active – orderbooks in MSCI are actively quoted. Next to that, most flows were observed in:
    • MSCI EM (ZTS)
    • MSCI EM LatAM (ZUL)
    • MSCI EM Price (RBE)
    • MSCI Taiwan (N/A)
    • MSCI China (ZUY)
    • MSCI India (ZVL)

Find out more about MSCI derivatives here.

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