ESG Futures – S&P 500 and STOXX 600

In my recent article, ESG Investments – A first look at the detail, I noted that two of the major Equity Index Futures contracts, CME S&P 500 and Eurex STOXX 600 have ESG screened variants. In today’s article I look at the volume and open interest of these contracts.

CME S&P 500 ESG

Starting with CME E-mini S&P 500 ESG Futures, which we now have in CCPView.

CME E-mini S&P 500 ESG volumes (usd millions)
  • Monthly volume ranging from a high of $3.3 billion in Dec-20 to a low of $1.5 billion in Jan-21, for the selected four month period
  • ADV of between $70 million to $140 million or 450 to 900 contracts.

Open Interest as of March 12, 2021 was 7,198 contracts or $1.2 billion.

Eurex STOXX 600 ESG-X

Next, lets look at Eurex STOXX 600 ESG-X in CCPView.

Eurex STOXX 600 ESG-X volumes (eur millions)
  • Monthly volume ranging from a high of €3.3 billion in Dec-20 to a low of €475 million in Jan-21
  • ADV of between €23 million to €145 million or 1,500 to 9,900 contracts.

Open Interest as of March 12, 2021 was 85,045 contracts or €1.3 billion.

Comparisons

Both contracts with similar volume and just to check, we can chart together.

Monthly volume in usd millions
  • S&P 500 ESG with a cumulative $8.9 billion over the four months.
  • STOXX 600 ESG-X with a cumulative $6.5 billion
  • S&P 500 with higher volume each month except for Dec-20

If we were to switch to a daily volume view, we would see volume on every single day in our period, further demonstrating the market adoption that these two contracts have now achieved.

Comparing to the Benchmark

The real test for the ESG Futures is to compare their volume and open interest to the main contract, for CME that is the S&P 500 Future with it’s three variants, E-Mini, Micro E-Mini and S&P 500.

In Volume terms it is not a contest with over $6 trillion of monthly volume in the CME S&P 500 Futures compared to the $1.5-$3.3 billion in the ESG, so less than 0.05%. While in open interest terms the ESG contract is a shade higher at 0.2%.

CME S&P 500 Futures are one of the largest contracts in the world, with massive volume and liquidity, so it is not surprising that the ESG contract, which launched in 4Q 2019 only represents such a low percentage in comparison.

STOXX 600 ESG-X volumes however are worth a chart.

Eurex STOXX 600 and ESG-X (eur millions)
  • STOXX 600 in the range €22 billion to €42 billion
  • STOXX 600 ESG-X in the range €0.5 billion to €3.3 billion
  • STOXX 600 ESG-X volumes ranging from 1.95% to 7% of STOXX 600

While open interest on March 12, 2021 was STOXX 600 ESG-X €1.3 billion vs STOXX 600 €10.5 billion, or 13%.

Good to see such high share, even allowing for the fact that Eurex STOXX 600 is not the largest Equity Index Future at Eurex, which is STOXX 50, followed by DAX 50 and while these each have ESG variants, those variants are yet to gain material volume or open interest.

For further reading on the S&P 500 and STOXX 600 ESG Futures, please see this article by optiver.

That’s It

That’s all I have time for today.

We will continue to look at ESG Futures and Options.

Options at CBOE S&P 500 ESG and Eurex STOXX 600 ESG-X.

Futures at Euronext, ICE, Nasdaq OMX, SGX.

And check how volumes develop.

ESG Investments and Derivatives are set to increase.

Standardization of ESG Disclosures will certainly help.

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