Eurex ESG Derivatives Have Successful March Roll

Last week’s quarterly rollover, when March’s futures positions were carried forward to the June expiry, has shown that high interest in ESG continues despite turbulent markets.

The March contract in STOXX® Europe 600 ESG-X Futures recorded an open interest of about 50,500 contracts, valued at over EUR 700 million, as of the end of February. On 23 March, after clients rolled existing positions, open interest in the June expiry stood at 43,000 contracts. This suggests that a high proportion of March contracts were transferred into June.

Vassilis Vergotis, Global Head of Product Design and Strategy for Equity, Index and Digital Assets an Eurex, states: “The current market environment is a first crucial test for the segment. The high percentage of rolled contracts shows that ESG is not just a flash-in-the-pan. Despite the crisis, with their increased participation in this segment, investors are continuing to emphasize the value of sustainable investing.”

Average daily volume stands at over 14k contracts for March compared to a daily average of about 6,200 contracts since launch in February 2019. Liquidity providers have continuously offered on-screen and off-book prices to support the roll.

A comparison of performance between the STOXX Europe 600 benchmark index and its ESG version shows that – as expected – traditional and ESG-X benchmarks continue to behave almost identically from risk and return perspectives.

Source: Eurex

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