We look at the Nasdaq 100 Futures Excess Return (ER) Index and a variant of this strategy with a volatility control and decrement feature.

The adoption of the index linked to E-mini Nasdaq 100 futures contracts has been slow in structured products since its inception on 1 April 2024, unlike the S&P 500 Futures Excess Return (ER) Index . The Nasdaq-100 Futures Excess Return Index (NDXNQER) is designed to measure the performance of the nearest expiring quarterly E-mini Nasdaq 100 futures contract trading on the Chicago Mercantile Exchange (CME). Meanwhile, Citi has licensed the index targeting a 35% or 40% volatility level with