I happened to glance at the top 10 underlyings in derivatives trading at NSE and saw this:
I remember not so long ago, when the only thing that traders in India could think about was individual stocks. At the time, it was extremely difficult to get them interested in macro underlyings.
I find it quite striking that now, the top underlyings are Nifty (i.e. Indian macro), the INR/USD (i.e. Indian macro), mini Nifty (also Indian macro) and Bank Nifty (an industry and not an individual security). I find the sophistication of industry analysis that's now found in India to be a big step away from the way things were a few years ago, when there was only security analysis and no industry analysis.
The biggest things in modern finance are macro underlyings and not individual companies or commodities. I feel that while this transformation has taken place in trading, there is still some distance to cover in terms of bringing macroeconomic thinking into the hands of the people trading Nifty. People who trade currencies and interest rates explicitly think macro, but most of the people who trade Nifty don't seem to do this explicitly.
I remember a long time ago, when equity derivatives were still something to argue about in Indian public policy debates, I used to have a vivid sense that individual stock futures would readily tap into the capability for leveraged trading on individual stocks that existed because of `badla'. But shifting from that to index derivatives was going to require new ways of thinking. You might find this article of mine, from 1997, to be mildly amusing. Today it's all obvious, but back then it was not.
Market microstructure theory has some important messages about why macro underlyings become more liquid than securities issued by firms. With firms, there is always more asymmetric information, which leads to bigger spreads (or bigger impact cost). With macro underlyings, informational asymmetries are smaller, which gives better liquidity.