June Equity Index Products Review

Equity Products Performance

  Product Code June ADV YTD ADV* Open Interest ∆ MoM ADV ∆ MoM Open Interest
Total   3,542,085 3,249,322 9,271,621 36% 1.7%
S&P 500   2,929,836 2,634,811 8,533,694 37% 2%
Futures   2,224,315 2,021,869 3,102,345 41% 1%
E-mini ES 2,201,354 2,007,102 3,016,077 40% 1%
Standard SP 15,323 9,857 86,268 225% 3%
BTIC EST 6,963 4,247 - 106% -
Dividend Future SDA, SDI 676 664 51,767 9% 14%
Options   705,521 612,941 5,431,349 27% 2%
E-mini   635,084 554,324 4,450,420 26% 2%
End-Of-Month EW 100,752 71,919 761,541 61% 3%
Quarterlies ES 340,159 336,267 2,942,634 11% -6%
Weekly EW1 - EW4 194,174 146,138 746,245 46% 51%
Standard   70,437 58,617 980,929 37% 5%
End-Of-Month EV 9,636 7,778 276,226 54% 13%
Flex XP, YP 469 308 17,120 174% -32%
Quarterlies SP 46,367 41,690 592,860 34% -2%
Weekly EV1 - EV4 13,965 8,841 94,723 36% 50%
NASDAQ   284,266 304,802 262,108 19% -14%
Futures   274,771 293,414 193,181 20% -17%
E-mini NQ 274,620 293,268 193,181 20% -17%
BTIC NQT 151 146 - -52% -
Options   9,495 11,388 68,927 -10% -4%
E-mini   9,495 11,388 68,927 -10% -4%
End-Of-Month QNE 822 900 2,305 532% 25%
Quarterlies NQ 6,689 8,210 57,640 -9% -2%
Weekly QN1 - QN4 1,984 2,277 8,982 -35% -21%
DOW JONES   189,155 186,112 116,675 28% -15%
Futures   188,729 185,422 102,849 29% -16%
E-mini YM 188,698 185,399 102,849 29% -16%
BTIC YMT 32 23 - 23% -
Options   425 690 13,826 -30% -10%
E-mini   425 690 13,826 -30% -10%
Quarterlies and Serials YM 307 648 11,341 -42% -24%
Weekly YM1 - YM4 118 42 2,485 58% 417%
S&P 400 - MIDCAP   29,728 23,463 81,260 79% -4%
Futures   29,728 23,463 81,260 79% -4%
E-mini ME 29,728 23,463 81,260 79% -4%
INTERNATIONAL   87,070 88,906 110,585 48% -14%
Futures   87,070 88,906 110,585 48% -14%
Nikkei 225 ENY, N1, NK 86,679 88,165 109,811 49% -14%
Nifty 50 MNF 344 383 774 -14% 2111%
Ibovespa IBV 47 34 281 0% -29%
SECTORS   14,092 6,992 90,841 294% 17%
Futures   14,092 6,992 90,841 294% 17%
Cons. Discr. XAY 1,113 581 9,848 269% 4%
Cons. Staples XAP 3,685 1,569 25,093 487% -19%
Energy XAE 688 454 2,374 160% 22%
Financial XAF 799 646 4,831 260% -18%
Health Care XAV 1,454 627 5,336 293% -20%
Industrial XAI 998 409 9,587 678% 24%
Materials XAB 399 254 1,161 119% -41%
Technology XAK 804 329 4,219 276% 17%
Utilities XAU 2,749 1,258 19,811 233% -
Dow Jones Real Estate JR 1,402 865 8,581 220% -11%
FTSE   121 86 210 158% 37%
Futures   121 86 210 158% 37%
FTSE China 50 FT5 34 44 47 60% -60%
FTSE 100 (GBP) FT1 73 32 153 319% 1175%
FTSE 100 (USD) FTU 9 2 - 300% -
FTSE Emerging EI 5 7 10 -21% -58%
FTSE Developed Europe DVE - 0 - - -
Russell   119 93 967 412% 14%
Futures   119 93 967 412% 14%
Russell 1000 RS1 17 29 32 19% -11%
Russell 1000 Growth RSG 7 17 12 60% -64%
Russell 1000 Value RSV 95 47 923 1938% 18%

* Through June 2016

ADV and Open Interest Trends

  • Equity Index volume averaged 3.5 million contracts per day in June 2016, up 36% month-over-month.
  • Equity Index open interest averaged 7.49 million contracts per day for the month in June 2016, and reached 9.27 million contracts at month-end – representing a 1.7% increase compared to month-end open interest for May 2016.

BTIC on Major Indices

  • BTIC links futures to the cash market close and has been a very positive addition thus far, illustrated by an impressive 625,000+ contracts traded ($63B notional) among 400+ unique accounts since the November 2015 launch. June 24 was the largest volume day with 27,416 BTIC trades ($2.8 B notional). Liquidity continues to build on-screen as 56% of volume has been transacted on CME Globex in 2016.

Equity Options

  • S&P 500 Options: A record 441,993 equity options traded before the U.S. market open on Friday, June 24, making it the third largest equity options volume day of all-time with 1,457,590 contracts traded. E-mini S&P 500 Options ADV of 635,000 for June is +12% compared to 2015 year-end ADV; S&P 500 options ADV of 70,000 for June is +27% compared to 2015 full-year.
  • E-mini NASDAQ-100 Options: The complex continues to flourish in 2016 as June ADV of 9,495 is +88% compared to 2015 year-end ADV. June ADV of 6,689 for Quarterlies is +70% compared to 2015 year-end ADV while ADV of 1,984 for Weeklies is +136 over the same period.

S&P Select Sector Futures

  • June was a record volume month for E-mini S&P Select Sector futures with 279,171 contracts, including a record volume day on June 13 for E-mini S&P Select Sector futures with 93,860 contracts ($5.2 billion). 

International Products

  • Nikkei 225: Nikkei 225 futures grew 11% compared with June 2015, trading an average of 87,000 contracts per day.

Equity Index Products

Explore CME Group's suite of Equity Index products on U.S. and International Indices, Select Sectors, and Options on Futures.

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