July Equity Index Products Review

Equity Products Performance

  Product Code July ADV YTD ADV* Open Interest
Total   2,568,967 3,155,480 9,155,447
S&P 500   2,143,164 2,566,997 8,285,337
Futures   1,563,958 1,958,709 3,029,017
E-mini ES 1,550,781 1,944,161 2,932,036
Standard SP 7,836 9,192 96,981
BTIC EST 5,041 4,743 -
Dividend Future SDA, SDI 299 613 53,657
Options   579,207 608,288 5,256,320
E-mini   526,692 550,512 4,477,149
End-Of-Month EW 99,239 75,688 598,114
Quarterlies and Serials ES, EW3 293,692 330,394 3,219,004
Weekly EW1, EW2, EW4 133,761 144,431 660,031
Standard   52,514 57,776 779,171
End-Of-Month EV 13,949 8,629 189,266
Flex XP, YP 246 300 22,040
Quarterlies and Serials SP, EV3 30,008 40,079 492,493
Weekly EV1, EV2, EV4 8,311 8,768 75,372
NASDAQ   200,249 290,381 346,864
Futures   192,888 279,548 277,359
E-mini NQ 192,794 279,410 277,359
BTIC NQT 93 139 -
Options   7,362 10,833 69,505
E-mini   7,362 10,833 69,505
End-Of-Month QNE 1,341 961 800
Quarterlies and Serials NQ, QN3 3,836 7,607 51,527
Weekly QN1, QN2, QN4 2,185 2,265 17,178
DOW JONES   130,346 178,420 151,453
Futures   130,000 177,778 141,021
E-mini YM 129,930 177,748 141,021
BTIC YMT 70 30 -
Options   346 643 10,432
E-mini   346 643 10,432
Quarterlies and Serials YM, YM3 285 598 10,244
Weekly YM1, YM2, YM4 61 44 188
S&P 400 - MIDCAP   15,274 22,333 82,317
Futures   15,274 22,333 82,317
E-mini ME 15,274 22,333 82,317
INTERNATIONAL   73,338 88,906 111,858
Futures   73,338 88,906 111,858
Nikkei 225 ENY, N1, NK 73,047 86,080 111,125
Nifty 50 MNF 271 368 733
Ibovespa IBV 19 32 266
SECTORS   4,008 6,581 97,055
Futures   4,008 6,581 97,055
Cons. Discr. XAY 390 554 10,156
Cons. Staples XAP 449 1,415 24,511
Energy XAE 354 440 2,797
Financial XAF 253 592 5,429
Health Care XAV 315 584 5,539
Industrial XAI 202 381 10,802
Materials XAB 337 266 3,119
Technology XAK 188 310 4,709
Utilities XAU 756 1,189 20,706
Dow Jones Real Estate JR 764 851 9,287
FTSE   97 88 223
Futures   97 88 223
FTSE China 50 FT5 34 43 113
FTSE 100 (GBP) FT1 54 35 93
FTSE 100 (USD) FTU 2 2 -
FTSE Emerging EI 8 7 17
FTSE Developed Europe DVE - 0 -
RUSSELL   18 41 978
Futures   18 41 978
Russell 1000 RS1 5 26 16
Russell 1000 Growth RSG 6 16 34
Russell 1000 Value RSV 7 - 928

* Through July 2016

ADV and Open Interest Trends

  • Equity Index volume averaged 2.57 million contracts per day in July 2016, up 1% from July 2015.
  • Equity Index open interest averaged 9.7 million contracts per day for the month of July, and reached 9.16 million contracts at month-end – representing an 11.8% increase compared to month-end open interest for July 2015.

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 785,000+ contracts traded ($80B notional) among 470+ unique accounts since the November 2015 launch. July 29 was the second-highest volume day with 21,788 BTIC trades ($2.4B notional value). Liquidity continues to build on-screen as 56% of volume has been transacted on CME Globex in 2016.

Equity Options

  • S&P 500 Options: E-mini S&P 500 Options ADV of 526,692 for July is +5% compared to 2015 full-year ADV; S&P 500 options ADV of 52,514 for July is +13% compared to 2015 full-year ADV. Tremendous growth continues in End-of-Month E-mini S&P 500 options – July ADV of 99,239 is +89% compared to 2015 full-year ADV.
  • E-mini NASDAQ-100 Options: The complex continues to flourish in 2016 as July ADV of 7,362 is +21% compared to 2015 full-year ADV. July ADV of 2,185 for Weekly options is +126% compared to 2015 full-year ADV while ADV of 1,341 for End-of-Month options is +400% over the same period.

S&P Select Sector Futures

  • After a record volume month in June of ~280,000 contracts, the E-mini S&P Select Sector complex averaged 3,244 contracts per day in July, a 77% increase compared to July 2015.

E-mini Volume Incentive Program (VIP)

  • The E-mini VIP was fully-funded for the second consecutive month since being implemented in June 2016. The new program, available to all member firms, features a monthly incentive pool with pro-rata scoring for participants that exceed certain ADV thresholds in E-mini S&P Select Sectors and E-mini FTSE Russell Index futures.

International Products

  • Nikkei 225  Nikkei 225 futures ADV grew 26% compared to June 2015, trading an average of ~73,000 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.

Learn More

Read More Reports

Review previous months' equity reports over the last year.

View Archived Reports

About CME Group

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. Comprised of four exchanges - CME, CBOT, NYMEX and COMEX - we offer the widest range of global benchmark products across all major asset classes, helping businesses everywhere mitigate the myriad of risks they face in today's uncertain global economy.

Follow us for global economic and financial news.

CME Group on Twitter

CME Group on Facebook

CME Group on LinkedIn