August Equity Index Products Review

Equity Products Performance

  Product Code August ADV YTD ADV* Open Interest
Total   2,335,621 3,043,238 9,878,657
S&P 500   1,965,160 2,484,603 8,965,132
Futures   1,457,638 1,890,110 3,152,104
E-mini ES 1,449,334 1,876,417 3,052,142
Standard SP 4,114 8,497 99,962
BTIC EST 4,029 4,645 -
Dividend Future SDA, SDI 160 551 52,017
Options   507,522 594,493 5,813,028
E-mini   469,192 539,379 5,027,939
End-Of-Month EW 70,155 74,930 1,187,459
Quarterlies and Serials ES 256,530 248,391 2,554,768
Weekly EW1 - EW4 142,508 216,058 1,447,247
Standard   38,330 55,113 785,089
End-Of-Month EV 5,140 8,152 254,215
Flex XP, YP 131 276 24,340
Quarterlies and Serials SP 10,673 27,589 295,868
Weekly EV1 - EV4 22,368 19,096 231,496
NASDAQ   185,900 276,077 400,433
Futures   176,488 265,439 305,439
E-mini NQ 176,191 265,278 305,439
BTIC NQT 298 160 -
Options   9,412 10,638 94,994
E-mini   9,412 10,638 94,994
End-Of-Month QNE 843 945 11,907
Quarterlies and Serials NQ 2,623 7,237 60,607
Weekly QN1 - QN4 5,946 2,457 24,471
DOW JONES   115,020 169,740 157,216
Futures   114,851 169,163 145,674
E-mini YM 114,838 169,135 145,674
BTIC YMT 13 28 -
Options   168 578 11,542
E-mini   168 578 11,542
Quarterlies and Serials YM 102 529 11,231
Weekly YM1 - YM4 67 49 365
S&P 400 - MIDCAP   13,618 21,140 85,946
Futures   13,618 21,140 85,946
E-mini ME 13,618 21,140 85,946
INTERNATIONAL   49,201 88,906 103,455
Futures   49,201 88,906 103,455
Nikkei 225 ENY, N1, NK 48,535 80,940 103,396
Nifty 50 MNF 630 404 624
Ibovespa IBV 35 33 207
SECTORS   3,749 5,459 58,030
Futures   3,749 5,459 58,030
Cons. Discr. XAY 155 499 10,558
Cons. Staples XAP 868 1,340 12,561
Energy XAE 558 456 3,591
Financial XAF 207 539 5,979
Health Care XAV 294 544 5,963
Industrial XAI 68 338 11,217
Materials XAB 197 256 3,404
Real Estate XAR 0 0 -
Technology XAK 110 283 4,757
Utilities XAU 1,292 1,203 -
Dow Jones Real Estate JR 436 794 11,124
FTSE   55 83 213
Futures   55 83 213
FTSE China 50 FT5 31 41 155
FTSE 100 (GBP) FT1 17 32 48
FTSE 100 (USD) FTU 2 2 -
FTSE Emerging EI 5 7 10
FTSE Developed Europe DVE - 0 -
Russell   16 23 921
Futures   16 23 921
Russell 1000 RS1 3 23 6
Russell 1000 Growth RSG 3 - 7
Russell 1000 Value RSV 10 - 908

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 2.31 million contracts per day in August 2016, down 37% from August 2015.
  • Equity Index open interest averaged 9.72 million contracts per day for the month of August, and reached 9.88 million contracts at month-end – representing a 12.4% increase compared to August 2015 month-end open interest.

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 ~890,000 contracts traded ($91B notional) among 560+ unique accounts since the November 2015 launch. Significant BTIC volume days have occurred on the last trading day of each month, including 15,676 BTIC trades ($1.7 billion notional value) on August 31. 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 594,493 through August is +8.5% compared to 2015 full-year ADV; S&P 500 options ADV of 55,113 through August is +19% compared to 2015 full-year ADV. Tremendous growth continues in End-of-Month E-mini S&P 500 options – August ADV of 70,155 represents a 25% increase compared to 2015 full-year ADV.
  • E-mini NASDAQ-100 Options: E-mini NASDAQ-100 options ADV of 276,077 through August is +1.3% compared to 2015 full-year ADV. August ADV of 3,667 for Weekly options is +74% compared to 2015 full-year ADV while End-of-Month options ADV of 843 is +69% 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 3,749 contracts per day in August, representing a 44% increase compared to August 2015. CME also launched Real Estate Select Sector futures on August 29 to coincide with the creation and spinoff of Real Estate GICS from Financials.

E-mini Volume Incentive Program (VIP)

  • The E-mini VIP was fully-funded for the third 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.

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