September Equity Index Products Review

Equity Products Performance

 

Product Code

September ADV

YTD ADV*

Open Interest

Total   2,335,621 3,043,238 8,370,783
S&P 500   1,965,160 2,484,603 7,547,948
Futures   1,457,638 1,890,110 3,023,804
E-mini ES 1,449,334 1,876,417 2,908,417
Standard SP 4,114 8,497 63,127
BTIC EST 4,029 4,645 -
Dividend Future SDA, SDI 160 551 52,257
Total Return Futures       3
Options   746,813 620,208 4,524,144
E-mini   699,609 565,481 3,999,667
End-Of-Month EW 116,887 79,592 600,012
Quarterlies and Serials ES 215,246 244,708 1,208,345
Wed. Weekly E1C-E5C 9,336 9,336 32,123
Weekly EW1- EW4 358,141 231,845 2,159,187
Standard   47,204 54,727 524,477
End-Of-Month EV 11,068 8,476 40,381
Flex XP, YP 353 285 19,120
Quarterlies and Serials SP 9,451 25,574 65,472
Wed. Weekly S1C-S5C 554 554 2,718
Weekly EV1- EV4 25,778 19,838 396,786
NASDAQ   323,540 281,350 357,445
Futures   312,733 270,694 302,756
E-mini NQ 312,454 270,520 302,756
BTIC NQT 279 174 -
Options   10,806 10,657 54,689
E-mini   10,806 10,657 54,689
End-Of-Month QNE 2,437 1,111 1,491
Quarterlies and Serials NQ 2,949 6,405 11,673
Weekly QN1- QN4 5,421 3,141 41,525
DOW JONES   192,992 172,324 137,701
Futures   192,735 171,782 129,748
E-mini YM 192,624 171,745 129,748
BTIC YMT 110 37 -
Options   258 542 7,953
E-mini   258 542 7,953
Quarterlies and Serials YM 170 489 6,590
Weekly YM1- YM4 87 53 1,363
S&P 400- MIDCAP   29,835 22,106 84,348
Futures   29,835 22,106 84,348
E-mini ME 29,835 22,106 84,348
INTERNATIONAL   71,236 88,906 83,588
Futures   71,236 88,906 83,588
Nikkei 225 ENY, N1, NK 70,117 79,738 82,911
Nifty 50 MNF 1,094 480 677
Ibovespa IBV 25 32 138
SECTORS   9,558 5,914 46,432
Futures   9,558 5,914 46,432
Cons. Discr. XAY 1,328 592 10,902
Cons. Staples XAP 1,871 1,399 11,605
Energy XAE 919 508 3,860
Financial XAF 1,012 592 6,049
Health Care XAV 634 554 2,592
Industrial XAI 1,207 434 -
Materials XAB 584 293 -
Real Estate XAR 51 6 11,424
Technology XAK 692 328 -
Utilities XAU 1,260 1,210 -
Dow Jones Real Estate JR 1,595 883 10,826
FTSE   68 81 151
Futures   68 81 151
FTSE China 50 FT5 40 41 89
FTSE 100 (GBP) FT1 21 31 53
FTSE 100 (USD) FTU - 2 -
FTSE Emerging EI 8 7 9
FTSE Developed Europe DVE - 0 -
Russell   110 21 895
Futures   110 21 895
Russell 1000 RS1 12 21 35
Russell 1000 Growth RSG 12 - 76
Russell 1000 Value RSV 86 - 784

 * Through September 2016  

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 3.76 million contracts per day in September 2016, down 3% from September 2015.
  • Equity Index open interest averaged 9.45 million contracts per day for the month of September, and finished the month at 8.36 million contracts – representing a 5.7% increase compared to September 2015 month-end open interest.

Sep-Dec S&P 500 Futures Roll

The Sep-Dec S&P 500 futures roll averaged Libor+1 bps, bringing the average roll cost for the last four quarters to Libor –11bps. Although this roll period was volatile, starting cheap (L-12bps) before trading slightly rich (L+3bps at the high point), the futures cost advantage relative to ETFs still holds true across all scenarios.

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 1 million contracts traded ($98B notional) among 600+ unique accounts since the Nov. 2015 launch. BTIC volume spikes have typically occurred on the last trading day of each month, including a Globex record 15,711 BTIC trades on September 30th. Liquidity continues to build on-screen as 58% of volume has been transacted on Globex in 2016.

Equity Options

  • S&P 500 Options: E-mini S&P 500 Options ADV of 556,392 through September is +11% compared to 2015 full-year ADV; S&P 500 options ADV of 54,188 through September is +17% compared to 2015 full-year ADV. Tremendous growth continues in End-of-Month E-mini S&P 500 options – September ADV of 116,887 represents a 52% increase compared to 2015 full-year ADV. CME also launched Wednesday expirations to complement the traditional Friday weekly expirations for S&P 500 and E-mini S&P 500 options, and the new options achieved over 10,000 ADV in the first week of trading.

S&P Select Sector Futures

  • The E-mini S&P Select Sector complex averaged 9,558 contracts per day in September, bring the year-to-date ADV to ~6,000 contracts – representing a 71% increase compared to 2015 full-year. Open interest averaged 70,220 contracts per day for the month, representing a 46% increase compared to September 2015 average open interest.

E-mini Volume Incentive Program (VIP)

  • The E-mini VIP was fully-funded for the fourth 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

  • NIFTY 50:  The NIFTY 50 futures contract continues to flourish as September ADV of 1,094 contracts represents a 500% increase compared to September 2015 ADV. There were 10 days during the month where over 1,000 contracts traded. Month-end open interest also grew to 677 contracts ($23 billion notional value). 

Equity Index Products

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