October Equity Index Products Review

Equity Products Performance

  Product Code October ADV YTD ADV* Open Interest
Total   2,600,839 3,070,647 8,755,241
S&P 500   2,137,751 2,533,048 7,901,930
Futures   1,554,381 1,905,934 3,167,075
E-mini ES 1,544,255 1,891,841 3,028,114
Standard SP 4,550 8,736 81,373
BTIC EST 4,897 4,734 -
Dividend Future SDA, SDI 414 499 53,537
Total Return Futures   264 123 4,051
Options   583,370 627,114 4,734,855
E-mini   539,841 572,282 4,177,373
End-Of-Month EW 64,548 78,088 645,198
Quarterlies and Serials ES 89,533 229,191 1,671,599
Wed. Weekly E1C-E5C 22,569 20,024 58,878
Weekly EW1 - EW4 363,191 244,980 1,801,698
Standard   43,529 54,832 557,482
End-Of-Month EV 6,420 8,270 78,963
Flex XP, YP 301 287 25,440
Quarterlies and Serials SP 4,083 23,425 119,298
Wed. Weekly S1C-S5C 2,285 1,952 8,641
Weekly EV1 - EV4 30,440 20,898 325,140
NASDAQ   233,656 276,581 372,650
Futures   224,570 266,081 317,273
E-mini NQ 224,434 265,911 317,273
BTIC NQT 137 170 -
Options   9,086 10,500 55,377
E-mini   9,086 10,500 55,377
End-Of-Month QNE 307 1,030 653
Quarterlies and Serials NQ 1,572 5,921 28,191
Weekly QN1 - QN4 7,206 3,548 26,533
DOW JONES   156,159 170,707 127,099
Futures   155,905 170,194 119,151
E-mini YM 155,871 170,158 119,151
BTIC YMT 35 37 -
Options   254 513 7,948
E-mini   254 513 7,948
Quarterlies and Serials YM 126 453 7,315
Weekly YM1 - YM4 128 60 633
S&P 400 - MIDCAP   16,030 21,499 82,842
Futures   16,030 21,499 82,842
E-mini ME 16,030 21,499 82,842
INTERNATIONAL   50,469 88,906 96,884
Futures   50,469 88,906 96,884
Nikkei 225 ENY, N1, NK 49,778 76,742 96,478
Nifty 50 MNF 633 496 406
Ibovespa IBV 57 34 233
SECTORS   4,014 6,519 87,134
Futures   4,014 6,519 87,134
Cons. Discr. XAY 320 564 11,546
Cons. Staples XAP 509 1,310 13,263
Energy XAE 477 505 4,465
Financial XAF 525 585 10,063
Health Care XAV 270 526 4,060
Industrial XAI 171 408 12,618
Materials XAB 215 285 4,089
Real Estate XAR 23 7 188
Technology XAK 103 305 4,227
Utilities XAU 736 1,162 12,532
Dow Jones Real Estate JR 664 861 10,083
FTSE   68 80 173
Futures   68 80 173
FTSE China 50 FT5 38 41 105
FTSE 100 (GBP) FT1 26 31 43
FTSE 100 (USD) FTU - 2 -
FTSE Emerging EI 3 7 25
FTSE Developed Europe DVE - 0 -
Russell   9 71 860
Futures   9 71 860
Russell 1000 RS1 6 20 18
Russell 1000 Growth RSG 1 13 64
Russell 1000 Value RSV 2 39 778

 * Through October 2016  

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 2.62 million contracts per day in October 2016, down 4% from October 2015.
  • Equity Index open interest averaged 8.98 million contracts per day for the month of October, and finished the month at 8.76 million contracts – representing a 11.6% increase compared to October 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, with over 1 million contracts traded ($111B notional) among 600+ unique accounts since the November 2015 launch. Liquidity continues to build on-screen as 60% of volume has been transacted on CME Globex in 2016.

Equity Options

  • S&P 500 Options: E-mini S&P 500 options ADV of 554,737 through October is +11% compared to 2015 full-year ADV; S&P 500 options ADV of 53,122 through October is +15% 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 have traded nearly 600,000 contracts since launch.

S&P Select Sector Futures

  • The E-mini S&P Select Sector complex averaged 3,350 contracts per day in October, bringing the year-to-date ADV to 5,658 contracts – representing a 64% increase compared to 2015 full-year. Open interest averaged 65,577 contracts per day for the month ($3.92 billion notional), representing a 58% increase compared to October 2015 average open interest.

S&P 500 Total Return Futures

  • CME launched S&P 500 Total Return Index futures and S&P 500 Carry Adjusted Total Return Index futures on August 29 to help market participants mitigate costs and find efficiencies related to new uncleared swap margin rules. Market participants have begun to adopt the new total return futures as ~6,000 contracts have traded among 11 unique accounts since the launch.

E-mini Volume Incentive Program (VIP)

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

Equity Index Products

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