November Equity Index Products Review

Equity Products Performance

 

Product Code

November ADV

YTD ADV*

Open Interest

Total

 

3,179,553

3,080,547

8,899,244

S&P 500

 

2,620,211

2,523,379

8,042,361

Futures

 

1,827,230

1,898,691

3,201,197

E-mini

ES

1,813,462

1,884,716

3,056,171

Standard

SP

5,333

8,427

90,196

BTIC

EST

7,964

5,027

-

Dividend Future

SDA, SDI

471

496

50,779

Total Return Futures

TRI, CTR

-

24

4,051

Options

 

792,981

624,688

4,841,164

E-mini

 

740,065

571,585

4,224,589

End-Of-Month

EW

105,532

80,583

585,826

Quarterlies and Serials

ES

206,425

227,121

2,380,477

Wed. Weekly

E1C-E5C

52,368

7,015

39,877

Weekly

EW1 - EW4

375,740

256,867

1,218,409

Standard

 

52,916

53,103

616,575

End-Of-Month

EV

7,647

8,213

136,788

Flex

XP, YP

1,043

355

29,520

Quarterlies and Serials

SP

13,792

22,549

247,099

Wed. Weekly

S1C-S5C

3,037

496

2,711

Weekly

EV1 - EV4

27,396

21,489

200,457

NASDAQ

 

266,534

275,668

317,282

Futures

 

256,987

265,255

251,112

E-mini

NQ

256,617

265,067

251,112

BTIC

NQT

370

188

-

Options

 

9,547

10,413

66,170

E-mini

 

9,547

10,413

66,170

End-Of-Month

QNE

387

972

4,320

Quarterlies and Serials

NQ

2,757

5,634

45,036

Weekly

QN1 - QN4

6,403

3,807

16,814

DOW JONES

 

185,563

172,058

154,655

Futures

 

185,123

171,551

145,081

E-mini

YM

185,034

171,510

145,081

BTIC

YMT

89

41

-

Options

 

440

507

9,574

E-mini

 

440

507

9,574

Quarterlies and Serials

YM

245

434

8,975

Weekly

YM1 - YM4

195

73

599

S&P 400 - MIDCAP

 

16,799

21,071

88,153

Futures

 

16,799

21,071

88,153

E-mini

ME

16,799

21,071

88,153

INTERNATIONAL

 

77,532

88,906

114,354

Futures

 

77,532

88,906

114,354

Nikkei 225

ENY, N1, NK

76,968

76,762

113,720

Nifty 50

MNF

528

499

634

Ibovespa

IBV

35

34

188

SECTORS

 

8,724

6,719

84,750

Futures

 

8,724

6,719

84,750

Cons. Discr.

XAY

699

577

7,911

Cons. Staples

XAP

873

1,270

8,186

Energy

XAE

828

534

3,985

Financial

XAF

1,014

624

13,162

Health Care

XAV

947

564

5,428

Industrial

XAI

1,283

488

16,808

Materials

XAB

645

318

3,687

Real Estate

XAR

237

28

3,466

Technology

XAK

240

300

3,962

Utilities

XAU

1,116

1,158

7,475

Dow Jones Real Estate

JR

842

860

10,680

FTSE

 

107

83

329

Futures

 

107

83

329

FTSE China 50

FT5

75

44

253

FTSE 100 (GBP)

FT1

29

30

55

FTSE 100 (USD)

FTU

0

2

-

FTSE Emerging

EI

3

6

21

FTSE Developed Europe

DVE

-

0

-

Russell

 

14

66

865

Futures

 

14

66

865

Russell 1000

RS1

4

18

19

Russell 1000 Growth

RSG

6

12

64

Russell 1000 Value

RSV

4

35

782

 * Through November 2016  

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 3.18 million contracts per day in November 2016, up 34% from November 2015.
  • Equity Index open interest averaged 9.13 million contracts per day for the month of November, and finished the month with 8.90 million contracts outstanding – representing a 15.6% increase compared to November 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 1.25 million contracts traded ($125B notional) among 630+ unique accounts since the November 2015 launch. November was a record ADV month (~8,000 contracts), highlighted by the 2nd highest volume day on November 30 with 24,017 EST contracts. Liquidity continues to build on-screen as 62% of volume has been transacted on CME Globex in 2016.

Equity Options

  • S&P 500 Options: E-mini S&P 500 Options ADV of 571,585 through November is +14% compared to 2015 full-year ADV; S&P 500 options ADV of 53,103 through November is +15% compared to 2015 full-year ADV. New Wednesday S&P 500 and E-mini S&P 500 options continue to flourish, and have traded 1.7 million+ contracts since launch in Q3 2016. The U.S. presidential election also led to a surge in options activity, including:
    • A record S&P 500 Weekly Options volume day (984,450 contracts) on November 9.
    • A record 654,367 S&P 500 options traded before the U.S. market open on November 9.

S&P Select Sector Futures

  • The E-mini S&P Select Sector complex continues to flourish, averaging 7,881 contracts in November – a 200% increase compared to November 2015. Open interest averaged 74,859 contracts per day for the month ($4.6 billion notional), representing a 78% increase compared to November 2015 average open interest.

E-mini Volume Incentive Program (VIP)

  • The E-mini VIP was fully-funded for the sixth consecutive month since being implemented in June 2016. The program 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. CME revised the program (starting December 1), allowing non-member participation and increasing the monthly incentive pool.

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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