December Equity Index Products Review

Equity Products Performance

  Product Code December ADV YTD ADV* Open Interest
Total   2,835,273 3,068,885 7,492,400
S&P 500   2,372,522 2,510,808 6,832,774
Futures   1,735,864 1,885,122 2,909,366
E-mini ES 1,712,863 1,870,395 2,796,278
Standard SP 13,641 8,861 65,886
BTIC EST 8,466 5,314 -
Dividend Future SDA, SDI 888 529 47,153
Total Return Futures TRI, CTR 5 22 49
Options   636,659 625,686 3,923,408
E-mini   594,773 573,518 3,453,996
End-Of-Month EW 108,738 82,929 459,786
Quarterlies and Serials ES 184,140 223,540 1,071,102
Wed. Weekly E1C-E5C 44,548 10,142 82,465
Weekly EW1 - EW4 257,347 256,907 1,840,643
Standard   41,885 52,168 469,412
End-Of-Month EV 8,203 8,213 110,218
Flex XP, YP 477 366 3,860
Quarterlies and Serials SP 11,502 21,629  28,514
Wed. Weekly S1C-S5C 820 523 840
Weekly EV1 - EV4 20,883 21,439 325,980
NASDAQ   220,899 271,103 264,573
Futures   213,153 260,913 225,834
E-mini NQ 212,825 260,713 225,834
BTIC NQT 328 200 -
Options   7,746 10,191 38,739
E-mini   7,746 10,191 38,739
End-Of-Month QNE 1,947 1,053 654
Quarterlies and Serials NQ 1,909 5,323 7,368
Weekly QN1 - QN4 3,890 3,814 30,717
DOW JONES   139,904 169,378 145,387
Futures   139,405 168,872 136,966
E-mini YM 139,343 168,829 136,966
BTIC YMT 62 43 -
Options   498 506  8,421
E-mini   498 506 8,421
Quarterlies and Serials YM 284 421 4,607
Weekly YM1 - YM4 214 85 3,814
S&P 400 - MIDCAP   25,631 21,451 95,961
Futures   25,631 21,451 95,961
E-mini ME 25,631 21,451 95,961
INTERNATIONAL   64,986 88,906 84,714
Futures   64,986 88,906 84,714
Nikkei 225 ENY, N1, NK 64,849 75,770 83,602
Nifty 50 MNF 92 465 1,112
Ibovespa IBV 45 35 215
SECTORS   11,051 7,080 67,601
Futures   11,051 7,080 67,601
Cons. Discr. XAY 844 599 4,740
Cons. Staples XAP 1,059 1,253 7,149
Energy XAE 877 562 4,279
Financial XAF 1,442 692 12,853
Health Care XAV 787 583 4,397
Industrial XAI 991 530 7,696
Materials XAB 588 340 2,046
Real Estate XAR 366 56 2,230
Technology XAK 582 323 3,771
Utilities XAU 1,471  1,184 6,421
Dow Jones Real Estate JR 2,044 958 12,019
FTSE   86 83 278
Futures   86 83 278
FTSE China 50 FT5 56 45 270
FTSE 100 (GBP) FT1 28 30 6
FTSE 100 (USD) FTU - 1 -
FTSE Emerging EI 2 6 2
FTSE Developed Europe DVE - 0 -
Russell   195 76 1,112
Futures   195 76 1,112
Russell 1000 RS1 47 21 19
Russell 1000 Growth RSG 32 14

 

Russell 1000 Value RSV 116 42 1,079

* Through December 2016

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 2.85 million contracts per day in December 2016, down 8% from December 2015.
  • Equity Index open interest averaged 8.96 million contracts per day for the month of December, and finished the month with 7.49 million contracts outstanding – representing a 13.1% increase compared to December 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 1.5 million contracts traded ($155B notional) among 660+ unique accounts since the November 2015 launch. December was a record ADV month (~9,000 contracts), highlighted by the third highest volume day on December 30 with 22,352 EST contracts. Liquidity continues to build on-screen as 64% of volume was transacted on CME Globex in 2016.

Equity Options

  • S&P 500 Options: E-mini S&P 500 options ADV of 573,518 through December is +14% compared to 2015 full-year ADV; S&P 500 options ADV of 52,168 through December is +13% compared to 2015 full-year ADV. New Wednesday S&P 500 and E-mini S&P 500 options continue to flourish and have traded nearly 2.7 million contracts since launch in Q3. 

S&P Select Sector Futures

  • The E-mini S&P Select Sector complex continues to flourish, averaging 9,007 contracts in December – a 52% increase compared to December 2015. Open interest averaged 71,536 contracts per day for the month ($4.5 billion notional), representing a 59% increase compared to December 2015 average open interest.

E-mini Volume Incentive Program (VIP)

  • The E-mini VIP was fully-funded for the seventh 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, 2016), 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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