January Equity Index Products Review

Equity Products Performance

  Product Code January ADV YTD ADV* Open Interest
Total   2,492,382 2,492,382 8,284,267
S&P 500   2,084,270 2,084,270 7,599,592
Futures   1,439,299 1,439,299 2,977,444
E-mini ES 1,425,694 1,425,694 2,841,019
Standard SP 7,447 7,447 68,591
BTIC EST 4,883 4,883 -
Dividend Future SDA, SDI 642 642 54,953
Total Return Futures TRI, CTR 633 633 12,881
Options   644,971 644,971 4,622,148
E-mini   598,938 598,938 4,076,848
End-Of-Month EW 87,881 87,881 554,586
Quarterlies and Serials ES 99,512 99,512 1,606,589
Wed. Weekly E1C-E5C 49,366 49,366 100,512
Weekly EW1 - EW4 362,179 362,179 1,815,161
Standard   46,032 46,032 545,300
End-Of-Month EV 9,440 9,440 101,743
Flex XP, YP 812 812 13,600
Quarterlies and Serials SP 6,297 6,297 110,645
Wed. Weekly S1C-S5C 1,021 1,021 4,770
Weekly EV1 - EV4 28,462 28,462 314,542
NASDAQ   189,913 189,913 293,773
Futures   181,328 181,328 238,036
E-mini NQ 180,877 180,877 238,036
BTIC NQT 450 450 -
Options   8,585 8,585 55,737
E-mini   8,585 8,585 55,737
End-Of-Month QNE 334 334 1,686
Quarterlies and Serials NQ 1,121 1,121 21,955
Weekly QN1 - QN4 7,131 7,131 32,096
DOW JONES   126,096 126,096 136,192
Futures   125,781 125,781 128,613
E-mini YM 125,720 125,720 128,613
BTIC YMT 61 61 -
Options   315 315 7,579
E-mini   315 315 7,579
Quarterlies and Serials YM 127 127 5,754
Weekly YM1 - YM4 187 187 1,825
S&P 400 - MIDCAP   17,808 17,808 94,045
Futures   17,808 17,808 94,045
E-mini ME 17,808 17,808 94,045
INTERNATIONAL   69,524 69,524 92,795
Futures   69,524 69,524 92,795
Nikkei 225 ENY, N1, NK 69,345 69,345 92,363
Nifty 50 MNF 163 163 432
Ibovespa IBV 17 17 196
SECTORS   4,537 4,537 66,574
Futures   4,537 4,537 66,574
Cons. Discr. XAY 469 469 6,087
Cons. Staples XAP 252 252 7,191
Energy XAE 467 467 4,642
Financial XAF 675 675 9,508
Health Care XAV 470 470 3,974
Industrial XAI 239 239 6,049
Materials XAB 225 225 2,897
Real Estate XAR 34 34 2,230
Technology XAK 185 185 4,389
Utilities XAU 627 627 7,298
Dow Jones Real Estate JR 894 894 12,309
FTSE   131 131 225
Futures   131 131 225
FTSE China 50 FT5 112 112 192
FTSE 100 (GBP) FT1 17 17 33
FTSE 100 (USD) FTU 1 1 -
FTSE Emerging EI 1 1 -
FTSE Developed Europe DVE - - -
Russell   103 103 1,071
Futures   103 103 1,071
Russell 1000 RS1 29 29 9
Russell 1000 Growth RSG 15 15 73
Russell 1000 Value RSV 59 59 989

* Through January 2017

ADV and Open Interest Trends

  • Equity Index futures and options volume averaged 2.5 million contracts per day in January 2017, down 40% from January 2016.
  • Equity Index open interest averaged 8.2 million contracts per day for the month of January, and finished the month with 8.4 million contracts outstanding – representing a 4% increase compared to January 2016 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 1.6 million contracts traded ($72B notional) since the November 2015 launch. January was another strong month with ~8,000 ADV. BTIC on E-mini S&P 500 achieved record volume on January 23 with 26,363 contracts ($3 billion notional), surpassing the previous record of 25,123 contracts on June 24, 2016. On-screen liquidity continues to improve: 81% of volume in January was transacted on CME Globex, and 63% of total volume has traded on CME Globex since launch.

Equity Options

  • S&P 500 Options: E-mini S&P 500 Options ADV was 598,938 for January, +4% compared to 2016 full-year ADV. Volume growth was largely driven by the short-dated options; Weekly E-mini S&P options ADV (257K) increased 41% compared to 2016 full-year. Wednesday E-mini S&P options continue to flourish with ~50K ADV in January (+31% vs. Q4-2016).

Total Return Futures

  • Since CME Group launched S&P 500 Total Return Index futures in late August 2016, market participants have increasingly embraced the product as a listed solution to the traditional OTC swap in light of the new uncleared swap margin rules (UMR). Total Return futures had back-to-back record volume days on January 10 and January 11, totaling 10,000 contracts ($1.09 billion). These trades alone doubled open interest from Q4-2016.

Equity Index Products

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