February Equity Index Products Review

Equity Products Performance

  Product Code February ADV YTD ADV* Open Interest
Total   2,534,844 2,513,052 8,950,034
S&P 500   2,148,060 2,115,343 8,219,270
Futures   1,420,193 1,429,987 3,282,223
E-mini ES 1,405,454 1,415,833 3,117,551
Standard SP 5,018 4,945 94,164
BTIC EST 8,793 8,103 -
Dividend Future SDA, SDI 718 674 55,627
Total Return Futures TRI, CTR 211 432 14,881
Options   727,867 685,356 4,937,047
E-mini   668,233 632,697 4,451,032
End-Of-Month EW 82,837 85,424 579,542
Quarterlies and Serials ES 184,491 140,912 2,346,285
Wed. Weekly E1C-E5C 53,199 51,233 94,913
Weekly EW1 - EW4 347,706 355,128 1,430,292
Standard   59,634 52,659 486,015
End-Of-Month EV 8,700 9,080 34,306
Flex XP, YP 439 630 16,040
Quarterlies and Serials SP 17,177 11,598 253,457
Wed. Weekly S1C-S5C 2,368 1,677 3,046
Weekly EV1 - EV4 30,949 29,673 179,166
NASDAQ   187,400 188,689 314,330
Futures   179,106 180,245 239,259
E-mini NQ 178,729 179,831 239,259
BTIC NQT 377 415 -
Options   8,294 8,444 75,071
E-mini   8,294 8,444 75,071
End-Of-Month QNE 728 526 7,976
Quarterlies and Serials NQ 1,918 1,509 38,988
Weekly QN1 - QN4 5,649 6,409 28,107
DOW JONES   123,638 124,886 146,725
Futures   123,346 124,582 139,220
E-mini YM 123,240 124,499 139,220
BTIC YMT 106 83 -
Options   292 304  7,505
E-mini   292 304 7,505
Quarterlies and Serials YM 204 165 7,182
Weekly YM1 - YM4 88 139 323
S&P 400 - MIDCAP   13,432 15,676 96,283
Futures   13,432 15,676 96,283
E-mini ME 13,432 15,676 96,283
INTERNATIONAL   57,043 63,443 92,141
Futures   57,043 63,443 92,141
Nikkei 225 ENY, N1, NK 56,748 63,208 90,282
Nifty 50 MNF 236 198 1,859
Ibovespa IBV 59 37 164
SECTORS   5,055 4,790 79,927
Futures   5,055 4,790 79,927
Cons. Discr. XAY 279 376 6,208
Cons. Staples XAP 288 270 7,178
Energy XAE 746 603 7,902
Financial XAF 632 654 11,600
Health Care XAV 599 533 6,632
Industrial XAI 345 291  6,844
Materials XAB 238 231 3,453
Real Estate XAR 218 124 3,450
Technology XAK 304 243 6,008
Utilities XAU 824 723 7,875
Dow Jones Real Estate JR 582 742 12,777
FTSE   85 109 251
Futures   85 109 251
FTSE China 50 FT5 73 93 203
FTSE 100 (GBP) FT1 12 15 48
FTSE 100 (USD) FTU - 1 -
FTSE Emerging EI - 1 -
FTSE Developed Europe DVE - - -
Russell   130 117 1,107
Futures   130 117 1,107
Russell 1000 RS1 37 33 80
Russell 1000 Growth RSG 19 17 101
Russell 1000 Value RSV 74 66 926

* Through February 2017

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 2.541 million contracts per day in February 2017, down 24% from February 2016.
  • Equity Index open interest averaged 9.2 million contracts per day for the month of February, and finished the month with 5 million contracts outstanding – representing an 8% increase compared to February 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 1.8 million contracts traded ($200B notional) since the November 2015 launch. February was another strong month with ~8,000 ADV. BTIC on E-mini S&P 500 achieved record volume on February 28 with 33,593 contracts ($3.8 billion notional), surpassing the previous record of 26,363 contracts on January 23, 2017.  February 28 was also a record for BTIC on the 3 major indices with 33,593 contracts traded ($3.95B notional).

Equity Options

  • E-mini S&P 500 Options: E-mini S&P 500 Options ADV was 668,233 for February, +16% compared to February 2016 ADV. Volume growth was largely driven by the short-dated options; Weekly E-mini S&P options ADV (347,706) increased 108% compared to February 2016. Wednesday E-mini S&P options continue to flourish with ~53K ADV in February.
  • S&P 500 Options: Increased S&P 500 Weekly options to an ADV of 30,949 which represents a 264% increase versus February 2016. S&P 500 EOM options (8,700 ADV) saw a 30% increase versus February 2016.
  • E-mini NASDAQ-100 Options: Weekly E-mini NASDAQ-100 options ADV (3,779) increased 50% compared to February 2016.

Select Sectors

  • ADV for our E-mini Select Sector suite increased 23% over January to 4,473 and 8% versus February 2016.
  • 522 accounts have traded the products YTD compared to 296 accounts over the same period in 2016.
  • YTD ~80% of ADV has been through CME Globex compared to 65% for the same period last year.

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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