March Equity Index Products Review

Equity Products Performance

  Product Code March ADV YTD ADV* Open Interest
Total   3,175,255 2,758,535 8,077,747
S&P 500   2,648,307 2,313,055 7,395,658
Futures   1,892,238 1,601,468 2,963,874
E-mini ES 1,868,335 1,583,697 2,833,526
Standard SP 10,476 6,997 56,101
BTIC EST 12,030 9,559 -
Dividend Future SDA, SDI 781 714 53,017
Total Return Futures TRI, CTR 617 500 21,230
Options   756,068 711,588 4,431,784
E-mini   696,829 656,488 3,978,484
End-Of-Month EW 124,701 99,994 517,621
Quarterlies and Serials ES 168,596 151,182 1,053,308
Wed. Weekly E1C-E5C 63,267 55,698 78,259
Weekly EW1 - EW4 340,265 349,614 2,329,296
Standard   59,240 55,100 453,300
End-Of-Month EV 9,473 9,226 18,810
Flex XP, YP 405 547 13,080
Quarterlies and Serials SP 15,115 12,902 53,968
Wed. Weekly S1C-S5C 3,332 2,291 12,332
Weekly EV1 - EV4 30,915 30,134 355,110
NASDAQ   257,351 214,160 283,272
Futures   247,771 205,295 238,856
E-mini NQ 247,419 204,904 238,856
BTIC NQT 352 392 -
Options   9,580 8,865 44,416
E-mini   9,580 8,865 44,416
End-Of-Month QNE 1,909 1,039 551
Quarterlies and Serials NQ 2,333 1,815 15,614
Weekly QN1 - QN4 5,337 6,011 28,251
DOW JONES   169,511 141,440 135,071
Futures   169,214 141,139 128,693
E-mini YM 169,146 141,062 128,693
BTIC YMT 68 77 -
Options   297 301 6,378
E-mini   297 301 6,378
Quarterlies and Serials YM 214 183 5,031
Weekly YM1 - YM4 83 118 1,347
S&P 400 - MIDCAP   25,781 19,425 90,156
Futures   25,781 19,425 90,156
E-mini ME 25,781 19,425 90,156
INTERNATIONAL   60,991 62,407 92,305
Futures   60,991 62,407 92,305
Nikkei 225 ENY, N1, NK 60,962 62,373 90,282
Nifty 50 MNF - - 1,859
Ibovespa IBV 29 34 164
SECTORS   12,950 7,772 79,927
Futures   12,950 7,772 79,927
Cons. Discr. XAY 761 519 6,208
Cons. Staples XAP 1,237 583 7,178
Energy XAE 1,311 866 7,902
Financial XAF 2,045 1,170 11,600
Health Care XAV 1,237 794 6,632
Industrial XAI 498 368 6,844
Materials XAB 692 402 3,453
Real Estate XAR 351 208 3,450
Technology XAK 702 413 6,008
Utilities XAU 1,935 1,173 7,875
Dow Jones Real Estate JR 2,181 1,276 12,777
FTSE   49 86 251
Futures   49 86 251
FTSE China 50 FT5 39 73 203
FTSE 100 (GBP) FT1 8 12 48
FTSE 100 (USD) FTU - - -
FTSE Emerging EI 2 1 -
FTSE Developed Europe DVE - - -
Russell   316 190 1,107
Futures   316 190 1,107
Russell 1000 RS1 90 54 80
Russell 1000 Growth RSG 29 21 101
Russell 1000 Value RSV 197 115 926

* Through March 2017

ADV and Open Interest Trends

  • Equity Index futures and options volume averaged 3.189 million contracts per day in March 2017, up 2% from March 2016.
  • Equity Index open interest averaged 9.8 million contracts per day for the month of March, and finished the month with 8.2 million contracts outstanding. 

BTIC on Major Indices

  • BTIC links futures to the cash market close and has been a very positive addition thus far, with over 2.0 million contracts traded ($218B notional) since the November 2015 launch. March was a record ADV month for BTIC with over ~12,000 contracts traded per day. BTIC on E-mini S&P 500 set a new record volume day on March 1 with 35,767 contracts ($4.3B notional), surpassing the previous record of 32,144 contracts on February 28, 2017.  BTIC also achieved a record 40% of the MOC value traded at NYSE and Nasdaq on March 1st. On-screen liquidity continues to improve as 74% of volume was transacted on CME Globex in 2017. 

Equity Options

  • Overall Trends: Options ADV for March was 765,945 which represents a 41% increase over March 2016 and 13% increase from year-end 2016  
  • S&P 500 Options:
    • E-mini S&P 500 options ADV of 696,829 represents a 47% increase versus March 2016. Wednesday Weeklies continue to flourish with an ADV of 48,166, a 394% increase vs. 2016 (full-year).
    •  Standard S&P 500 options averaged 57,918 ADV in March, a 5% increase vs. 2016 (full-year).
  • NASDAQ-100 Options: Weekly E-mini NASDAQ-100 options ADV (3,707 contracts) increased 84% compared to February 2016.

Select Sectors

  • Sector futures ADV grew to 10,647 in March, a +12% increase vs. March 2016
  • CME Globex ADV reached an all-time high of 5,912 contracts in March
  • In Q1, there was the highest number of account trading sectors in a single quarter

Mar-Jun S&P Futures Roll

  • The Mar-Jun S&P 500 futures roll traded at LIBOR +35bps, bringing the average roll cost to LIBOR +9bps for the last four quarters.
  • The roll richness was largely driven by an increase in net long position holders due to the low volatility/bull market environment. 

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