May Equity Index Products Review

Equity Products Performance

  Product Code May ADV YTD ADV* Open Interest
Total   2,340,512 2,598,888 8,436,833
S&P 500   1,912,113 2,194,132 7,651,560
Futures   1,282,628 1,504,906 3,262,655
E-mini ES 1,269,319 1,488,430 3,084,653
Standard SP 3,780 5,752 78,535
BTIC EST 8,194 9,478 -
Dividend Future SDA, SDI 691 787 66,902
Total Return Futures TRI, CTR 644 458 32,565
Options   629,485 689,226 4,388,905
E-mini   583,152 637,367 3,954,503
End-Of-Month EW 74,058 97,380 746,548
Quarterlies and Serials ES 135,942 134,312 1,970,281
Mon. Weekly E1A-E5A 28,997 11,689 16,821
Wed. Weekly E1C-E5C 44,039 52,504 63,591
Weekly EW1 - EW4 300,115 341,483 1,157,262
Standard   46,334 51,859 434,402
End-Of-Month EV 5,052 8,247 39,377
Flex XP, YP 123 403 18,620
Quarterlies and Serials SP 10,889 10,849 186,932
Mon. Weekly S1A-S5A 2,130 954 1,863
Wed. Weekly S1C-S5C 3,346 2,513 3,854
Weekly EV1 - EV4 24,794 28,892 183,756
NASDAQ   242,620 224,452 345,120
Futures   233,141 215,867 287,105
E-mini NQ 232,203 215,400 287,105
BTIC NQT 938 467 -
Options   9,479 8,585 58,015
E-mini   9,479 8,585 58,015
End-Of-Month QNE 317 911 1,849
Quarterlies and Serials NQ 2,937 1,847 42,854
Weekly QN1 - QN4 6,225 5,826 13,312
DOW JONES   116,708 136,520 127,714
Futures   116,546 136,278 120,532
E-mini YM 116,497 136,203 120,532
BTIC YMT 48 75 -
Options   162 242 7,182
E-mini   162 242 7,182
Quarterlies and Serials YM 134 158 7,137
Weekly YM1 - YM4 28 85 45
S&P 400 - MIDCAP   14,014 17,863 91,440
Futures   14,014 17,863 91,440
E-mini ME 14,014 17,863 91,440
INTERNATIONAL   50,109 58.957 119,355
Futures   50,109 58,957 119,355
Nikkei 225 ENY, N1, NK 49,372 58,500 118,481
Nifty 50 MNF 706 424 874
Ibovespa IBV 30 34 173
SECTORS   4,703 1,814 100,041
Futures   4,703 1,814 100,041
Cons. Discr. XAY 257 143 3,684
Cons. Staples XAP 382 102 11,951
Energy XAE 504 228 5,037
Financial XAF 771 248 16,330
Health Care XAV 399 202 11,247
Industrial XAI 365 110 4,569
Materials XAB 302 88 3,908
Real Estate XAR 95 47 2,822
Technology XAK 236 92 6,452
Utilities XAU 477 274 19,105
Dow Jones Real Estate JR 913 281 14,936
FTSE   78 78 246
Futures   78 78 246
FTSE China 50 FT5 62 64 147
FTSE 100 (GBP) FT1 15 13 99
FTSE 100 (USD) FTU - 0 -
FTSE Emerging EI 0 1 -
FTSE Developed Europe DVE - - -
Russell   169 190 1,357
Futures   169 190 1,357
Russell 1000 RS1 45 51 263
Russell 1000 Growth RSG 42 35 271
Russell 1000 Value RSV 81 103 823

* Through May 31, 2017

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 2.5 million contracts per day in May 2017, down 10% from May 2016.
  • Equity Index open interest averaged 8.9 million contracts per day for the month of May, and finished the month with 8.6 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 2.5 million contracts traded ($275B notional) since the November 2015 launch. May was another strong month with over 9,000 contracts traded per day. We are continuing to see growth in BTIC in comparison to the cash market on close at NYSE and Nasdaq. On May 31, BTIC represented a month-end record 31.7% of the MOC value traded at NYSE and Nasdaq. 

Product Highlights

  • Equity Options: Equity Options ADV for May was 639,126 contracts per day, representing a 13% increase vs. May 2016. Monday Weekly S&P 500 Options, which launched on April 3, achieved over 1 million trades in the first 30 days since launch, becoming the ‘quickest product to reach 1 million contracts at CME.’ May ADV was 31,000 contracts traded per day for Monday options; this product helps customers position themselves for weekend headlines and events, such as the French elections or a potential US government shutdown.
  • S&P Select Sector Futures: In May, the E-mini S&P Select Sector Index Futures complex achieved roughly 3,800 ADV which represents a 21% increase over May 2016. Open Interest for May 2017 averaged 100,365, which is a 29% increase over the 77,759 of OI in May 2016.

Upcoming Events

  • Russell 2000: In preparation for the July 10 launch, CME designed a market maker program for E-mini Russell 2000 futures and 12 market maker slots (15 maximum) have been allocated; participants may apply for one of the remaining 3 slots until July 31. For additional incentives, CME will offer temporary fee waivers (through September) for BTIC (Globex/block), calendar spread, and outright block transactions for all market participants to help facilitate and encourage the transition of positions to CME. The Equity team produced a whitepaper on how customers can transition their futures positions to CME. For more information on the transition, including the whitepaper and product specs/codes, please visit www.cmegroup.com/russell2000.

Equity Index Products

Explore CME Group's suite of Equity Index products on U.S. and International Indices, Select Sectors, and Options on Futures.

Learn More

Read More Reports

Review previous months' equity reports over the last year.

View Archived Reports

About CME Group

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. Comprised of four exchanges - CME, CBOT, NYMEX and COMEX - we offer the widest range of global benchmark products across all major asset classes, helping businesses everywhere mitigate the myriad of risks they face in today's uncertain global economy.

Follow us for global economic and financial news.

CME Group on Twitter

CME Group on Facebook

CME Group on LinkedIn