June Equity Index Products Review

Equity Products Performance

  Product Code June ADV YTD ADV* Open Interest
Total   3,149,235 2,728,585 7,761,042
S&P 500   2,464,552 2,241,726 6,960,750
Futures   1,843,482 1,564,495 3,023,815
E-mini ES 1,823,432 1,547,391 2,868,841
Standard SP 8,919 6,310 43,235
BTIC EST 9,065 9,405 -
Dividend Future SDA, SDI 1,524 917 82,591
Total Return Futures TRI, CTR 542 473 29,148
Options   621,070 677,231 3,936,935
E-mini   570,669 625,628 3,527,688
End-Of-Month EW 110,017 99,604 591,963
Quarterlies and Serials ES 135,000 134,433 968,261
Mon. Weekly E1A-E5A 29,071 29,262 70,209
Wed. Weekly E1C-E5C 46,343 51,420 61,312
Weekly EW1 - EW4 250,237 325,423 1,835,943
Standard   50,402 51,602 409,247
End-Of-Month EV 8,663 8,321 26,122
Flex XP, YP 295 384 9,080
Quarterlies and Serials SP 10,795 10,840 39,498
Mon. Weekly S1A-S5A 2,831 2,548 7,229
Wed. Weekly S1C-S5C 4,028 2,780 10,247
Weekly EV1 - EV4 23,790 27,994 317,071
NASDAQ   423,064 259,407 346,296
Futures   409,659 249,974 286,372
E-mini NQ 409,241 249,516 286,372
BTIC NQT 418 458 -
Options   13,406 9,433 59,924
E-mini   13,406 9,433 59,924
End-Of-Month QNE 2,561 1,202 2,062
Quarterlies and Serials NQ 4,739 2,356 14,733
Weekly QN1 - QN4 6,105 5,875 43,129
DOW JONES   157,761 140,259 135,114
Futures   157,527 140,018 130,352
E-mini YM 157,455 139,944 130,352
BTIC YMT 72 74 -
Options   234 241 4,762
E-mini   234 241 4,762
Quarterlies and Serials YM 180 162 3,849
Weekly YM1 - YM4 54 79 913
S&P 400 - MIDCAP   24,412 19,016 93,966
Futures   24,412 19,016 93,966
E-mini ME 24,412 19,016 93,966
INTERNATIONAL   63,674 59,787 103,993
Futures   63,674 59,787 103,993
Nikkei 225 ENY, N1, NK 63,190 59,325 103,230
Nifty 50 MNF 460 430 763
Ibovespa IBV 24 32 162
SECTORS   15,454 8,114 119,477
Futures   15,454 8,114 119,477
Cons. Discr. XAY 415 395 2,072
Cons. Staples XAP 1,433 639 11,761
Energy XAE 958 771 6,537
Financial XAF 2,701 1,342 19,166
Health Care XAV 1,874 846 15,470
Industrial XAI 635 375 4,882
Materials XAB 739 405 6,023
Real Estate XAR 612 270 7,378
Technology XAK 1,005 447 7,344
Utilities XAU 2,838 1,288 21,705
Dow Jones Real Estate JR 2,244 1,336 17,139
FTSE   103 82 311
Futures   103 82 311
FTSE China 50 FT5 74 65 265
FTSE 100 (GBP) FT1 22 15 24
FTSE 100 (USD) FTU 1 1 -
FTSE Emerging EI 5 1 22
FTSE Developed Europe DVE - 0 -
Russell   215 194 1,135
Futures   215 194 1,135
Russell 1000 RS1 76 55 122
Russell 1000 Growth RSG 72 42 845
Russell 1000 Value RSV 68 97 168

* Through June 30, 2017

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 3.2 million contracts per day in June 2017, down 11% from June 2016.
  • Equity Index open interest averaged 8.9 million contracts per day for the month of June, and finished the month with 8 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 ($298B notional) since the November 2015 launch. June was another strong month with over 9,000 BTIC on E-mini S&P 500 contracts traded per day. Liquidity on-screen continues to build, with over 74% of BTIC volume taking place on CME Globex in 2017.

Product Highlights

  • Equity Options: Equity Options ADV for June was 630K contracts per day. Q2-2017 ADV was 652K which represents a 7% increase against Q2-2016. Short-dated options continue to be a strong driver of our options growth, with both Monday (32K ADV in June) and Wednesday Weekly Options (50K ADV in June) allowing customers the ability to position themselves for headlines and events, such as the French elections or a potential US government shutdown. While both are new products, with the Mondays only having three months of adoption, they already comprise 13% of the Equity options business.
  • S&P Select Sector Futures: In June, the E-mini S&P Select Sector Index Futures complex achieved a record monthly ADV of 12,746, surpassing the previous record set in June 2016. This helped to produce a very strong Q2 performance for Select Sector futures, culminating with an ADV of 7,138. They achieved a record volume day on June 12 with 121,805 contracts traded ($7.72B notional). Additionally, open interest remained above 100K contracts after the roll period in June, the highest open interest ever following a roll period.
  • E-mini NASDAQ-100: E-mini NASDAQ-100 futures averaged 409,659 contracts per day in June 2017, representing a 49% increase from June 2016. E-mini NASDAQ-100 options averaged 13,406 contracts per day in June 2017, representing a 29% increase from June 2016. In addition to the robust volume that we saw throughout the month, June 9 was the second highest volume day ever with 1,110,745 contracts traded ($127B notional)

Upcoming Events

  • Russell 2000: In preparation for the July 10 launch, CME designed a market maker program for E-mini Russell 2000 futures and 14 market maker slots (15 maximum) have been allocated; participants may apply for the remaining slot until July 3. 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.

 

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