July Equity Index Products Review

Equity Products Performance

 

Product Code

Bloomberg Ticker

July ADV

YTD ADV*

Open Interest

Total

 

 

   2,089,467

   2,652,600

      8,399,624

S&P 500

 

 

   1,623,578

   2,161,023

      7,573,368

Futures

 

 

   1,114,562

   1,502,435

      3,214,252

E-mini

ES

ESA Index

   1,099,718

   1,485,643

      3,032,561

Standard

SP

SPA Index

         2,364

         5,765

           56,159

BTIC

EST

STEA Index

       10,954

         9,619

                  -  

Dividend Future

SDA, SDI

ASDA, ISDA Index

         1,277

            967

           92,884

Total Return Futures

TRI, CTR

SRTA, CTIA Index

            250

            442

           32,648

Options

 

 

     509,016

     658,588

      4,359,116

E-mini

 

 

     459,815

     614,103

      3,898,326

End-Of-Month

EW

SCA Index

       67,558

       95,184

         706,149

Quarterlies and Serials

ES

ESA Index

       65,855

     124,974

      1,372,744

Mon. Weekly

E1A-E5A

IWWA Index

       17,938

       26,534

           32,765

Wed. Weekly

E1C-E5C

IEWA Index

       33,059

       48,887

           86,253

Weekly

EW1 - EW4

1EA-4EA Index

     275,405

     318,524

      1,700,415

Standard

 

 

       49,202

       44,485

         460,790

End-Of-Month

EV

EVA Index

         8,195

         8,303

           59,252

Flex

XP, YP

 

             44

            337

             9,920

Quarterlies and Serials

SP

SPA Index

         3,699

         9,855

           91,961

Mon. Weekly

S1A-S5A

SVPA Index

         1,509

         2,298

             5,218

Wed. Weekly

S1C-S5C

SPWA Index

         2,144

         2,692

             6,903

Weekly

EV1 - EV4

1DA-4DA

       33,610

       28,769

         287,536

NASDAQ

 

 

     290,282

     263,666

         364,808

Futures

 

 

     276,434

     253,624

         292,823

E-mini

NQ

NQA Index

     275,996

     253,168

         292,823

BTIC

NQT

QNTA Index

            438

            456

                  -  

Options

 

 

       13,848

       10,042

           71,985

E-mini

 

 

       13,848

       10,042

           71,985

End-Of-Month

QNE

QNAA Index

            520

         1,108

             2,176

Quarterlies and Serials

NQ

NQA Index

         1,606

         2,253

           28,225

Weekly

QN1 - QN4

1OA-4OA Index

       11,722

         6,682

           41,584

DOW JONES

 

 

     106,909

     135,659

         143,202

Futures

 

 

     106,613

     135,410

         137,477

E-mini

YM

DMA Index

     106,500

     135,331

         137,477

BTIC

YMT

YMTA Index

            113

             79

                  -  

Options

 

 

            297

            248

             5,725

E-mini

 

 

            297

            248

             5,725

Quarterlies and Serials

YM

DMA Index

            138

            158

             4,465

Weekly

YM1 - YM4

1FA-4FA Index

            159

             90

             1,260

Russell 2000

 

 

         8,828

         8,828

             9,053

Futures

 

 

         8,518

         8,518

             5,724

E-mini

RTY

RTYA Index

         8,398

         8,398

             5,724

BTIC

RLT

RLBA Index

            120

            120

                  -  

Options

 

 

            310

            310

             3,329

E-mini

 

 

            310

            310

             3,329

End-Of-Month

RTM

RMEA Index

             21

             21

                 45

Quarterlies and Serials

RTO

RTYA Index

            116

            116

             1,434

Weekly

R1E-R4E

RUWA Index

            173

            173

             1,850

S&P 400 - MIDCAP

 

 

       12,324

       18,093

           92,265

Futures

 

 

       12,324

       18,093

           92,265

E-mini

ME

FAA Index

       12,324

       18,093

           92,265

INTERNATIONAL

 

 

       42,501

       57,403

           91,155

Futures

 

 

       42,501

       57,403

           91,155

Nikkei 225

ENY, N1, NK

YMEA, NXA, NHA Index

       41,743

       56,900

           90,448

Nifty 50

MNF

MNCA Index

            750

            474

               707

Ibovespa

IBV

IBAA Index

               8

             29

               208

SECTORS

 

 

         4,616

         7,631

         123,368

Futures

 

 

         4,616

         7,631

         123,368

Cons. Discr.

XAY

IXYA Index

            222

            371

             2,401

Cons. Staples

XAP

IXRA Index

            258

            586

           13,048

Energy

XAE

IXPA Index

            545

            740

             8,289

Financial

XAF

IXAA Index

         1,043

         1,300

           25,551

Health Care

XAV

IXCA Index

            306

            772

           15,569

Industrial

XAI

IXIA Index

            239

            356

             4,569

Materials

XAB

IXDA Index

            222

            380

             3,908

Real Estate

XAR

XARA Index

            195

            260

             6,701

Technology

XAK

IXTA Index

            442

            447

             6,452

Utilities

XAU

IXSA Index

            474

         1,176

           19,105

Dow Jones Real Estate

JR

DJEA Index

            670

         1,244

           17,775

FTSE

 

 

            126

             88

               812

Futures

 

 

            126

             88

               812

FTSE China 50

FT5

FCYA Index

             83

             68

               717

FTSE 100 (GBP)

FT1

FFEA Index

             42

             18

                 73

FTSE 100 (USD)

FTU

FFIA Index

              -  

               1

                  -  

FTSE Emerging

EI

OEIA Index

              -  

               1

                 22

FTSE Developed Europe

DVE

DVEA Index

              -  

               0

                  -  

Russell 1000

 

 

            304

            209

             1,593

Futures

 

 

            304

            209

             1,593

Russell 1000

RS1

RSYA Index

            105

             62

               466

Russell 1000 Growth

RSG

RGYA Index

             81

             47

               885

Russell 1000 Value

RSV

RVYA Index

            117

            100

               242

* Data through July 31, 2017

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 2.1 million contracts per day in July 2017, down 19% from July 2016.
  • Equity Index open interest averaged 8.4 million contracts per day for the month of July, and finished the month with 8.6 million contracts outstanding. 

Product Highlights

  • Russell 2000: Russell 2000 futures and options launched on July 10 and have received extremely positive client interest and activity – over 700 unique accounts have traded 135K+ futures contracts ($9.8 billion notional) since launch, and futures open interest is up to 5,724 contracts ($408 million notional). There were five consecutive days with 10K+ futures contracts traded to end July, including a record day on July 27 with over 23,000 contracts traded ($1.65 billion notional). The futures orderbook liquidity continues to shape up nicely with 12 market makers quoting, on average, 1.5 ticks wide, 11 contracts up, at top-of book. E-mini Russell 2000 options have also been a success thus far, with 4,900+ contracts traded among 15 unique accounts, and open interest of 3,329 contracts. For more information on the transition, and all-things Russell 2000, please see: cmegroup.com/russell2000.
  • BTIC on Major Indices: BTIC links futures to the cash market close and has been a very positive addition thus far, with over 2.9 million contracts traded ($329B notional) since the November 2015 launch. July was another strong month with 11,000 BTIC on E-mini S&P 500 contracts traded per day. Liquidity on-screen continues to build, with over 77% of BTIC volume taking place on Globex in July. Record day for BTIC on E-mini S&P 500 contracts traded took place on July 31 with a volume of 38,522 ($4.8 billion notional), representing 25% of the MOC value at NYSE and NASDAQ.
  • S&P Select Sector Futures: In July, the E-mini S&P Select Sector Index Futures complex achieved a monthly ADV of 3,244. This represents a 22% increase over July 2016. Additionally, open interest was 115,343 on July 31, which is +32% from the end of July 2016.
  • E-mini Nasdaq-100: E-mini Nasdaq-100 futures averaged 276,434 contracts per day in July 2017, representing a 43% increase from July 2016. This represents two straight months of volumes +40% year-over-year. E-mini Nasdaq-100 options averaged 13,808 contracts per day in July 2017, representing an 88% increase from July 2016. Moreover, E-mini Nasdaq-100 options achieved a record volume day on July 27 with 50,000+ contracts traded. In addition to the robust volume that we saw throughout the month, liquidity for our futures complex was tremendous with CME Nasdaq futures trading 2.7x the FANG stocks and 1.9x the FANG stocks and QQQ ETF combined.
  • Equity Options: Equity Options ADV for July was 523K contracts per day. Short-dated options continue to be a strong driver of our options growth, with both Monday (20K ADV in July) and Wednesday Weekly Options (35K ADV in July) 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 4 months of adoption, they already comprise 11% of the Equity options business. 

Equity Index Products

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