August Equity Index Products Review

Equity Products Performance

  Product Code Bloomberg Ticker August ADV YTD ADV* Open Interest
Total     2,682,561 2,654,541 9,493,511
S&P 500     2,130,745 2,149,539 8,588,753
Futures     1,422,058 1,491,431 3,583,105
E-mini ES ESA Index 1,406,390 1,474,793 3,366,821
Standard SP SPA Index 3,092 5,399 72,498
BTIC EST STEA Index 11,234 9,840 -
Dividend Future SDA, SDI ASDA, ISDA Index 947 964 102,918
Total Return Futures TRI, CTR SRTA, CTIA Index 395 436 40,868
Options     708,687 658,108 5,005,648
E-mini     650,462 619,714 4,461,802
End-Of-Month EW SCA Index 90,464 94,537 777,519
Quarterlies and Serials ES ESA Index 166,995 130,727 2,100,929
Mon. Weekly E1A-E5A IWWA Index 34,438 28,249 41,574
Wed. Weekly E1C-E5C IEWA Index 46,645 48,580 29,951
Weekly EW1 - EW4 1EA-4EA Index 311,919 317,620 1,511,829
Standard     58,225 38,395 543,846
End-Of-Month EV EVA Index 8,353 8,310 106,161
Flex XP, YP   46 297 10,984
Quarterlies and Serials SP SPA Index 12,074 10,159 181,568
Mon. Weekly S1A-S5A SVPA Index 4,902 2,863 8,215
Wed. Weekly S1C-S5C SPWA Index 4,006 2,872 1,734
Weekly EV1 - EV4 1DA-4DA 28,845 28,779 235,184
NASDAQ     341,396 274,308 382,048
Futures     325,717 263,494 297,265
E-mini NQ NQA Index 325,543 263,077 297,265
BTIC NQT QNTA Index 174 417 -
Options     15,679 10,814 84,783
E-mini     15,679 10,814 84,783
End-Of-Month QNE QNAA Index 344 1,003 3,113
Quarterlies and Serials NQ NQA Index 3,737 2,456 54,790
Weekly QN1 - QN4 1OA-4OA Index 11,598 7,355 26,880
DOW JONES     124,564 134,140 159,649
Futures     124,271 133,885 152,555
E-mini YM DMA Index 124,146 133,800 152,555
BTIC YMT YMTA Index 125 86 -
Options     293 254 7,094
E-mini     293 254 7,094
Quarterlies and Serials YM DMA Index 202 164 6,983
Weekly YM1 - YM4 1FA-4FA Index 90 90 111
Russell 2000     20,261 15,570 29,733
Futures     19,744 15,138 21,376
E-mini RTY RTYA Index 19,418 14,897 21,376
BTIC RLT RLBA Index 326 241 -
Options     517 432 3,329
E-mini     517 432 3,329
End-Of-Month RTM RMEA Index 79 55 45
Quarterlies and Serials RTO RTYA Index 213 173 1,434
Weekly R1E-R4E RUWA Index 225 203 1,850
S&P 400 - MIDCAP     13,392 17,449 87,062
Futures     13,392 17,449 87,062
E-mini ME FAA Index 13,392 17,449 87,062
INTERNATIONAL     46,264 55,878 94,919
Futures     46,264 55,878 94,919
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 45,523 55,342 93,097
Nifty 50 MNF MNCA Index 695 505 1,822
Ibovespa IBV IBAA Index 46 31 345
SECTORS     4,931 7,262 146,198
Futures     4,931 7,262 146,198
Cons. Discr. XAY IXYA Index 156 342 2,399
Cons. Staples XAP IXRA Index 222 536 14,083
Energy XAE IXPA Index 576 718 9,746
Financial XAF IXAA Index 1,040 1,265 29,807
Health Care XAV IXCA Index 559 743 14,475
Industrial XAI IXIA Index 676 400 12,267
Materials XAB IXDA Index 177 352 7,265
Real Estate XAR XARA Index 180 249 7,110
Technology XAK IXTA Index 254 420 8,912
Utilities XAU IXSA Index 514 1,085 22,753
Dow Jones Real Estate JR DJEA Index 577 1,153 17,381
FTSE     126 94 633
Futures     126 94 633
FTSE China 50 FT5 FCYA Index 76 69 485
FTSE 100 (GBP) FT1 FFEA Index 50 23 141
FTSE 100 (USD) FTU FFIA Index - 1 -
FTSE Emerging EI OEIA Index - 1 7
FTSE Developed Europe DVE DVEA Index - 0 -
Russell 1000     883 302 4,516
Futures     883 302 4,516
Russell 1000 RS1 RSYA Index 166 76 855
Russell 1000 Growth RSG RGYA Index 448 102 2,045
Russell 1000 Value RSV RVYA Index 269 123 1,616

* Through Aug 31, 2017

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 2.7 million contracts per day in August 2017, an increase of 15 percent from August 2016.
  • Equity Index open interest averaged 9.5 million contracts per day for the month of August, and finished the month with 9.7 million contracts outstanding. 

Product Highlights

  • Russell 2000: Since launch in July, Russell 2000 futures and options continue to receive extremely positive client interest and activity – over 1,500 unique accounts have traded futures and options contracts. E-mini Russell 2000 futures averaged 20K ADV in the month of August, which continues the strong theme of growth and migration. CME instituted a Calendar Spread Program to ensure a tight, liquid roll market. Through Week 1 of the roll, the roll market has been 1 tick wide, 1,200 x 1,200 on average; CME’s roll volume was more than 9x that of ICE, and customers could roll at CME for six-ticks cheaper during the first week. We anticipate this theme to continue throughout the entire roll period. 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 3.2 million contracts traded ($362B notional) since the Nov. 2015 launch. August 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 83% of BTIC volume taking place on Globex thus far in Q3. Record day for BTIC on E-mini S&P 500 contracts traded took place on August 31st with a volume of 42,270 ($5.2 billion notional), representing 25% of the MOC value at NYSE and NASDAQ. 
  • S&P Select Sector Futures: In August, the E-mini S&P Select Sector Index Futures complex achieved a monthly ADV of 4,354. This represents a 16% increase over August 2016. The current YTD ADV is 11% higher than at the same point in August 2016. Additionally, open interest was 129,818 on August 31st, 94% higher than open interest at August 2016 month-end.
  • E-mini Nasdaq-100 Futures and Options: E-mini Nasdaq-100 futures averaged 325,717 contracts per day in August 2017, representing an 85% increase from August 2016. This represents three straight months of volumes +40% year-over-year. E-mini Nasdaq-100 options averaged 15,679 contracts per day in August 2017, representing a 67% increase from August 2016.
  • Equity Options: Equity Options ADV for August was 725K contracts per day, which represents a 40% increase over August 2016. Short-dated options continue to be a strong driver of our options growth, with both Monday (40K ADV in August) and Wednesday Weekly Options (41K ADV in August) 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 5 months of adoption, they already comprise 11% of the Equity options business.
  • S&P Dividend Futures: Open Interest in S&P 500 Dividend Index futures surpassed 100,000 on August 23, 2017. Volume has averaged 1,000 contracts per day YTD and in August averaged 920 contracts. 40% of volume has been done on screen in 2017, compared to 60% through block. As volume and open interest continue to climb, learn how you can use dividend futures to hedge or express a view on the U.S. dividend market with the help of our Term Structure Tool

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