September Equity Index Products Review

Equity Products Performance

  Product Code Bloomberg Ticker September ADV YTD ADV* Open Interest
Total     3,062,444 2,744,056 9,104,309
S&P 500     2,315,654 2,179,939 7,722,933
Futures     1,683,938 1,511,911 3,192,201
E-mini ES ESA Index 1,660,150 1,494,512 2,987,626
Standard SP SPA Index 9,217 5,805 48,795
BTIC EST STEA Index 13,496 10,229 -
Dividend Future SDA, SDI ASDA, ISDA Index 743 940 110,912
Total Return Futures TRI, CTR SRTA, CTIA Index 332 425 44,868
Options     631,715 668,028 4,530,732
E-mini     576,219 615,457 3,998,775
End-Of-Month EW SCA Index 103,690 95,511 676,507
Quarterlies and Serials ES ESA Index 150,112 132,789 1,195,305
Mon. Weekly E1A-E5A IWWA Index 35,328 29,372 80,795
Wed. Weekly E1C-E5C IEWA Index 43,813 48,073 63,295
Weekly EW1 - EW4 1EA-4EA Index 243,276 309,711 1,982,873
Standard     55,497 52,571 531,957
End-Of-Month EV EVA Index 10,940 8,590 102,484
Flex XP, YP   262 293 9,144
Quarterlies and Serials SP SPA Index 9,636 10,103 46,977
Mon. Weekly S1A-S5A SVPA Index 2,934 2,874 14,344
Wed. Weekly S1C-S5C SPWA Index 3,198 2,907 5,294
Weekly EV1 - EV4 1DA-4DA 28,527 28,752 353,714
NASDAQ     350,805 282,446 332,382
Futures     339,268 271,555 267,207
E-mini NQ NQA Index 338,544 271,105 267,207
BTIC NQT QNTA Index 723 450 -
Options     11,537 10,891 65,175
E-mini     11,537 10,891 65,175
End-Of-Month QNE QNAA Index 2,589 1,172 3,882
Quarterlies and Serials NQ NQA Index 3,625 2,580 16,302
Weekly QN1 - QN4 1OA-4OA Index 5,323 7,139 44,991
DOW JONES     133,815 134,105 161,824
Futures     133,606 133,856 156,979
E-mini YM DMA Index 133,471 133,765 156,979
BTIC YMT YMTA Index 135 91 -
Options     209 250 4,845
E-mini     209 250 4,845
Quarterlies and Serials YM DMA Index 170 165 4,462
Weekly YM1 - YM4 1FA-4FA Index 39 85 383
Russell 2000     159,135 64,236 546,219
Futures     157,327 63,338 531,354
E-mini RTY RTYA Index 154,065 62,073 531,354
BTIC RLT RLBA Index 3,262 1,265 -
Options     1,808 898 3,329
E-mini     1,808 898 3,329
End-Of-Month RTM RMEA Index 385 167 45
Quarterlies and Serials RTO RTYA Index 153 167 1,434
Weekly R1E-R4E RUWA Index 1,270 565 1,850
S&P 400 - MIDCAP     21,584 17,889 89,507
Futures     21,584 17,889 89,507
E-mini ME FAA Index 21,584 17,889 89,507
INTERNATIONAL     57,582 56,059 87,266
Futures     57,582 56,059 87,266
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 56,661 55,483 86,648
Nifty 50 MNF MNCA Index 911 548 218
Ibovespa IBV IBAA Index 10 29 400
SECTORS     20,681 8,689 139,132
Futures     20,681 8,689 139,132
Cons. Discr. XAY IXYA Index 511 360 3,644
Cons. Staples XAP IXRA Index 3,069 806 20,449
Energy XAE IXPA Index 1,766 829 11,338
Financial XAF IXAA Index 3,380 1,490 28,018
Health Care XAV IXCA Index 1,406 813 8,866
Industrial XAI IXIA Index 702 432 4,717
Materials XAB IXDA Index 933 414 5,245
Real Estate XAR XARA Index 741 301 5,449
Technology XAK IXTA Index 1,129 496 9,542
Utilities XAU IXSA Index 3,803 1,374 23,602
Dow Jones Real Estate JR DJEA Index 3,240 1,375 18,262
FTSE     133 98 337
Futures     133 98 337
FTSE China 50 FT5 FCYA Index 72 69 248
FTSE 100 (GBP) FT1 FFEA Index 45 25 73
FTSE 100 (USD) FTU FFIA Index 13 2 -
FTSE Emerging EI OEIA Index 2 1 16
FTSE Developed Europe DVE DVEA Index - 0 -
Russell 1000     3,056 595 24,709
Futures     3,056 595 24,709
Russell 1000 RS1 RSYA Index 918 166 8,436
Russell 1000 Growth RSG RGYA Index 483 143 4,174
Russell 1000 Value RSV RVYA Index 1,655 286 12,099

* Through Sep 29, 2017

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 2.7 million contracts per day in September 2017.
  • Equity Index open interest averaged 7.8 million contracts per day for the month of September, and finished the month with 9.3 million contracts outstanding. 

Product Highlights

  • Russell 2000: Russell 2000 futures and options continue to receive extremely positive client interest and activity – over 4,800 unique accounts traded ~160K contracts per day in September. The highlight was the Sep-Dec roll in which over 91% of the open interest migrated to CME! Further, the Sep-Dec calendar spread traded 1 million times over the 3-week roll period, and CME out-traded ICE by 13x. The liquidity providers played a large part in helping facilitate the transition of open interest by quoting on average 1 tick wide, 7,000+ contracts up; this superior quoting allowed customers to roll for much cheaper at CME than at ICE, resulting in open interest of 530K+ at month-end.  Russell 2000 options also outperformed with 1,800 ADV in September, including a record volume day of 4,113 contracts on September 27. 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 3.3 million contracts traded ($380B notional) since the Nov. 2015 launch. September was a record ADV month with 13,496 BTIC on E-mini S&P 500 contracts traded per day. Liquidity continues to build on-screen: 77%+ of BTIC volume has traded on Globex thus far in 2017, compared to 64% in 2016 (full-year). BTIC has also comprised over 12% of the MOC value traded at NYSE and NASDAQ in 2017, compared to 6% in 2016. 
  • S&P Select Sector Futures: In September, the E-mini S&P Select Sector Index Futures complex achieved a monthly ADV record of 17,440 contracts traded per day. So far this year, 3 of the top 4 ADV months of all-time for Sector futures have occurred in 2017. Open interest finished at 120K+ contracts ($7.9 billion notional) and achieved a monthly average OI record of 137,797 contracts per day.
  • E-mini Nasdaq-100 Futures and Options: E-mini Nasdaq-100 futures averaged 339,268 contracts per day in September 2017, representing an 8% increase from September 2016. E-mini Nasdaq-100 options averaged 11,537 contracts per day in September 2017, representing a 7% increase from September 2016.
  • Equity Options: Equity Options ADV for September was 645K contracts per day. Short-dated options continue to be a strong driver of our options growth, with both Monday (38K ADV in August) and Wednesday Weekly Options (47K 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 6% of the S&P options business.
  • S&P Dividend Futures: Open Interest in S&P 500 Dividend Index futures reached 110,912 on September 29, 2017. Volume has averaged 933 contracts per day YTD and in September averaged 743 contracts. 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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