October Equity Index Products Review

Equity Products Performance

  Product Code Bloomberg Ticker October ADV YTD ADV* Open Interest
Total     2,241,395 2,650,912 10,236,375
S&P 500     1,727,246 2,123,842 8,583,802
Futures     1,115,059 1,470,336 3,405,826
E-mini ES ESA Index 1,098,747 1,453,051 3,185,901
Standard SP SPA Index 2,772 5,488 63,731
BTIC EST STEA Index 12,360 10,452 -
Dividend Future SDA, SDI ASDA, ISDA Index 971 944 108,726
Total Return Futures TRI, CTR SRTA, CTIA Index 209 402 47,468
Options     612,187 653,507 5,177,976
E-mini     554,243 600,372 4,600,821
End-Of-Month EW SCA Index 89,209 94,851 872,344
Quarterlies and Serials ES ESA Index 96,558 128,993 1,788,504
Mon. Weekly E1A-E5A IWWA Index 31,915 29,750 45,748
Wed. Weekly E1C-E5C IEWA Index 37,800 46,997 80,472
Weekly EW1 - EW4 1EA-4EA Index 298,762 308,564 1,813,753
Standard     57,944 53,134 577,155
End-Of-Month EV EVA Index 9,907 8,728 123,370
Flex XP, YP   41 267 10,044
Quarterlies and Serials SP SPA Index 7,406 9,821 127,559
Mon. Weekly S1A-S5A SVPA Index 2,409 2,805 1,950
Wed. Weekly S1C-S5C SPWA Index 2,684 2,883 7,375
Weekly EV1 - EV4 1DA-4DA 35,497 29,459 306,857
NASDAQ     263,246 280,434 372,066
Futures     249,952 269,292 271,979
E-mini NQ NQA Index 249,773 268,870 271,979
BTIC NQT QNTA Index 179 421 -
Options     13,295 11,143 100,087
E-mini     13,295 11,143 100,087
End-Of-Month QNE QNAA Index 580 1,110 2,819
Quarterlies and Serials NQ NQA Index 1,829 2,502 31,439
Weekly QN1 - QN4 1OA-4OA Index 10,886 7,531 65,829
DOW JONES     97,800 130,302 168,769
Futures     97,465 130,043 160,111
E-mini YM DMA Index 97,215 129,936 160,111
BTIC YMT YMTA Index 250 108 -
Options     335 259 8,658
E-mini     335 259 8,658
Quarterlies and Serials YM DMA Index 274 176 7,814
Weekly YM1 - YM4 1FA-4FA Index 62 82 844
Russell 2000     80,280 68,594 566,769
Futures     78,053 67,335 544,200
E-mini RTY RTYA Index 77,454 66,250 544,200
BTIC RLT RLBA Index 600 1,084 -
Options     2,226 1,259 3,329
E-mini     2,226 1,259 3,329
End-Of-Month RTM RMEA Index 76 142 45
Quarterlies and Serials RTO RTYA Index 563 274 1,434
Weekly R1E-R4E RUWA Index 1,587 843 1,850
S&P 400 - MIDCAP     10,419 17,106 92,051
Futures     10,419 17,106 92,051
E-mini ME FAA Index 10,419 17,106 92,051
INTERNATIONAL     51,529 50,186 121,040
Futures     51,529 50,186 121,040
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 50,830 49,670 119,737
Nifty 50 MNF MNCA Index 642 490 914
Ibovespa IBV IBAA Index 57 26 389
SECTORS     4,509 7,779 139,238
Futures     4,509 7,779 139,238
Cons. Discr. XAY IXYA Index 301 322 3,454
Cons. Staples XAP IXRA Index 514 721 18,989
Energy XAE IXPA Index 308 742 12,135
Financial XAF IXAA Index 537 1,334 30,073
Health Care XAV IXCA Index 242 728 8,791
Industrial XAI IXIA Index 287 387 5,573
Materials XAB IXDA Index 307 371 5,984
Real Estate XAR XARA Index 200 270 3,330
Technology XAK IXTA Index 229 444 9,905
Utilities XAU IXSA Index 517 1,230 22,489
Dow Jones Real Estate JR DJEA Index 1,067 1,231 18,515
FTSE     156 88 352
Futures     156 88 352
FTSE China 50 FT5 FCYA Index 84 62 182
FTSE 100 (GBP) FT1 FFEA Index 36 22 149
FTSE 100 (USD) FTU FFIA Index 27 2 -
FTSE Emerging EI OEIA Index 9 1 21
FTSE Developed Europe DVE DVEA Index - 0 -
Russell 1000     1,021 532 23,823
Futures     1,021 532 23,823
Russell 1000 RS1 RSYA Index 246 149 8,597
Russell 1000 Growth RSG RGYA Index 224 128 5,904
Russell 1000 Value RSV RVYA Index 551 256 9,322

* Through Oct 31, 2017

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 2.2 million contracts per day in October 2017, a 14% decrease compared to October 2016.
  • Equity Index open interest averaged 10.4 million contracts per day for the month of October, and finished the month with 10.2 million contracts outstanding, a 16% increase compared to October 2016. 

Product Highlights

  • Russell 2000: Russell 2000 futures and options continue to receive extremely positive client interest and activity – over 7,600 unique accounts traded ~80K contracts per day in October. Futures open interest continues to climb, reaching 544,200 contracts at the end of October.  As for the options, over 400 unique accounts have traded 1,260 contracts per day since launch. Russell 2000 options ADV increased by 23% to 2,226 contracts in October, and open interest increased by 52% compared with September 2017 to 22,569 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 3.8 million contracts traded ($433B notional) since the Nov. 2015 launch. 12,360 BTIC on E-mini S&P 500 contracts traded per day in October. Liquidity continues to build on-screen: 81%+ of BTIC on E-mini S&P 500 volume has traded on Globex thus far in 2017, compared to 64% in 2016 (full-year). BTIC has also comprised over 13% of the MOC value traded at NYSE and NASDAQ in 2017, compared to 6% in 2016. 
  • E-mini Nasdaq-100 Futures and Options: E-mini Nasdaq-100 futures averaged 249,952 contracts per day in October2017, representing an 11% increase from October 2016. E-mini Nasdaq-100 options averaged 13,295 contracts per day in October 2017, representing a 15% increase from September 2017. Participants gravitated towards these Nasdaq options in October as technology companies released earnings: Nasdaq options traded 40,690 contracts on Oct 27th – the 2nd highest volume day for the Nasdaq-100 options complex in 2017.
  • Equity Options: Equity Options ADV for September was 628K contracts per day. Short-dated options continue to be a strong driver of our options growth, with both Monday (32K ADV in October) and Wednesday Weekly Options (38K ADV in October) 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 112,306 on October 20, 2017. Volume has averaged 944 contracts per day YTD and in October averaged 971 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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