November Equity Index Products Review

Equity Products Performance

  Product Code Bloomberg Ticker November ADV YTD ADV* Open Interest
Total     2,721,008 2,692,853 10,977,971
S&P 500     2,060,321 2,118,068 9,407,952
Futures     1,322,060 1,456,856 3,713,360
E-mini ES ESA Index 1,303,065 1,439,415 3,483,970
Standard SP SPA Index 3,640 5,320 81,695
BTIC EST STEA Index 14,687 10,837 -
Dividend Future SDA, SDI ASDA, ISDA Index 581 911 98,904
Total Return Futures TRI, CTR SRTA, CTIA Index 87 373 48,791
Options     738,261 661,211 5,694,592
E-mini     671,331 606,823 5,054,672
End-Of-Month EW SCA Index 110,315 96,257 907,553
Quarterlies ES ESA Index 185,882 134,165 2,453,337
Mon. Weekly E1A-E5A IWWA Index 31,510 29,969 64,989
Wed. Weekly E1C-E5C IEWA Index 41,358 46,484 39,536
Weekly EW1 - EW4 1EA-4EA Index 302,267 307,992 1,589,257
Standard     66,929 54,388 639,920
End-Of-Month EV EVA Index 13,238 9,138 118,122
Flex XP, YP   48 247 11,044
Quarterlies SP SPA Index 14,517 10,248 225,538
Mon. Weekly S1A-S5A SVPA Index 3,118 2,844 6,056
Wed. Weekly S1C-S5C SPWA Index 3,064 2,900 4,373
Weekly EV1 - EV4 1DA-4DA 32,944 29,776 274,787
NASDAQ     325,482 284,529 422,462
Futures     308,739 272,878 300,870
E-mini NQ NQA Index 308,364 272,461 300,870
BTIC NQT QNTA Index 375 417 -
Options     16,742 11,652 121,592
E-mini     16,742 11,652 121,592
End-Of-Month QNE QNAA Index 497 1,054 4,008
Quarterlies NQ NQA Index 6,861 2,898 86,078
Weekly QN1 - QN4 1OA-4OA Index 9,384 7,700 31,506
DOW JONES     129,399 130,220 167,443
Futures     128,939 129,943 154,863
E-mini YM DMA Index 128,626 129,817 154,863
BTIC YMT YMTA Index 313 126 -
Options     460 277 12,580
E-mini     460 277 12,580
Quarterlies YM DMA Index 409 197 11,622
Weekly YM1 - YM4 1FA-4FA Index 51 79 958
Russell 2000     109,552 77,026 605,535
Futures     107,352 75,574 585,495
E-mini RTY RTYA Index 106,534 74,544 585,495
BTIC RLT RLBA Index 818 1,030 -
Options     2,199 1,453 3,329
E-mini     2,199 1,453 3,329
End-Of-Month RTM RMEA Index 166 147 45
Quarterlies RTO RTYA Index 912 405 1,434
Weekly R1E-R4E RUWA Index 1,121 900 1,850
S&P 400 - MIDCAP     13,454 16,774 93,386
Futures     13,454 16,774 93,386
E-mini ME FAA Index 13,454 16,774 93,386
INTERNATIONAL     75,776 57,420 103,185
Futures     75,776 57,420 103,185
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 75,064 56,820 102,158
Nifty 50 MNF MNCA Index 684 569 620
Ibovespa IBV IBAA Index 28 31 407
SECTORS     5,152 7,970 146,313
Futures     5,152 7,970 146,313
Cons. Discr. XAY IXYA Index 190 339 3,679
Cons. Staples XAP IXRA Index 323 734 22,352
Energy XAE IXPA Index 385 739 12,495
Financial XAF IXAA Index 699 1,327 32,212
Health Care XAV IXCA Index 267 709 8,575
Industrial XAI IXIA Index 357 411 4,623
Materials XAB IXDA Index 443 406 6,295
Real Estate XAR XARA Index 78 271 3,079
Technology XAK IXTA Index 350 457 9,290
Utilities XAU IXSA Index 644 1,226 21,625
Dow Jones Real Estate JR DJEA Index 1,415 1,349 22,088
FTSE     330 125 423
Futures     330 125 423
FTSE China 50 FT5 FCYA Index 210 84 192
FTSE 100 (GBP) FT1 FFEA Index 56 29 221
FTSE 100 (USD) FTU FFIA Index 52 9 -
FTSE Emerging EI OEIA Index 13 3 10
FTSE Developed Europe DVE DVEA Index   0  
Russell 1000     1,542 721 31,272
Futures     1,542 721 31,272
Russell 1000 RS1 RSYA Index 398 195 9,366
Russell 1000 Growth RSG RGYA Index 382 172 9,375
Russell 1000 Value RSV RVYA Index 762 354 12,531

* Through Nov 30, 2017

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 2.6 million contracts per day in November 2017, a 14% decrease compared to November 2016.
  • Equity Index open interest averaged 10.7 million contracts per day for the month of November, and finished the month with 11.2 million contracts outstanding, a 18% increase compared to October 2016.
  • Equities index futures and options hit a new Large Open Interest Holders (LOIH) record of 1,737 on Nov. 28. 

Product Highlights

  • Nikkei 225 Implied Spreads: BLM launched Nikkei 225 implied spread futures on Oct. 30, allowing investors to trade the price differential between USD- and Yen-denominated Nikkei 225 futures as a single instrument.  ADV was ~2,100 spread contracts through November, illustrating the organic demand for this product. CME is focused on enhancing and expanding the Japanese product suite, and plans to introduce BTIC on Nikkei 225 in the near future.
  • Russell 2000: Russell 2000 futures and options continue to receive extremely positive client interest and activity – over 9,400 unique accounts traded ~100K contracts per day in November. Futures open interest continues to climb, reaching 585,495 contracts at the end of November. As for the Russell 2000 options, over 500 unique accounts have traded 2,199 contracts per day since launch. 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 3.9 million contracts traded ($450B notional) since the November 2015 launch. BTIC on E-mini S&P 500 contracts has averaged 12K+ contracts per day through November. We saw a record volume day on Nov. 30th with 46,756 EST contracts ($6.2B notional), including 66% of the volume on-screen. Liquidity continues to build on-screen: 80%+ 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. 
  • Equity Options: Equity Options ADV for November was 758K contracts per day. Short-dated options continue to be a strong driver of our options growth, with both Monday (32K ADV in November) and Wednesday Weekly Options (32K ADV in November) 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, the Monday and Wednesday options already comprise over 12% of the S&P options business.
  • S&P Dividend Futures: Volume has averaged 911 contracts per day YTD and in October averaged 581 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

New Product Pipeline

  • TOPIX: On Oct. 18, CME executed and announced a license agreement with JPX (Japan Exchange Group) to list futures on the TOPIX Index – a top 10 global benchmark by AUM. Yen-denominated TOPIX futures are expected to launch in Q1-2018. CME TOPIX futures will allow for additional arbitrage and cross-margining opportunities via CME’s liquid, robust, and around-the-clock Globex platform. CME will also enable Basis Trade at Index Close (BTIC) on CME Globex on Day 1.
  • Bitcoin Futures: On Dec. 1, CME filed for self-certification of BTC futures with the CFTC for the launch on trade date December 18. The initial contract listing will be for Jan 2018, Feb 2018, Mar 2018 and Jun 2018, and CME will implement a market maker program. The initial margin requirement will be 35% for BTC futures, which will reside in the base F&O fund, though there will be no margin offsets initially. CME is excited to enter the cryptocurrency space – a new market that is ripe to evolve – and CME plans to continue working closely with the CFTC and market participants to ensure the development of a healthy, robust futures market. 

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