December Equity Index Products Review

Equity Products Performance

  Product Code Bloomberg Ticker December ADV YTD ADV* Open Interest
Total     2,947,165 2,722,606 9,102,852
S&P 500     2,186,078 2,123,435 7,669,757
Futures     1,540,752 1,463,498 3,195,402
E-mini ES ESA Index 1,506,474 1,444,715 3,019,522
Standard SP SPA Index 9,689 5,668 52,349
BTIC EST STEA Index 23,725 11,864 -
Dividend Future SDA, SDI ASDA, ISDA Index 823 904 93,076
Total Return Futures TRI, CTR SRTA, CTIA Index 41 347 30,455
Options     645,326 659,937 4,474,355
E-mini     587,261 605,256 4,018,684
End-Of-Month EW SCA Index 127,778 98,768 656,617
Quarterlies ES ESA Index 143,455 134,898 1,284,078
Mon. Weekly E1A-E5A IWWA Index 31,561 30,137 85,411
Wed. Weekly E1C-E5C IEWA Index 38,069 45,814 66,704
Weekly EW1 - EW4 1EA-4EA Index 246,397 303,083 1,925,874
Standard     58,065 54,681 455,671
End-Of-Month EV EVA Index 11,851 9,354 59,904
Flex XP, YP   314 252 7,204
Quarterlies SP SPA Index 9,093 10,156 25,574
Mon. Weekly S1A-S5A SVPA Index 3,567 2,920 8,412
Wed. Weekly S1C-S5C SPWA Index 2,963 2,905 1,884
Weekly EV1 - EV4 1DA-4DA 30,277 29,816 352,693
NASDAQ     335,399 288,574 326,853
Futures     326,307 277,126 280,298
E-mini NQ NQA Index 325,582 276,685 280,298
BTIC NQT QNTA Index 725 442 -
Options     9,092 11,448 46,555
E-mini     9,092 11,448 46,555
End-Of-Month QNE QNAA Index 1,453 1,086 2,929
Quarterlies NQ NQA Index 3,486 2,945 14,740
Weekly QN1 - QN4 1OA-4OA Index 4,153 7,417 28,886
DOW JONES     142,967 131,235 154,457
Futures     142,453 130,940 145,922
E-mini YM DMA Index 142,220 130,805 145,922
BTIC YMT YMTA Index 232 135 -
Options     514 296 8,535
E-mini     514 296 8,535
Quarterlies YM DMA Index 394 213 6,142
Weekly YM1 - YM4 1FA-4FA Index 120 83 2,393
Russell 2000     179,055 93,737 600,815
Futures     177,446 92,259 588,626
E-mini RTY RTYA Index 176,344 91,217 588,626
BTIC RLT RLBA Index 1,103 1,042 -
Options     1,609 1,478 3,329
E-mini     1,609 1,478 3,329
End-Of-Month RTM RMEA Index 352 181 45
Quarterlies RTO RTYA Index 327 393 1,434
Weekly R1E-R4E RUWA Index 930 905 1,850
S&P 400 - MIDCAP     22,858 17,259 90,500
Futures     22,858 17,259 90,500
E-mini ME FAA Index 22,858 17,259 90,500
INTERNATIONAL     55,735 57,283 95,132
Futures     55,735 57,283 95,132
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 55,105 56,681 94,170
Nifty 50 MNF MNCA Index 564 569 574
Ibovespa IBV IBAA Index 66 34 388
SECTORS     20,053 8,932 143,072
Futures     20,053 8,932 143,072
Cons. Discr. XAY IXYA Index 875 381 4,532
Cons. Staples XAP IXRA Index 2,323 861 20,018
Energy XAE IXPA Index 1,493 799 10,287
Financial XAF IXAA Index 4,318 1,566 34,087
Health Care XAV IXCA Index 1,046 736 7,227
Industrial XAI IXIA Index 707 435 4,058
Materials XAB IXDA Index 733 432 5,321
Real Estate XAR XARA Index 540 293 4,506
Technology XAK IXTA Index 1,616 550 11,131
Utilities XAU IXSA Index 3,236 1,386 23,987
Dow Jones Real Estate JR DJEA Index 3,166 1,494 17,918
FTSE     236 134 232
Futures     236 134 232
FTSE China 50 FT5 FCYA Index 121 87 182
FTSE 100 (GBP) FT1 FFEA Index 54 31 44
FTSE 100 (USD) FTU FFIA Index 48 12 1
FTSE Emerging EI OEIA Index 11 4 5
FTSE Dev. Europe DVE DVEA Index 2 0 -
Russell 1000     3,728 961 21,306
Futures     3,728 961 21,306
Russell 1000 RS1 RSYA Index 1,198 275 7,141
Russell 1000 Growth RSG RGYA Index 1,029 240 3,815
Russell 1000 Value RSV RVYA Index 1,501 446 10,350
Bitcoin     1,056 1,056 728
Futures     1,056 1,056 728
Standard BTC BTCA Curncy 1,056 1,056 728

*Through December 2017

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 2.96 million contracts per day in December 2017, a 4% increase compared to December 2016.
  • Equity Index open interest averaged 10.9 million contracts per day for the month of December, and finished the month with 9.1 million contracts outstanding, a 23% increase compared to December 2016. 

Product Highlights

  • Bitcoin Futures: CME launched Bitcoin futures on trade date December 18, and it has been a tremendous success thus far. Through the first two weeks, Bitcoin futures traded over 1,000 contracts per day among ~500 unique accounts! Further, open interest was ~730 contracts at 2017 year-end. The Globex market maker program has allowed for around-the-clock liquidity: ~60% of the volume come during regular US trading hours, and ~40% of volume during non-regular US trading hours.
  • Russell 2000: The maturation of Russell 2000 futures has been overwhelmingly positive. RTY achieved ~180K ADV in December. To put this in perspective, RTY was averaging ~15K going into the Sep-Dec roll period. Open interest finished at 588K contracts at year-end. The Russell 2000 options have also exceeded expectations: ~620 unique accounts, 1,500 ADV in December; OI was 20K contracts at month-end. For more information on the 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 4.7 million contracts traded ($550B notional) since the Nov. 2015 launch. BTIC on E-mini S&P 500 contracts averaged 23,725 contracts per day in December. 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 14% of the MOC value traded at NYSE and NASDAQ in 2017, compared to 6% in 2016. 
  • Equity Options: ADV for December was 654K contracts per day. Short-dated options continue to be a strong driver of our options growth, with both Monday (32K ADV in December) and Wednesday Weekly S&P 500 Options (38K ADV in December) allowing customers the ability to position themselves for headlines and events, such as the French elections or a potential US government shutdown. Moreover, the Monday and Wednesday options already comprise over 12% of the S&P 500 options business. 

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. CME will launch Yen-denominated TOPIX futures on February 5th, becoming the only derivatives exchange outside of Japan to offer futures contracts based on the two main Japanese indices – Nikkei 225 and TOPIX. Additionally, CME will be the only exchange to offer BTIC functionality on a Japanese benchmark product. CME TOPIX futures will allow for additional arbitrage and cross-margining opportunities via CME’s liquid, robust, and around-the-clock Globex platform. For more information ahead of the launch, please visit: http://www.cmegroup.com/trading/equity-index/topix-futures.html

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