January Equity Index Products Review

Equity Products Performance

  Product Code Bloomberg Ticker January ADV YTD ADV* Open Interest
Total     3,042,908 3,042,908 10,625,122
S&P 500     2,324,905 2,324,905 9,116,060
Futures     1,393,837 1,393,837 3,630,193
E-mini ES ESA Index 1,350,138 1,350,138 3,419,566
Standard SP SPA Index 4,274 4,274 77,479
BTIC EST STEA Index 38,120 38,120 -
Dividend Future SDA, SDI ASDA, ISDA Index 1,114 1,114 98,693
Total Return Futures TRI, CTR SRTA, CTIA Index 190 190 34,455
Options     931,068 931,068 5,485,867
E-mini     844,556 844,556 4,883,180
End-Of-Month EW SCA Index 151,805 151,805 735,776
Quarterlies ES ESA Index 173,976 173,976 2,067,881
Mon. Weekly E1A-E5A IWWA Index 43,136 43,136 59,890
Wed. Weekly E1C-E5C IEWA Index 42,846 42,846 44,112
Weekly EW1 - EW4 1EA-4EA Index 432,794 432,794 1,975,521
Standard     86,512 86,512 602,687
End-Of-Month EV EVA Index 17,558 17,558 137,855
Flex XP, YP   468 468 16,404
Quarterlies SP SPA Index 9,248 9,248 115,865
Mon. Weekly S1A-S5A SVPA Index 2,676 2,676 1,140
Wed. Weekly S1C-S5C SPWA Index 2,575 2,575 1,256
Weekly EV1 - EV4 1DA-4DA 53,987 53,987 330,167
NASDAQ     349,952 349,952 377,720
Futures     333,353 333,353 260,053
E-mini NQ NQA Index 332,119 332,119 260,053
BTIC NQT QNTA Index 1,234 1,234 -
Options     16,600 16,600 117,667
E-mini     16,600 16,600 117,667
End-Of-Month QNE QNAA Index 454 454 3,111
Quarterlies NQ NQA Index 3,028 3,028 41,675
Weekly QN1 - QN4 1OA-4OA Index 13,118 13,118 72,881
DOW JONES     173,011 173,011 164,325
Futures     172,536 172,536 154,097
E-mini YM DMA Index 172,139 172,139 154,097
BTIC YMT YMTA Index 397 397 -
Options     474 474 10,228
E-mini     474 474 10,228
Quarterlies YM DMA Index 404 404 9,156
Weekly YM1 - YM4 1FA-4FA Index 70 70 1,072
Russell 2000     109,924 109,924 568,618
Futures     107,795 107,795 547,127
E-mini RTY RTYA Index 107,202 107,202 547,127
BTIC RLT RLBA Index 593 593 -
Options     2,129 2,129 3,329
E-mini     2,129 2,129 3,329
End-Of-Month RTM RMEA Index 157 157 45
Quarterlies RTO RTYA Index 352 352 1,434
Weekly R1E-R4E RUWA Index 1,620 1,620 1,850
S&P 400 - MIDCAP     15,090 15,090 89,484
Futures     15,090 15,090 89,484
E-mini ME FAA Index 15,090 15,090 89,484
INTERNATIONAL     58,772 58,772 121,805
Futures     58,772 58,772 121,805
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 57,025 57,025 120,292
Nifty 50 MNF MNCA Index 1,714 1,714 1,071
Ibovespa IBV IBAA Index 34 34 442
SECTORS     8,040 8,040 159,681
Futures     8,040 8,040 159,681
Cons. Discr. XAY IXYA Index 672 672 8,329
Cons. Staples XAP IXRA Index 416 416 23,438
Energy XAE IXPA Index 811 811 13,277
Financial XAF IXAA Index 1,035 1,035 30,031
Health Care XAV IXCA Index 386 386 7,752
Industrial XAI IXIA Index 421 421 4,951
Materials XAB IXDA Index 709 709 7,610
Real Estate XAR XARA Index 174 174 6,305
Technology XAK IXTA Index 610 610 13,548
Utilities XAU IXSA Index 1,350 1,350 23,744
Dow Jones Real Estate JR DJEA Index 1,407 1,407 19,685
Nasdaq Biotechnology BQ DBA Index 48 48 1,011
FTSE     186 186 642
Futures     186 186 642
FTSE China 50 FT5 FCYA Index 63 63 435
FTSE 100 (GBP) FT1 FFEA Index 55 55 200
FTSE 100 (USD) FTU FFIA Index 57 57 -
FTSE Emerging EI OEIA Index 11 11 2
FTSE Dev. Europe DVE DVEA Index 1 1 5
Russell 1000     1,670 1,670 25,382
Futures     1,670 1,670 25,382
Russell 1000 RS1 RSYA Index 566 566 8,441
Russell 1000 Growth RSG RGYA Index 266 266 3,925
Russell 1000 Value RSV RVYA Index 838 838 13,016
Bitcoin     1,358 1,358 1,405
Futures     1,358 1,358 1,405
Standard BTC BTCA Curncy 1,358 1,358 1,405

*Through January 2018

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 3.04 million contracts per day in January 2018, an 11% increase compared to January 2017.
  • Equity Index open interest averaged 10.6 million contracts per day for the month of January, a 19% increase compared to January 2017.

Product Highlights

  • BTIC on Major Indices: BTIC links futures to the cash market close and has been a very positive addition thus far, with 5.6 million contracts traded ($670 billion notional) since the Nov. 2015 launch. January was a record-filled month for BTIC on E-mini S&P 500 (EST):
    • Record monthly ADV: 38,120 ADV for EST in January, surpassing the previous record of 23,725 ADV in December 2017.
    • Record volume days: 67,482 EST contracts traded ($9.6 billion notional) on January 24th, surpassing the previous record of 59,472 contracts achieved one week earlier on January 17th. Indeed, there were 5 days in which EST volume exceeded 50,000 contracts traded.

    Liquidity continues to build on-screen: 90% of BTIC volume traded on Globex in January, up from 80% in 2017 and 64% in 2016. Moreover, BTIC volume comprised nearly 40% of the MOC value traded at NYSE and NASDAQ, on average, in January, including a record 67% on January 24th. By comparison, BTIC averaged 14% of the MOC value in 2017.

  • Bitcoin Futures: Bitcoin futures traded 1,358 contracts per day among 800+ unique accounts in January. Open interest grew from ~730 contracts at 2017 year-end to 1,405 contracts at the end of January. The Bitcoin futures market has demonstrated around-the-clock liquidity: ~40% of the volume came during non-regular US trading hours, and ~30% of volume came from non-US participants.
  • Russell 2000: Russell 2000 futures continue to thrive, averaging 108,000 contracts per day in January. Open interest finished at 547,000 contracts at month-end. The Russell 2000 options have also exceeded expectations: 2,130 ADV in January and OI was 21,000+ contracts at month-end. For more information on the Russell 2000, please see: cmegroup.com/Russell2000.
  • Equity Options: Equity options ADV for January was 950,271 contracts per day, a monthly record. Short-dated options continue to propel the options growth, with both Monday (46K ADV in January) and Wednesday Weekly S&P 500 Options (45K ADV in January) allowing customers the ability to position themselves for headlines and events, such as the French elections or a potential US government shutdown. Moreover, the weekly S&P 500 options complex – Monday, Wednesday, and Friday expiries – now comprises over 60% of the S&P 500 options business.

Equity Index Products

Explore CME Group's suite of Equity Index products on U.S. and International Indices, Select Sectors, and Options on Futures.

Learn More

Read More Reports

Review previous months' equity reports over the last year.

View Archived Reports

About CME Group

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. Comprised of four exchanges - CME, CBOT, NYMEX and COMEX - we offer the widest range of global benchmark products across all major asset classes, helping businesses everywhere mitigate the myriad of risks they face in today's uncertain global economy.

Follow us for global economic and financial news.

CME Group on Twitter

CME Group on Facebook

CME Group on LinkedIn