February Equity Index Products Review

Equity Products Performance

  Product Code Bloomberg Ticker February ADV YTD ADV* Open Interest
Total     4,899,808 3,924,936 9,891,591
S&P 500     3,705,924 2,980,889 8,480,254
Futures     2,270,153 1,810,087 3,541,399
E-mini ES ESA Index 2,224,748 1,765,577 3,292,316
Standard SP SPA Index 7,915 6,004 85,719
BTIC EST STEA Index 35,587 36,917 -
Dividend Future SDA, SDI ASDA, ISDA Index 692 914 105,909
Total Return Futures TRI, CTR SRTA, CTIA Index 1,211 675 57,455
Options     1,435,772 1,170,802 4,938,855
E-mini     1,356,300 1,087,635 4,552,580
End-Of-Month EW SCA Index 216,429 182,502 685,646
Quarterlies ES ESA Index 397,906 280,343 2,565,530
Mon. Weekly E1A-E5A IWWA Index 66,210 54,096 41,184
Wed. Weekly E1C-E5C IEWA Index 70,895 56,169 55,061
Weekly EW1 - EW4 1EA-4EA Index 604,860 514,526 1,205,159
Standard     79,471 83,168 386,275
End-Of-Month EV EVA Index 21,426 19,395 77,430
Flex XP, YP   24 257 16,704
Quarterlies SP SPA Index 16,598 12,739 171,738
Mon. Weekly S1A-S5A SVPA Index 3,590 3,110 4,640
Wed. Weekly S1C-S5C SPWA Index 3,657 3,089 140
Weekly EV1 - EV4 1DA-4DA 34,177 44,577 115,623
NASDAQ     546,701 443,408 311,999
Futures     531,579 427,510 232,456
E-mini NQ NQA Index 530,576 426,386 232,456
BTIC NQT QNTA Index 1,003 1,125 -
Options     15,122 15,898 79,543
E-mini     15,122 15,898 79,543
End-Of-Month QNE QNAA Index 566 507 4,271
Quarterlies NQ NQA Index 5,529 4,216 59,476
Weekly QN1 - QN4 1OA-4OA Index 9,028 11,175 15,796
DOW JONES     347,758 256,016 125,579
Futures     346,952 255,384 114,094
E-mini YM DMA Index 346,725 255,067 114,094
BTIC YMT YMTA Index 227 316 -
Options     806 632 11,485
E-mini     806 632 11,485
Quarterlies YM DMA Index 742 565 11,267
Weekly YM1 - YM4 1FA-4FA Index 64 67 218
Russell 2000     162,347 134,825 568,995
Futures     158,106 131,693 529,028
E-mini RTY RTYA Index 157,117 130,912 529,028
BTIC RLT RLBA Index 989 781 -
Options     4,241 3,132 3,329
E-mini     4,241 3,132 3,329
End-Of-Month RTM RMEA Index 447 295 45
Quarterlies RTO RTYA Index 1,369 835 1,434
Weekly R1E-R4E RUWA Index 2,424 2,002 1,850
S&P 400 - MIDCAP     22,655 18,683 74,031
Futures     22,655 18,683 74,031
E-mini ME FAA Index 22,655 18,683 74,031
INTERNATIONAL     100,621 78,651 140,141
Futures     100,621 78,651 140,141
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 99,537 77,218 139,370
Nifty 50 MNF MNCA Index 931 1,342 69
Ibovespa IBV IBAA Index 121 75 551
TOPIX TPY TPYA Index 32 15 151
SECTORS     10,472 9,195 163,322
Futures     10,472 9,195 163,322
Cons. Discr. XAY IXYA Index 887 774 7,010
Cons. Staples XAP IXRA Index 1,160 770 22,962
Energy XAE IXPA Index 922 864 13,358
Financial XAF IXAA Index 1,278 1,150 30,228
Health Care XAV IXCA Index 640 506 7,758
Industrial XAI IXIA Index 401 411 5,396
Materials XAB IXDA Index 351 539 7,685
Real Estate XAR XARA Index 180 177 6,470
Technology XAK IXTA Index 942 768 14,029
Utilities XAU IXSA Index 1,170 1,265 24,281
Dow Jones Real Estate JR DJEA Index 2,543 1,946 23,134
Nasdaq Biotechnology BQ DBA Index - 25 1,011
FTSE     322 251 340
Futures     322 251 340
FTSE China 50 FT5 FCYA Index 116 88 158
FTSE 100 (GBP) FT1 FFEA Index 62 58 144
FTSE 100 (USD) FTU FFIA Index 134 94 -
FTSE Emerging EI OEIA Index 9 10 38
FTSE Dev. Europe DVE DVEA Index 0 1 0
Russell 1000     1,407 1,545 25,250
Futures     1,407 1,545 25,250
Russell 1000 RS1 RSYA Index 462 516 8,511
Russell 1000 Growth RSG RGYA Index 436 347 4,216
Russell 1000 Value RSV RVYA Index 509 681 12,523
Bitcoin     1,601 1,474 1,680
Futures     1,601 1,474 1,680
Standard BTC BTCA Curncy 1,601 1,474 1,680

*Through February 2018

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 4.91 million contracts per day in February 2018, a 93% increase compared to February 2017.
  • Equity Index open interest averaged 11.3 million contracts per day for the month of February, a 25% increase compared to February 2017.

Product Highlights

  • Equity Options: CME’s equity options complex set a multitude of records in February.
    • Record volume day (Total EQ Options): 3,828,699 contracts traded on Feb 6
    • Record volume day (S&P 500 Options): 3,798,969 contracts traded on Feb 6
    • Record volume day (E-mini S&P 500 Options): 3,490,903 contracts traded on Feb 6
    • Record volume day (E-mini Weekly S&P 500 Options): 1,724,812 contracts traded on Feb 5
    • Record volume day (E-mini EOM S&P 500 Options): 402,968 contracts traded on Feb 6
    • Record volume day (E-mini Wednesday S&P 500 Options): 293,678 contracts traded on Feb 6
    • Record volume day (E-mini EOM S&P 500 Options): 185,145 contracts traded on Feb 5
  • BTIC on Major Indices: BTIC links futures to the cash market close and has been a very positive addition thus far, with 6.4 million contracts traded ($781 billion notional) since the November 2015 launch. February was a record-filled month for BTIC on E-mini S&P 500 (EST):
    • Record monthly ADV: 42,229 ADV for EST in February, surpassing the previous record of 38,120 ADV in January 2018.
    • Record volume day: 77,884 EST contracts traded ($10.2 billion notional) on February 9, surpassing the previous record of 75,212 contracts achieved earlier that same week on February 5. In fact, there were seven days in which EST volume exceeded 50,000 contracts traded.

    Liquidity continues to build on-screen – 82% of BTIC volume traded on Globex in February, up from 80% in 2017 and 64% in 2016. Moreover, BTIC volume comprised over 40% of the MOC value traded at NYSE and NASDAQ, on average, in February. By comparison, BTIC averaged 14% of the MOC value in 2017.

  • Bitcoin Futures: Bitcoin futures traded 1,601 contracts per day in February, up 18% vs. January ADV. Open interest also grew month-over-month, from 1,405 contracts at the end of January to 1,680 contracts as of February month-end. The Bitcoin futures market has demonstrated around-the-clock liquidity: ~40% of the volume came during non-regular US trading hours, and ~25% of volume came from non-US participants.
  • Russell 2000: Russell 2000 futures volume exploded in February, averaging over 158,000 contracts per day in February. Open interest finished at 529,000 contracts at month-end. The Russell 2000 options have also exceeded expectations: ADV doubled from January (2,129 ADV) to February (4,241 ADV). For more information on the Russell 2000, please see: cmegroup.com/Russell2000.

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