March Equity Index Products Review

Equity Products Performance

 

Product Code

Bloomberg Ticker

March ADV

YTD ADV*

Open Interest

Total

 

 

4,396,386

4,087,238

8,590,231

S&P 500

 

 

3,137,806

3,034,910

7,279,011

Futures

 

 

2,271,359

1,968,885

3,223,059

E-mini

ES

ESA Index

2,223,248

1,921,067

2,988,089

Standard

SP

SPA Index

9,415

7,178

55,513

BTIC

EST

STEA Index

36,261

38,760

-

Dividend Future

SDA, SDI

ASDA, ISDA Index

620

813

107,507

Total Return Futures

TRI, CTR

SRTA, CTIA Index

1,814

1,067

71,950

Options

 

 

866,447

1,066,024

4,055,952

E-mini

 

 

825,695

997,459

3,803,782

End-Of-Month

EW

SCA Index

154,255

172,777

498,323

Quarterlies

ES

ESA Index

203,726

253,966

1,506,148

Mon. Weekly

E1A-E5A

IWWA Index

59,253

55,871

100,247

Wed. Weekly

E1C-E5C

IEWA Index

73,424

62,109

33,077

Weekly

EW1 - EW4

1EA-4EA Index

335,038

452,735

1,665,987

Standard

 

 

40,752

68,565

252,170

End-Of-Month

EV

EVA Index

6,347

14,903

23,602

Flex

XP, YP

 

327

281

10,740

Quarterlies

SP

SPA Index

8,897

11,416

47,104

Mon. Weekly

S1A-S5A

SVPA Index

6,604

4,313

37,041

Wed. Weekly

S1C-S5C

SPWA Index

4,510

3,578

1,124

Weekly

EV1 - EV4

1DA-4DA

14,067

34,074

132,559

NASDAQ

 

 

594,131

495,296

321,763

Futures

 

 

583,036

481,052

250,985

E-mini

NQ

NQA Index

581,311

479,712

250,985

BTIC

NQT

QNTA Index

1,725

1,340

-

Options

 

 

11,095

14,244

70,778

E-mini

 

 

11,095

14,244

70,778

End-Of-Month

QNE

QNAA Index

2,015

1,026

1,585

Quarterlies

NQ

NQA Index

3,563

3,991

27,723

Weekly

QN1 - QN4

1OA-4OA Index

5,517

9,227

41,470

DOW JONES

 

 

331,141

281,879

108,735

Futures

 

 

330,467

281,232

99,947

E-mini

YM

DMA Index

330,323

280,971

99,947

BTIC

YMT

YMTA Index

144

261

-

Options

 

 

674

647

8,788

E-mini

 

 

674

647

8,788

Quarterlies

YM

DMA Index

534

554

7,109

Weekly

YM1 - YM4

1FA-4FA Index

141

92

1,679

Russell 2000

 

 

189,097

153,508

517,964

Futures

 

 

183,588

149,558

476,241

E-mini

RTY

RTYA Index

182,226

148,509

476,241

BTIC

RLT

RLBA Index

1,362

1,049

-

Options

 

 

5,509

3,950

3,329

E-mini

 

 

5,509

3,950

3,329

End-Of-Month

RTM

RMEA Index

693

432

45

Quarterlies

RTO

RTYA Index

1,205

963

1,434

Weekly

R1E-R4E

RUWA Index

3,611

2,556

1,850

S&P 400 - MIDCAP

 

 

28,131

21,936

79,509

Futures

 

 

28,131

21,936

79,509

E-mini

ME

FAA Index

28,131

21,936

79,509

INTERNATIONAL

 

 

86,489

81,349

110,679

Futures

 

 

86,489

81,349

110,679

Nikkei 225

ENY, N1, NK

YMEA, NXA, NHA Index

86,405

80,381

108,403

Nifty 50

MNF

MNCA Index

36

893

1,510

Ibovespa

IBV

IBAA Index

29

59

676

TOPIX

TPY

TPYA Index

19

16

90

SECTORS

 

 

23,405

14,087

153,343

Futures

 

 

23,405

14,087

153,343

Cons. Discr.

XAY

IXYA Index

1,368

979

6,079

Cons. Staples

XAP

IXRA Index

2,714

1,439

25,322

Energy

XAE

IXPA Index

1,861

1,207

11,803

Financial

XAF

IXAA Index

4,471

2,294

32,163

Health Care

XAV

IXCA Index

1,376

806

6,821

Industrial

XAI

IXIA Index

1,129

658

5,120

Materials

XAB

IXDA Index

738

607

4,178

Real Estate

XAR

XARA Index

816

397

2,988

Technology

XAK

IXTA Index

2,345

1,311

11,085

Utilities

XAU

IXSA Index

3,104

1,898

23,571

Dow Jones Real Estate

JR

DJEA Index

3,385

2,442

23,249

Nasdaq Biotechnology

BQ

DBA Index

99

51

964

FTSE

 

 

285

263

265

Futures

 

 

285

263

265

FTSE China 50

FT5

FCYA Index

46

74

226

FTSE 100 (GBP)

FT1

FFEA Index

116

78

19

FTSE 100 (USD)

FTU

FFIA Index

119

102

-

FTSE Emerging

EI

OEIA Index

4

8

20

FTSE Dev. Europe

DVE

DVEA Index

-

0

-

Russell 1000

 

 

3,322

2,157

17,252

Futures

 

 

3,322

2,157

17,252

Russell 1000

RS1

RSYA Index

1,297

785

8,000

Russell 1000 Growth

RSG

RGYA Index

774

494

1,624

Russell 1000 Value

RSV

RVYA Index

1,251

878

7,628

Bitcoin

 

 

2,578

1,854

1,710

Futures

 

 

2,578

1,854

1,710

Standard

BTC

BTCA Curncy

2,578

1,854

1,710

*Through March 31, 2018

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 4.41 million contracts per day in March 2018, a 38% increase compared to March 2017.
  • Equity Index open interest averaged 10.3 million contracts per day for the month of March, a 9% increase compared to March 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 over 7.3 million contracts traded ($890B notional) since the Nov. 2015 launch. BTIC on E-mini S&P 500 contracts has averaged 36K+ contracts per day in March, including 30K+ contracts traded on 17 days of the month; 90% of the volume was transacted on CME Globex. Liquidity continues to build on-screen: 85%+ of BTIC on E-mini S&P 500 volume has traded on Globex thus far in 2017, compared to 64% in 2016 (full-year). Additionally, BTIC volume has comprised 36% of the MOC value traded at NYSE and NASDAQ, on average, in 2018. By comparison, BTIC averaged 14% of the MOC value in 2017.
  • Bitcoin Futures: March was the highest ADV month for Bitcoin futures as 2,070 contracts traded per day for the month, a 30% increase vs. February. Open interest has been holding steady, finishing with 1,710 contracts at month-end, while orderbook liquidity has shown meaningful improvement. The top-of-book bid-ask spread has narrowed to 4 ticks wide, and increased to 4 contracts deep, on average, compared to 6 ticks wide and 3 contracts deep in February. The Bitcoin futures market has also demonstrated around-the-clock liquidity: ~40% of the volume has come during non-regular US trading hours, and ~25% of volume has come from non-US participants.
  • Russell 2000: The maturation of E-mini Russell 2000 futures and options continues to be very positive. Volume exploded in March as the futures averaged over 183,000 contracts per day while the options averaged over 5,500 contracts per day. For more information on the Russell 2000, please see: cmegroup.com/Russell2000.
  • Equity Options: Equity options ADV for March was 883,725 contracts per day, while Q1 ADV was nearly 1.1 million contracts per day. Short-dated options continue to propel the equity options growth, with both Monday (66K ADV in March) and Wednesday Weekly S&P 500 Options (78K ADV in March) 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 57% 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.

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