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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