April Equity Index Products Review

Equity Products Performance

  Product Code Bloomberg Ticker April ADV YTD ADV* Open Interest
Total     3,428,898 3,918,639 8,778,459
S&P 500     2,489,002 2,895,104 7,430,558
Futures     1,706,660 1,901,730 3,284,344
E-mini ES ESA Index 1,667,490 1,856,127 2,995,032
Standard SP SPA Index 4,084 6,386 81,701
BTIC EST STEA Index 32,239 37,090 -
Dividend Future SDA, SDI ASDA, ISDA Index 419 712 107,828
Total Return Futures TRI, CTR SRTA, CTIA Index 2,427 1,415 99,783
Options     782,342 993,374 4,146,214
E-mini     742,827 932,248 3,881,697
End-Of-Month EW SCA Index 90,101 151,604 482,360
Quarterlies ES ESA Index 128,852 221,925 1,998,356
Mon. Weekly E1A-E5A IWWA Index 37,105 51,065 41,255
Wed. Weekly E1C-E5C IEWA Index 65,683 63,024 79,665
Weekly EW1 - EW4 1EA-4EA Index 421,086 444,630 1,280,061
Standard     39,515 61,126 264,517
End-Of-Month EV EVA Index 4,126 12,143 19,662
Flex XP, YP   331 294 17,044
Quarterlies SP SPA Index 2,961 9,251 75,336
Mon. Weekly S1A-S5A SVPA Index 2,599 3,874 500
Wed. Weekly S1C-S5C SPWA Index 3,357 3,522 11,300
Weekly EV1 - EV4 1DA-4DA 26,140 32,042 140,675
NASDAQ     489,898 493,914 309,220
Futures     477,654 480,182 238,355
E-mini NQ NQA Index 475,589 478,656 238,355
BTIC NQT QNTA Index 2,064 1,526 -
Options     12,245 13,732 70,865
E-mini     12,245 13,732 70,865
End-Of-Month QNE QNAA Index 290 837 2,375
Quarterlies NQ NQA Index 2,443 3,595 36,280
Weekly QN1 - QN4 1OA-4OA Index 9,511 9,300 32,210
DOW JONES     261,330 276,616 114,176
Futures     260,924 276,031 104,311
E-mini YM DMA Index 260,725 275,786 104,311
BTIC YMT YMTA Index 199 245 -
Options     406 585 9,865
E-mini     406 585 9,865
Quarterlies YM DMA Index 275 483 8,833
Weekly YM1 - YM4 1FA-4FA Index 130 102 1,032
Russell 2000     108,045 141,865 539,090
Futures     105,968 138,395 510,287
E-mini RTY RTYA Index 104,909 137,343 510,287
BTIC RLT RLBA Index 1,059 1,052 -
Options     2,077 3,471 3,329
E-mini     2,077 3,471 3,329
End-Of-Month RTM RMEA Index 94 345 45
Quarterlies RTO RTYA Index 244 779 1,434
Weekly R1E-R4E RUWA Index 1,739 2,346 1,850
S&P 400 - MIDCAP     15,841 20,375 76,635
Futures     15,841 20,375 76,635
E-mini ME FAA Index 15,841 20,375 76,635
INTERNATIONAL     47,711 72,734 112,189
Futures     47,711 72,734 112,189
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 47,619 71,991 110,609
Nifty 50 MNF MNCA Index - 664 1,004
Ibovespa IBV IBAA Index 89 67 486
TOPIX TPY TPYA Index 2 13 90
SECTORS     11,425 13,405 172,474
Futures     11,425 13,405 172,474
Cons. Discr. XAY IXYA Index 908 960 6,584
Cons. Staples XAP IXRA Index 870 1,293 26,842
Energy XAE IXPA Index 1,319 1,236 19,810
Financial XAF IXAA Index 2,868 2,441 31,939
Health Care XAV IXCA Index 519 732 7,282
Industrial XAI IXIA Index 862 710 5,847
Materials XAB IXDA Index 345 540 3,322
Real Estate XAR XARA Index 418 402 6,558
Technology XAK IXTA Index 1,037 1,241 12,542
Utilities XAU IXSA Index 1,368 1,762 29,027
Dow Jones Real Estate JR DJEA Index 912 2,050 21,757
Nasdaq Biotechnology BQ DBA Index - 38 964
FTSE     195 245 251
Futures     195 245 251
FTSE China 50 FT5 FCYA Index 56 69 119
FTSE 100 (GBP) FT1 FFEA Index 74 77 127
FTSE 100 (USD) FTU FFIA Index 64 93 -
FTSE Emerging EI OEIA Index 1 6 5
FTSE Dev. Europe DVE DVEA Index - 0 -
Russell 1000     1,707 2,041 21,646
Futures     1,707 2,041 21,646
Russell 1000 RS1 RSYA Index 429 694 9,280
Russell 1000 Growth RSG RGYA Index 902 598 3,876
Russell 1000 Value RSV RVYA Index 376 749 8,490
Bitcoin     3,745 2,338 2,220
Futures     3,745 2,338 2,220
Standard BTC BTCA Curncy 3,745 2,338 2,220

*Through April 30, 2018

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 3.43 million contracts per day in April 2018, a 32% increase compared to April 2017.
  • Equity Index open interest averaged 9.52 million contracts per day for the month of April, a 6% increase compared to April 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 8 million contracts traded ($997B notional) since the November 2015 launch. BTIC on E-mini S&P 500 has averaged 32,239 contracts per day in April ($4.3B notional). Liquidity continues to build on-screen: 86% of BTIC on E-mini S&P 500 volume traded on Globex in 2018 through April, compared to 78% in 2017 and 64% in 2016. Additionally, BTIC volume has comprised 35% 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: Back-to-back record ADV months in March (2,578 contracts per day) and April (3,745 contracts per day). Moreover, CME’s Bitcoin futures participation, on a notionally-adjusted basis, has increased from ~50% in Jan. and Feb. to 64% in March and 75% in April. Open interest has been holding steady, finishing with 2,220 contracts at April month-end, while orderbook liquidity has shown meaningful improvement: the market impact of executing a 5-lot has improved from 8 ticks in February to 3 ticks in April.
  • Russell 2000: The maturation of E-mini Russell 2000 futures and options continues to be very positive. Futures YTD ADV is 137,343 contracts per day and open interest finished at 510,287 contracts at April month-end. For the options, YTD ADV is 3,471 contracts per day, a 95% increase compared to Q4-2017 ADV. For more information on the Russell 2000, please see: cmegroup.com/Russell2000.
  • S&P 500 Options: ADV for the S&P 500 options complex was 993K contracts per day through April (+51% vs. 2017 FY). Both Monday (55K YTD ADV) and Wednesday Weekly S&P 500 Options (67K ADV) have been successful as they allow customers greater flexibility in tailoring their exposure. Moreover, the Weekly S&P 500 options complex (Mon/Wed/Fri expiries) now comprises 60% of the S&P 500 options business.
  • NASDAQ-100: E-mini NASDAQ-100 futures and options continue to flourish in 2018. Through April, futures volume is up 73% compared to 2017 full-year with 480,182 ADV. Similarly, the options are up 20% vs. 2017 with 13,732 ADV. Weekly options, which comprise 68% of the NASDAQ-100 options volume, have driven this growth as participants increasingly position favor short-dated options ahead of major market moving events.
  • Sector Futures: Tremendous growth in E-mini S&P Select Sector futures with 11,318 ADV through April ($810 million notional value), representing a 52% increase vs. 2017 ADV. Open interest also continues to climb with average daily OI of 140,371 contracts ($9.7 billion notional value) in 2018. By comparison, the average daily OI was 99,930 contracts in 2017. For more information on the Sector futures, please visit http://www.cmegroup.com/trading/equity-index/select-sector-index.html.

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