October Equity Index Product Review

Equity Products Performance

 

Product Code

Bloomberg Ticker

Oct ADV

YTD ADV*

Open Interest

Total     4,728,855 3,398,976 9,714,352
S&P 500     3,369,975 2,486,643 8,452,010
Futures     2,318,372 1,689,661 3,349,232
E-mini ES ESA Index 2,266,626 1,648,276 2,964,023
Standard SP SPA Index 3,810 4,832 52,898
BTIC EST STEA Index 44,294 33,985 -
Dividend Future SDA, SDI ASDA, ISDA Index 1,897 705 115,304
Total Return Futures TRI, CTR SRTA, CTIA Index 1,746 1,863 217,007
TACO ESQ TQA Index 193 86 -
Options     1,051,603 796,982 5,102,778
E-mini     1,004,360 748,982 4,811,171
End-Of-Month EW SCA Index 172,316 126,349 928,978
Quarterlies ES ESA Index 168,428 174,536 2,095,356
Mon. Weekly E1A-E5A IWWA Index 73,156 46,318 46,978
Wed. Weekly E1C-E5C IEWA Index 77,677 56,251 38,919
Weekly EW1 - EW4 1EA-4EA Index 512,783 345,528 1,700,940
Standard     47,242 48,000 291,607
End-Of-Month EV EVA Index 7,091 8,699 64,852
Flex XP, YP   - 242 14,336
Quarterlies SP SPA Index 2,961 6,332 70,469
Mon. Weekly S1A-S5A SVPA Index 5,822 4,100 523
Wed. Weekly S1C-S5C SPWA Index 5,360 3,803 1,495
Weekly EV1 - EV4 1DA-4DA 26,008 24,823 139,932
NASDAQ     739,337 468,618 316,634
Futures     725,391 457,083 240,969
E-mini NQ NQA Index 720,718 455,074 240,969
BTIC NQT QNTA Index 4,673 2,009 -
Options     13,947 11,535 75,665
E-mini     13,947 11,535 75,665
End-Of-Month QNE QNAA Index 2,059 1,058 11,257
Quarterlies NQ NQA Index 2,939 3,479 38,902
Weekly QN1 - QN4 1OA-4OA Index 8,948 6,998 25,506
DOW JONES     308,656 230,361 95,815
Futures     308,183 229,898 86,699
E-mini YM DMA Index 307,650 229,651 86,699
BTIC YMT YMTA Index 533 247 -
Options     474 463 9,116
E-mini     474 463 9,116
Quarterlies YM DMA Index 352 370 8,502
Weekly YM1 - YM4 1FA-4FA Index 122 93 614
Russell 2000     189,703 143,781 507,854
Futures     186,966 141,223 478,151
E-mini RTY RTYA Index 184,466 140,023 478,151
BTIC RLT RLBA Index 2,500 1,200 -
Options     2,737 2,558 29,703
E-mini     2,737 2,558 29,703
End-Of-Month RTM RMEA Index 307 303 3,193
Quarterlies RTO RTYA Index 726 626 13,972
Weekly R1E-R4E RUWA Index 1,704 1,629 12,538
S&P 400 - MIDCAP     23,122 18,832 72,357
Futures     23,122 18,832 72,357
E-mini ME FAA Index 23,122 18,832 72,357
INTERNATIONAL     74,420 37,501 92,772
Futures     74,420 37,501 92,772
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 74,302 37,199 92,392
Nifty 50 MNF MNCA Index - 258 -
Ibovespa IBV IBAA Index 82 33 191
TOPIX TPY TPYA Index 37 11 189
SECTORS     19,249 8,480 157,892
Futures     19,249 8,480 157,892
Comm. Srvcs. XAZ XASA Index 158 - 1,641
Cons. Discr. XAY IXYA Index 1,729 553 4,954
Cons. Staples XAP IXRA Index 1,261 706 13,264
Energy XAE IXPA Index 1,860 1,024 11,984
Financial XAF IXAA Index 3,159 1,461 28,815
Health Care XAV IXCA Index 1,189 456 16,095
Industrial XAI IXIA Index 1,330 407 11,176
Materials XAB IXDA Index 897 311 12,797
Real Estate XAR XARA Index 289 231 1,996
Technology XAK IXTA Index 4,136 760 12,198
Utilities XAU IXSA Index 2,334 1,149 15,768
Dow Jones Real Estate JR DJEA Index 1,065 1,395 26,548
Nasdaq Biotechnology BQ DBA Index - 26 656
FTSE     218 124 498
Futures     218 124 498
FTSE China 50 FT5 FCYA Index 43 35 228
FTSE 100 (GBP) FT1 FFEA Index 60 38 49
FTSE 100 (USD) FTU FFIA Index 79 47 10
FTSE Emerging EI OEIA Index 36 3 211
FTSE Dev. Europe DVE DVEA Index - - -
Russell 1000     1,688 1,236 15,603
Futures     1,688 1,236 15,603
Russell 1000 RS1 RSYA Index 594 442 8,943
Russell 1000 Growth RSG RGYA Index 481 344 1,597
Russell 1000 Value RSV RVYA Index 613 450 5,063
Bitcoin     2,485 3,400 2,917
Futures     2,485 3,400 2,917
Standard BTC BTCA Curncy 2,485 3,400 2,917

*Through October 31, 2018

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 4.73 million contracts per day in October 2018, a 111% increase over October 2017.
  • Equity Index open interest averaged 10.03 million contracts per day for the month of October, a 3% decrease versus October 2017.  

Product Highlights

  • BTIC on Major Indices: BTIC links futures to the cash market close and has been a very positive addition thus far. BTIC on E-mini S&P 500 averaged 44,298 contracts per day in October ($7.06B notional). Liquidity continues to build on-screen: 94% of BTIC on E-mini S&P 500 volume traded on Globex in October, compared to 78% in 2017 and 64% in 2016. BTIC volume has comprised 32% of the MOC value traded at NYSE and NASDAQ, on average, in 2018. By comparison, BTIC averaged 14% of the MOC value in 2017.
  • Russell 2000: The maturation of E-mini Russell 2000 futures and options continues to be very positive. Futures YTD ADV is 143,781 contracts per day and open interest finished at 478,151 contracts at October month-end. For the options, October ADV was 2,737 contracts per day, a 35% increase compared to Q4-2017 ADV. For more information on the Russell 2000, please see: cmegroup.com/Russell2000.
  • S&P 500 Options: YTD ADV for the S&P 500 options complex was 797K+ contracts per day through October (+24% vs. 2017 FY). Both Monday (50K YTD ADV) and Wednesday Weekly S&P 500 Options (58K 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 over 60% of the S&P 500 options business.
  • NASDAQ-100:
    • Average daily volume reached 725k contracts ($103B notional); +190% vs October 2017
    • Non-U.S. trading hour volume soared to an ADV of ~100K contracts; +341% vs October 2017
    • E-mini Nasdaq-100 options averaged 14K in October; +5% vs October 2017
    • BTIC On Nasdaq-100 futures volume rose to 4,673 contracts daily ($673M notional); +2,398% vs October 2017
  • Total Return Futures: Due to the strong growth we have seen in our S&P 500 Total Return Futures in 2018, CME plans to expand our Total Return futures offering to longer maturities in S&P and to introduce Total Return futures on Nasdsaq-100, Dow Jones, Russell 2000, and Russell 1000 in late Q4-2018.
  • TOPIX: CME launched TOPIX futures in February 2018. TOPIX is a free-float adjusted market capitalization weighted index that is calculated based on all the domestic common stocks listed on the Tokyo Stock Exchange (TSE) First Section.

    CME will offer fee waivers on all TOPIX Globex activity through February 2019. Our new article compares TOPIX futures versus ETFs, such as the iShares MSCI Japan index (EWJ), and explains the key features in trading TOPIX.
  • Sector Futures: Tremendous growth in E-mini S&P Select Sector futures with 12,036 ADV through October ($871M notional per day), representing a 62% increase vs. 2017 ADV. Open interest also continues to climb with average daily OI of 143,911 contracts ($10.13 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.

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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