November Equity Index Product Review

Equity Products Performance

 

Product Code

Bloomberg Ticker

Nov ADV

YTD ADV*

Open Interest

Total     3,674,540 3,417,644 9,466,862
S&P 500     2,561,164 2,493,466 8,230,848
Futures     1,774,730 1,697,439 3,460,854
E-mini ES ESA Index 1,735,506 1,656,172 3,040,324
Standard SP SPA Index 2,857 4,653 66,225
BTIC EST STEA Index 33,420 33,934 -
Dividend Future SDA, SDI ASDA, ISDA Index 838 717 114,298
Total Return Futures TRI, CTR SRTA, CTIA Index 1,833 1,860 240,007
TACO ESQ TQA Index 274 103 -
Options     786,435 796,027 4,769,994
E-mini     743,179 748,457 4,467,197
End-Of-Month EW SCA Index 111,255 124,983 650,085
Quarterlies ES ESA Index 180,894 175,112 2,504,600
Mon. Weekly E1A-E5A IWWA Index 63,173 47,843 240,711
Wed. Weekly E1C-E5C IEWA Index 70,516 57,542 52,197
Weekly EW1 - EW4 1EA-4EA Index 317,339 342,977 1,019,604
Standard     43,256 47,571 302,797
End-Of-Month EV EVA Index 7,487 8,590 46,503
Flex XP, YP   177 236 16,280
Quarterlies SP SPA Index 2,838 6,016 90,175
Mon. Weekly S1A-S5A SVPA Index 9,657 4,603 75,629
Wed. Weekly S1C-S5C SPWA Index 6,805 4,075 4,577
Weekly EV1 - EV4 1DA-4DA 16,291 24,051 69,633
Nasdaq     635,398 483,715 316,069
Futures     623,524 472,149 236,855
E-mini NQ NQA Index 621,157 470,107 236,855
BTIC NQT QNTA Index 2,367 2,042 -
Options     11,873 11,566 79,214
E-mini     11,873 11,566 79,214
End-Of-Month QNE QNAA Index 1,717 1,118 4,057
Quarterlies NQ NQA Index 5,979 3,705 64,534
Weekly QN1 - QN4 1OA-4OA Index 4,178 6,743 10,623
Dow Jones     233,096 230,608 89,713
Futures     232,668 230,148 78,223
E-mini YM DMA Index 232,140 229,877 78,223
BTIC YMT YMTA Index 527 272 -
Options     428 460 11,490
E-mini     428 460 11,490
Quarterlies YM DMA Index 321 366 11,040
Weekly YM1 - YM4 1FA-4FA Index 107 94 450
Russell 2000     151,417 144,472 495,910
Futures     149,070 141,933 469,067
E-mini RTY RTYA Index 147,492 140,699 469,067
BTIC RLT RLBA Index 1,578 1,234 -
Options     2,347 2,539 26,843
E-mini     2,347 2,539 26,843
End-Of-Month RTM RMEA Index 501 321 2,722
Quarterlies RTO RTYA Index 529 617 16,486
Weekly R1E-R4E RUWA Index 1,317 1,601 7,635
S&P 400 - MIDCAP     17,287 18,692 64,168
Futures     17,287 18,692 64,168
E-mini ME FAA Index 17,287 18,692 64,168
INTERNATIONAL     53,862 34,107 92,760
Futures     53,862 34,107 92,760
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 53,827 33,832 92,392
Nifty 50 MNF MNCA Index - 235 -
Ibovespa IBV IBAA Index 6 30 191
TOPIX TPY TPYA Index 28 10 177
SECTORS     14,386 7,712 157,892
Futures     14,386 7,712 157,892
Comm. Srvcs. XAZ XASA Index 214 - 1,641
Cons. Discr. XAY IXYA Index 1,124 503 4,954
Cons. Staples XAP IXRA Index 713 642 13,264
Energy XAE IXPA Index 1,855 931 11,984
Financial XAF IXAA Index 2,247 1,328 28,815
Health Care XAV IXCA Index 1,369 415 16,095
Industrial XAI IXIA Index 959 370 11,176
Materials XAB IXDA Index 559 283 12,797
Real Estate XAR XARA Index 161 211 1,996
Technology XAK IXTA Index 2,524 691 12,198
Utilities XAU IXSA Index 1,648 1,045 15,768
Dow Jones Real Estate JR DJEA Index 1,224 1,269 26,548
Nasdaq Biotechnology BQ DBA Index 5 23 656
FTSE     283 113 498
Futures     283 113 498
FTSE China 50 FT5 FCYA Index 24 32 228
FTSE 100 (GBP) FT1 FFEA Index 56 35 49
FTSE 100 (USD) FTU FFIA Index 62 43 10
FTSE Emerging EI OEIA Index 142 3 211
FTSE Dev. Europe DVE DVEA Index - - -
Russell 1000     1,658 1,124 15,603
Futures     1,658 1,124 15,603
Russell 1000 RS1 RSYA Index 500 402 8,943
Russell 1000 Growth RSG RGYA Index 542 313 1,597
Russell 1000 Value RSV RVYA Index 615 409 5,063
Bitcoin     5,988 3,635 3,401
Futures     5,988 3,635 3,401
Standard BTC BTCA Curncy 5,988 3,635 3,401

*Through November 30, 2018

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 3.68 million contracts per day in November 2018, a 40% increase over November 2017.
  • Equity Index open interest averaged 9.99 million contracts per day for the month of November, a 7% decrease versus November 2017.  

Product Highlights

  • BTIC on Major Indices: BTIC on E-mini S&P 500 averaged 33,420 contracts per day in November ($4.56B notional). Liquidity continues to build on-screen: 94% of BTIC on E-mini S&P 500 volume traded on Globex in November, 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.
  • Russell 2000: The maturation of E-mini Russell 2000 futures and options continues to be very positive. Futures YTD ADV is 141,977 contracts per day and open interest finished at 469,067 contracts at November month-end. 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 795K+ contracts per day through November (+24% vs. 2017 FY). Both Monday (52K YTD ADV) and Wednesday Weekly S&P 500 Options (60K 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.
  • Total Return Futures: Due to the strong growth (1,860K ADV, +437% vs. 2017) 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 on December 3rd. Open interest in the S&P 500 contract finished at 240,007 at November month-end.
  • 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 12,129 ADV through November ($878M notional per day), representing a 63% increase vs. 2017 ADV. Open interest also continues to climb with average daily OI of 143,425 contracts ($10.11 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

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