December Equity Index Product Review

Equity Products Performance

  Product Code Bloomberg Ticker Dec ADV YTD ADV* Open Interest
Total     5,113,639 3,542,811 8,006,092
S&P 500     3,623,619 2,583,161 6,864,781
Futures     2,661,815 1,773,977 3,009,981
E-mini ES ESA Index 2,596,693 1,730,817 2,694,397
Standard SP SPA Index 6,399 4,792 36,767
BTIC EST STEA Index 56,825 35,751 -
Dividend Future SDA, SDI ASDA, ISDA Index 1,081 746 64,958
Total Return Futures TRI, CTR SRTA, CTIA Index 800 1,776 213,859
TACO ESQ TQA Index 16 96 -
Options     961,804 809,184 3,854,800
E-mini     900,727 760,542 3,661,213
End-Of-Month EW SCA Index 109,905 123,786 605,115
Quarterlies ES ESA Index 280,131 183,447 1,456,614
Mon. Weekly E1A-E5A IWWA Index 60,476 48,846 20,370
Wed. Weekly E1C-E5C IEWA Index 73,860 58,837 74,316
Weekly EW1 - EW4 1EA-4EA Index 376,355 345,626 1,504,798
Standard     61,078 48,643 193,587
End-Of-Month EV EVA Index 8,903 8,615 24,956
Flex XP, YP   85 224 6,488
Quarterlies SP SPA Index 11,124 6,421 13,597
Mon. Weekly S1A-S5A SVPA Index 6,575 4,760 -
Wed. Weekly S1C-S5C SPWA Index 7,726 4,365 26,235
Weekly EV1 - EV4 1DA-4DA 26,665 24,258 122,311
NASDAQ     742,606 504,262 243,059
Futures     732,849 492,839 208,461
E-mini NQ NQA Index 727,648 490,547 208,461
BTIC NQT QNTA Index 5,201 2,293 -
Options     9,758 11,422 34,598
E-mini     9,758 11,422 34,598
End-Of-Month QNE QNAA Index 650 1,080 1,583
Quarterlies NQ NQA Index 5,783 3,870 19,934
Weekly QN1 - QN4 1OA-4OA Index 3,325 6,472 13,081
DOW JONES     347,419 239,879 81,411
Futures     346,486 239,382 74,350
E-mini YM DMA Index 345,906 239,085 73,850
BTIC YMT YMTA Index 580 296 -
Options     933 497 7,061
E-mini     933 497 7,061
Quarterlies YM DMA Index 792 400 6,190
Weekly YM1 - YM4 1FA-4FA Index 141 98 871
Russell 2000     246,368 152,559 482,795
Futures     244,830 150,100 471,020
E-mini RTY RTYA Index 242,060 148,744 471,020
BTIC RLT RLBA Index 2,770 1,356 -
Options     1,537 2,460 11,775
E-mini     1,537 2,460 11,775
End-Of-Month RTM RMEA Index 151 307 248
Quarterlies RTO RTYA Index 516 609 3,371
Weekly R1E-R4E RUWA Index 871 1,543 8,156
S&P 400 - MIDCAP     30,728 19,647 69,805
Futures     30,728 19,647 69,805
E-mini ME FAA Index 30,728 19,647 69,805
INTERNATIONAL     77,775 31,400 82,853
Futures     77,775 31,400 82,853
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 77,356 31,147 82,384
Nifty 50 MNF MNCA Index - 216 -
Ibovespa IBV IBAA Index 37 28 195
TOPIX TPY TPYA Index 382 9 274
SECTORS     37,107 7,100 148,033
Futures     37,107 7,100 148,033
Comm. Srvcs. XAZ XASA Index 858 - 4,893
Cons. Discr. XAY IXYA Index 1,031 463 2,891
Cons. Staples XAP IXRA Index 3,314 591 14,599
Energy XAE IXPA Index 3,792 857 11,865
Financial XAF IXAA Index 4,616 1,223 16,003
Health Care XAV IXCA Index 4,463 382 17,465
Industrial XAI IXIA Index 3,833 341 13,978
Materials XAB IXDA Index 1,508 260 5,442
Real Estate XAR XARA Index 567 194 1,045
Technology XAK IXTA Index 4,900 636 8,537
Utilities XAU IXSA Index 3,355 962 18,940
Dow Jones Real Estate JR DJEA Index 5,646 1,168 32,375
Nasdaq Biotechnology BQ DBA Index 83 22 -
FTSE     315 104 430
Futures     315 104 430
FTSE China 50 FT5 FCYA Index 52 30 343
FTSE 100 (GBP) FT1 FFEA Index 49 32 29
FTSE 100 (USD) FTU FFIA Index 37 39 2
FTSE Emerging EI OEIA Index 176 3 56
FTSE Dev. Europe DVE DVEA Index - - -
Russell 1000     3,699 1,035 29,217
Futures     3,699 1,035 29,217
Russell 1000 RS1 RSYA Index 1,362 370 7,644
Russell 1000 Growth RSG RGYA Index 547 288 2,678
Russell 1000 Value RSV RVYA Index 1,790 377 18,895
Bitcoin     4,003 3,664 3,708
Futures     4,003 3,664 3,708
Standard BTC BTCA Curncy 4,003 3,664 3,708
*Through Dec 31, 2018        

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 5.13 million contracts per day in December 2018, a 73% increase over December 2017.
  • Equity Index open interest averaged 9.92 million contracts per day for the month of December, a 9% decrease versus December 2017.  

Product Highlights

  • BTIC on Major Indices: BTIC on E-mini S&P 500 averaged a record 56,825 contracts per day in December ($7.28B notional). Liquidity continues to build on-screen: 94% of BTIC on E-mini S&P 500 volume traded on Globex in December, 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 ADV in December was a record 251,096 contracts and open interest finished at 471,020 contracts at December month-end. Additionally, there was a record volume day on December 17th with over 582K contracts traded ($39.6B notional). 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 810K+ contracts per day during 2018 (+25% vs. 2017 FY). Both Monday (54K YTD ADV) and Wednesday Weekly S&P 500 Options (61K 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 (1,776K ADV, +415% vs. 2017) we have seen in our S&P 500 Total Return Futures in 2018, CME expanded its 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. In the one month of trading since launch, there has been immediately customer adoption
    • $55M in notional have traded in our newly introduced Dow Jones Total Return Futures
    • Trades in the following S&P 500 Total Return futures expiries that were previously not available for trading before Dec. 3
    • March 2020 contract: 2,000 lots and $263M in notional value
    • December 2020 contract: 1,500 lots and $210M in notional value
    • December 2023 contract: 1,500 lots and $201M in notional value
    • December 2024 contract: 500 lots and $65M in notional value
  • Open interest has continued to grow in our S&P 500 Total Return futures complex since our Dec. 3rd enhancements., now allowing customers to replace their OTC total return swaps with longer dated CME futures contracts. This provides more capital efficiencies for our clients, mainly due to Uncleared Swap Margin Rules.

Months to Expiry

SPTR Futures Notional OI for: 12/14/18

SPTR Futures Notional OI for: 11/30/2018*

<24 Months

33,127,715,531

31,898,336,341

24-59 Months

199,358,788

 

60+ Months

265,811,717

 

 

33,592,886,035

31,898,336,341

  • 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 a record full-year ADV of 14,161 contracts ($1.01B notional per day), representing an 89% increase vs. 2017 ADV. Open interest also continues to climb with average daily OI of 144,908 contracts ($10.17 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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