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

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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Read More Reports

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About CME Group

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