January Equity Index Product Review

Equity Products Performance

  Product Code Bloomberg Ticker Jan ADV YTD ADV* Open Interest
Total     3,256,508 3,674,121 8,398,464
S&P 500     2,276,874 2,276,874 7,156,440
Futures     1,625,399 1,625,399 3,011,750
E-mini ES ESA Index 1,577,040 1,577,040 2,637,323
Standard SP SPA Index 2,600 2,600 61,669
BTIC EST STEA Index 41,098 41,098 -
Dividend Future SDA, SDI ASDA, ISDA Index 1,742 1,742 75,899
Total Return Futures TRI, CTR SRTA, CTIA Index 2,799 2,799 236,859
TACO ESQ TQA Index 120 120 -
Options     651,475 651,475 4,144,690
E-mini     605,252 605,252 3,908,825
End-Of-Month EW SCA Index 91,103 91,103 608,900
Quarterlies ES ESA Index 114,344 114,344 2,009,354
Mon. Weekly E1A-E5A IWWA Index 34,461 34,461 35,963
Wed. Weekly E1C-E5C IEWA Index 52,144 52,144 26,957
Weekly EW1 - EW4 1EA-4EA Index 313,199 313,199 1,227,651
Standard     46,223 46,223 235,865
End-Of-Month EV EVA Index 7,098 7,098 23,708
Flex XP, YP   296 296 11,512
Quarterlies SP SPA Index 2,353 2,353 46,106
Mon. Weekly S1A-S5A SVPA Index 6,685 6,685 16,172
Wed. Weekly S1C-S5C SPWA Index 4,653 4,653 8,845
Weekly EV1 - EV4 1DA-4DA 25,139 25,139 129,522
NASDAQ     529,675 529,675 299,608
Futures     516,481 516,481 221,543
E-mini NQ NQA Index 513,531 513,531 221,543
BTIC NQT QNTA Index 2,950 2,950 -
Options     13,194 13,194 78,065
E-mini     13,194 13,194 78,065
End-Of-Month QNE QNAA Index 696 696 3,026
Quarterlies NQ NQA Index 2,631 2,631 33,780
Weekly QN1 - QN4 1OA-4OA Index 9,867 9,867 41,259
DOW JONES     233,722 233,722 90,604
Futures     233,373 233,373 82,627
E-mini YM DMA Index 232,259 232,259 82,127
BTIC YMT YMTA Index 1,114 1,114 -
Options     349 349 7,977
E-mini     349 349 7,977
Quarterlies YM DMA Index 189 189 7,499
Weekly YM1 - YM4 1FA-4FA Index 160 160 478
Russell 2000     139,535 139,535 502,180
Futures     138,765 138,765 491,645
E-mini RTY RTYA Index 136,757 136,757 491,645
BTIC RLT RLBA Index 2,008 2,008 -
Options     770 770 10,535
E-mini     770 770 10,535
End-Of-Month RTM RMEA Index 122 122 1,537
Quarterlies RTO RTYA Index 199 199 6,290
Weekly R1E-R4E RUWA Index 449 449 2,708
S&P 400 - MIDCAP     14,309 14,309 67,067
Futures     14,309 14,309 67,067
E-mini ME FAA Index 14,309 14,309 67,067
INTERNATIONAL     45,091 376,796 99,337
Futures     45,091 376,796 99,337
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 45,011 373,763 98,421
Nifty 50 MNF MNCA Index - 2,593 -
Ibovespa IBV IBAA Index 25 332 416
TOPIX TPY TPYA Index 55 108 500
SECTORS     11,474 85,205 154,801
Futures     11,474 85,205 154,801
Comm. Srvcs. XAZ XASA Index 216 - 4,877
Cons. Discr. XAY IXYA Index 842 5,561 4,778
Cons. Staples XAP IXRA Index 729 7,093 17,201
Energy XAE IXPA Index 1,084 10,287 12,709
Financial XAF IXAA Index 1,284 14,676 19,479
Health Care XAV IXCA Index 1,264 4,585 14,386
Industrial XAI IXIA Index 1,215 4,087 13,899
Materials XAB IXDA Index 448 3,126 6,138
Real Estate XAR XARA Index 167 2,326 1,048
Technology XAK IXTA Index 1,158 7,637 9,811
Utilities XAU IXSA Index 1,677 11,549 20,501
Dow Jones Real Estate JR DJEA Index 1,605 14,019 29,974
Nasdaq Biotechnology BQ DBA Index 0 259 -
FTSE     155 1,247 165
Futures     155 1,247 165
FTSE China 50 FT5 FCYA Index 28 356 160
FTSE 100 (GBP) FT1 FFEA Index 18 386 -
FTSE 100 (USD) FTU FFIA Index 16 472 5
FTSE Emerging EI OEIA Index 93 33 -
FTSE Dev. Europe DVE DVEA Index - - -
Russell 1000     1,333 12,418 24,267
Futures     1,333 12,418 24,267
Russell 1000 RS1 RSYA Index 148 4,444 7,859
Russell 1000 Growth RSG RGYA Index 109 3,454 2,943
Russell 1000 Value RSV RVYA Index 1,076 4,521 13,465
Bitcoin     4,340 4,340 3,995
Futures     4,340 4,340 3,995
Standard BTC BTCA Curncy 4,340 4,340 3,995

*Through January 31, 2019

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 3.26 million contracts per day in January 2019, a 7% increase over January 2018.
  • Equity Index open interest averaged 8.57 million contracts per day for the month of January, a 19% decrease versus January 2018.  

Product Highlights

  • BTIC on Major Indices: BTIC on E-mini S&P 500 averaged 41,098 contracts per day in January ($5.36B notional). Liquidity continues to build on-screen: 90% of BTIC on E-mini S&P 500 volume traded on Globex in January, on pace with 2018 figures and considerably higher than 78% in 2017. BTIC volume comprised 35% of the MOC value traded at NYSE and NASDAQ in January 2019.
  • Russell 2000: Futures monthly ADV was 138,765 contracts (+29% YOY) and open interest finished at 495,753 contracts at January month-end. For more information on the Russell 2000, please see: cmegroup.com/Russell2000.
  • Equity Options: Equity options averaged 665K contracts per day in January. CME S&P options has represented 87% of the ETH S&P volume in 2019.
  • 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: E-mini S&P Select Sector futures averaged 10,085 contracts in January (+53% YoY). Industrial, Health Care, and Utilities paced the eleven sectors in terms of volumes, helping to drive the strong growth. 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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