February Equity Index Product Review

Equity Products Performance

  Product Code Bloomberg Ticker Feb ADV YTD ADV* Open Interest
Total     2,673,292 2,983,819 7,987,458
S&P 500     1,895,293 2,095,623 6,703,445
Futures     1,346,492 1,492,918 3,087,240
E-mini ES ESA Index 1,309,567 1,449,990 2,680,882
Standard SP SPA Index 1,748 2,195 64,297
BTIC EST STEA Index 31,930 36,743 -
Dividend Future SDA, SDI ASDA, ISDA Index 896 1,340 81,822
Total Return Futures TRI, CTR SRTA, CTIA Index 2,217 2,523 260,239
TACO ESQ TQA Index 134 127 -
Options     548,801 602,705 3,616,205
E-mini     516,417 563,055 3,400,970
End-Of-Month EW SCA Index 72,360 82,200 496,507
Quarterlies ES ESA Index 150,639 131,584 2,009,354
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 293,418 349,271 895,109
Standard     32,384 39,650 215,235
End-Of-Month EV EVA Index 4,611 5,916 26,699
Flex XP, YP   200 251 14,844
Quarterlies SP SPA Index 3,024 2,672 68,245
Weekly (M, W, F) EV1 - EV4 1DA-4DA 24,550 30,811 105,447
NASDAQ     413,677 474,576 290,137
Futures     405,691 463,856 227,731
E-mini NQ NQA Index 403,754 461,387 227,731
BTIC NQT QNTA Index 1,937 2,469 -
Options     7,986 10,720 62,406
E-mini     7,986 10,720 62,406
DOW JONES     192,457 214,121 97,904
Futures     192,207 213,819 88,512
E-mini YM DMA Index 191,660 212,974 88,012
BTIC YMT YMTA Index 547 845 -
Options     250 302 9,392
E-mini     250 302 9,392
Russell 2000     106,558 123,871 541,602
Futures     104,884 122,672 515,654
E-mini RTY RTYA Index 103,213 120,823 515,654
BTIC RLT RLBA Index 1,672 1,848 -
Options     1,674 1,200 25,948
E-mini     1,674 1,200 25,948
S&P 400 - MIDCAP     14,884 14,582 68,243
Futures     14,884 14,582 68,243
E-mini ME FAA Index 14,884 14,582 68,243
INTERNATIONAL     40,645 197,818 102,383
Futures     40,645 197,818 102,383
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 40,066 196,226 101,598
Nifty 50 MNF MNCA Index - 1,361 -
Ibovespa IBV IBAA Index 69 174 511
TOPIX TPY TPYA Index 509 57 274
SECTORS     6,137 9,140 155,601
Futures     6,137 9,140 155,601
Comm. Srvcs. XAZ XASA Index 174 204 5,672
Cons. Discr. XAY IXYA Index 338 605 4,707
Cons. Staples XAP IXRA Index 1,018 936 16,930
Energy XAE IXPA Index 456 781 13,626
Financial XAF IXAA Index 588 962 16,370
Health Care XAV IXCA Index 436 929 14,924
Industrial XAI IXIA Index 442 845 16,021
Materials XAB IXDA Index 283 435 6,865
Real Estate XAR XARA Index 136 162 1,317
Technology XAK IXTA Index 529 849 9,162
Utilities XAU IXSA Index 1,012 1,369 18,277
Dow Jones Real Estate JR DJEA Index 895 1,264 31,730
Nasdaq Biotechnology BQ DBA Index 4 5 -
FTSE     156 655 162
Futures     156 655 162
FTSE China 50 FT5 FCYA Index 3 187 140
FTSE 100 (GBP) FT1 FFEA Index - 203 -
FTSE 100 (USD) FTU FFIA Index - 248 5
FTSE Emerging EI OEIA Index 153 17 17
FTSE Dev. Europe DVE DVEA Index - - -
Russell 1000     843 6,520 24,776
Futures     843 6,520 24,776
Russell 1000 RS1 RSYA Index 143 2,333 8,065
Russell 1000 Growth RSG RGYA Index 76 1,813 2,829
Russell 1000 Value RSV RVYA Index 623 2,373 13,882
Bitcoin     2,642 2,893 3,205
Futures     2,642 2,893 3,205
Standard BTC BTCA Curncy 2,642 2,893 3,205

*Through February 28, 2019

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 2.68 million contracts per day in February 2019, a 17% decrease versus 2018 Full Year. After an extremely volatile Q4-2018, markets have tempered throughout the course of 2019 thus far.
  • Equity Index open interest averaged 8.69 million contracts per day for the month of February, a 23% decrease versus February 2018.  

Product Highlights

  • BTIC on Major Indices: BTIC on E-mini S&P 500 averaged 31,930 contracts per day in February ($4.4B notional). Liquidity continues to build on-screen: 90% of BTIC on E-mini S&P 500 volume traded on Globex in February, on pace with 2018 figures and considerably higher than 78% in 2017. BTIC volume comprised 31% of the MOC value traded at NYSE and NASDAQ in February 2019.
  • Russell 2000: Futures monthly ADV was 104,884 contracts (-34% YOY) and open interest finished at 500,146 contracts at February month-end. This is a 6% increase versus January. The Russell 2000 index remained relatively flat in February, finishing -0.34% lower than its closing price in January, far from the extreme volatility seen in Q4-2018. For more information on the Russell 2000, please see: cmegroup.com/Russell2000.
  • Equity Options: Equity options averaged 558K contracts per day in February. CME S&P options has represented 90% of the ETH S&P volume in 2019. CME completed its sixth successful equity options compression run on February 20th. Six firms and two FCMs participated in the run that reduced 400K sides and 24% compression.
  • Total Return Futures: YTD ADV of 2,522 contracts through February 28th, +42% vs. 2018 FY ADV. As shown in the table below, we have seen strong customer adoption in our longer-dated S&P Total Return Futures, specifically, the 5+ year bucket which was not available prior to the enhancements in Dec.

Months to Expiry

SPTR Futures Notional OI for: 2/28/2019

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

<24 Months

$32,859,809,975

$31,898,336,341

24-59 Months

$486,587,500

n/a 

60+ Months

$1,807,325,000

n/a 

 

$35,153,722,475

$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.

    Topix futures hit 2 consecutive record days at the beginning of March, reaching peak volume in March 4 with $167M notional traded.

    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 have averaged 8,075 contracts in 2019, which is an increase of 9% year-over-year. Financial, 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.

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