March Equity Index Product Review

Equity Products Performance

  Product Code Bloomberg Ticker March ADV YTD ADV* Open Interest
Total     3,486,398 3,161,109 7,501,891
S&P 500     2,425,192 2,209,081 6,394,319
Futures     1,847,971 1,615,149 2,815,162
E-mini ES ESA Index 1,805,005 1,572,209 2,507,782
Standard SP SPA Index 5,040 3,175 26,851
BTIC EST STEA Index 33,790 35,726 -
Dividend Future SDA, SDI ASDA, ISDA Index 883 1,183 92,319
Total Return Futures TRI, CTR SRTA, CTIA Index 3,242 2,770 188,210
TACO ESQ TQA Index 10 87 -
Options     577,221 593,932 3,579,157
E-mini     548,249 557,958 3,409,669
End-Of-Month EW SCA Index 94,692 86,501 521,918
Quarterlies ES ESA Index 131,178 131,444 1,535,649
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 322,379 340,013 1,352,102
Standard     28,973 35,974 169,488
End-Of-Month EV EVA Index 6,779 6,213 37,763
Flex XP, YP   175 225 4,820
Quarterlies SP SPA Index 5,830 3,759 31,335
Weekly (M, W, F) EV1 - EV4 1DA-4DA 16,188 25,777 95,570
NASDAQ     523,072 491,271 249,671
Futures     514,257 481,207 194,284
E-mini NQ NQA Index 512,027 478,820 194,284
BTIC NQT QNTA Index 2,230 2,387 -
Options     8,816 10,064 55,387
E-mini     8,816 10,064 55,387
DOW JONES     234,910 221,278 84,398
Futures     234,663 220,995 81,587
E-mini YM DMA Index 234,206 220,284 81,587
BTIC YMT YMTA Index 458 712 -
Options     247 283 2,811
E-mini     247 283 2,811
Russell 2000     198,507 149,566 477,648
Futures     196,138 147,963 448,319
E-mini RTY RTYA Index 194,245 146,100 448,319
BTIC RLT RLBA Index 1,892 1,863 -
Options     2,370 1,602 25,948
E-mini     2,370 1,602 25,948
S&P 400 - MIDCAP     24,138 17,872 62,047
Futures     24,138 17,872 62,047
E-mini ME FAA Index 24,138 17,872 62,047
INTERNATIONAL     55,172 129,717 81,893
Futures     55,172 129,717 81,893
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 54,123 128,673 81,161
Nifty 50 MNF MNCA Index - 893 -
Ibovespa IBV IBAA Index 24 114 458
TOPIX TPY TPYA Index 1,025 37 274
SECTORS     18,800 9,140 130,725
Futures     18,800 9,140 130,725
Comm. Srvcs. XAZ XASA Index 560 204 3,563
Cons. Discr. XAY IXYA Index 583 605 3,768
Cons. Staples XAP IXRA Index 1,896 936 12,722
Energy XAE IXPA Index 2,043 781 14,269
Financial XAF IXAA Index 2,995 962 31,996
Health Care XAV IXCA Index 1,568 929 9,634
Industrial XAI IXIA Index 986 845 6,765
Materials XAB IXDA Index 934 435 6,297
Real Estate XAR XARA Index 272 162 915
Technology XAK IXTA Index 1,258 849 7,227
Utilities XAU IXSA Index 2,370 1,369 9,923
Dow Jones Real Estate JR DJEA Index 3,882 1,264 23,646
Nasdaq Biotechnology BQ DBA Index 12 5 -
FTSE     94 429 89
Futures     94 429 89
FTSE China 50 FT5 FCYA Index 2 122 -
FTSE 100 (GBP) FT1 FFEA Index - 133 -
FTSE 100 (USD) FTU FFIA Index - 163 -
FTSE Emerging EI OEIA Index 92 11 89
FTSE Dev. Europe DVE DVEA Index - - -
Russell 1000     2,932 4,275 17,422
Futures     2,932 4,275 17,422
Russell 1000 RS1 RSYA Index 989 1,530 8,899
Russell 1000 Growth RSG RGYA Index 677 1,189 2,279
Russell 1000 Value RSV RVYA Index 1,266 1,556 6,244
Bitcoin     3,579 4,369 3,679
Futures     3,579 4,369 3,679
Standard BTC BTCA Curncy 3,579 4,369 3,679

*Through March 29, 2019

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 3.45 million contracts per day in March 2019, a 21% decrease versus March 2018. After an extremely volatile Q4-2018, markets have tempered throughout the course of 2019 thus far.
  • Equity Index open interest averaged 8.40 million contracts per day for the month of March, a 18% decrease versus March 2018.  

Product Highlights

  • BTIC on Major Indices: BTIC on E-mini S&P 500 averaged 33,790 contracts per day in March ($4.7B notional). Liquidity continues to be on-screen: 90% of BTIC on E-mini S&P 500 volume traded on Globex in March, on pace with 2018 figures and considerably higher than 78% in 2017. BTIC volume comprised 26% of the MOC value traded at NYSE and NASDAQ in March 2019.
  • Russell 2000: Futures monthly ADV was 198,507 contracts (+5% YOY) and was the second highest monthly ADV on average. For more information on the Russell 2000, please see: cmegroup.com/Russell2000.
  • Equity Options: Equity options averaged 605K contracts per day in February. CME S&P options has represented 90% of the ETH S&P volume in 2019. CME completed its seventh successful equity options compression run in March, alleviating pressure on firms that are most affected by capital constraints imposed by Basel III.
  • Total Return Futures: Continue to experience strong growth in our S&P 500 Total Return futures offering with an ADV of 2,770 (+56% vs. 1,770 ADV in 2018). CME expanded our Total Return futures offering to longer maturities and to include Nasdaq-100, Dow Jones, Russell 2000, and Russell 1000 in Q4-2018. RPC in Total Return futures is $5.21 in 2019 which is 36% higher than 2018 ($3.83 in 2018).

Months to Expiry

SPTR Futures Notional OI for: 3/15/2019

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

<24 Months

$37,250,015,020

$31,898,336,341

24-59 Months

$493,304,877

n/a 

60+ Months

$1,937,983,444

n/a 

 

$39,681,303,342

$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 7 with $166M notional traded.
  • Micro E-mini Futures: On May 6th, pending all regulatory approval, CME Group will launch Micro E-mini futures on our major indices. These are 1/10th the size of their E-mini counterparts for S&P 500, Nasdaq-100, Russell 2000 and Dow Jones. For more information on the Micro E-mini futures, please visit: www.cmegroup.com/microemini.

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