April Equity Index Product Review

Equity Products Performance

  Product Code Bloomberg Ticker April ADV YTD ADV* Open Interest
Total     2,316,400 2,945,420 8,228,527
S&P 500     1,587,787 2,049,969 7,078,588
Futures     1,142,759 1,494,171 2,999,693
E-mini ES ESA Index 1,110,204 1,453,890 2,644,496
Standard SP SPA Index 1,625 2,778 43,554
BTIC EST STEA Index 27,537 33,629 -
Dividend Future SDA, SDI ASDA, ISDA Index 1,167 1,179 102,253
Total Return Futures TRI, CTR SRTA, CTIA Index 2,151 2,612 209,390
TACO ESQ TQA Index 74 83 -
Options     445,028 555,798 4,078,895
E-mini     416,447 521,717 3,839,192
End-Of-Month EW SCA Index 58,271 79,271 532,736
Quarterlies ES ESA Index 91,598 121,240 2,254,081
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 266,577 321,206 1,052,375
Standard     28,581 34,081 239,703
End-Of-Month EV EVA Index 5,833 6,116 57,286
Flex XP, YP   153 206 8,008
Quarterlies SP SPA Index 1,618 3,211 48,257
Weekly (M, W, F) EV1 - EV4 1DA-4DA 20,977 24,548 126,152
NASDAQ     396,524 467,007 286,840
Futures     388,433 457,448 222,838
E-mini NQ NQA Index 387,081 455,326 222,838
BTIC NQT QNTA Index 1,351 2,121 -
Options     8,091 9,559 64,002
E-mini     8,091 9,559 64,002
DOW JONES     159,812 205,537 85,907
Futures     159,687 205,294 82,626
E-mini YM DMA Index 159,329 204,673 82,126
BTIC YMT YMTA Index 358 621 -
Options     125 242 3,281
E-mini     125 242 3,281
Russell 2000     108,758 139,115 455,783
Futures     106,772 137,414 427,587
E-mini RTY RTYA Index 105,753 135,767 427,587
BTIC RLT RLBA Index 1,019 1,647 -
Options     1,986 1,701 25,948
E-mini     1,986 1,701 25,948
S&P 400 - MIDCAP     10,798 16,060 65,690
Futures     10,798 16,060 65,690
E-mini ME FAA Index 10,798 16,060 65,690
INTERNATIONAL     34,822 96,497 89,787
Futures     34,822 96,497 89,787
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 33,896 95,720 89,363
Nifty 50 MNF MNCA Index - 664 -
Ibovespa IBV IBAA Index 31 85 150
TOPIX TPY TPYA Index 895 28 274
SECTORS     7,126 10,996 143,442
Futures     7,126 10,996 143,442
Comm. Srvcs. XAZ XASA Index 84 261 3,823
Cons. Discr. XAY IXYA Index 187 491 4,175
Cons. Staples XAP IXRA Index 366 1,002 13,181
Energy XAE IXPA Index 450 1,022 14,197
Financial XAF IXAA Index 1,317 1,570 30,897
Health Care XAV IXCA Index 605 981 9,264
Industrial XAI IXIA Index 457 783 7,331
Materials XAB IXDA Index 712 602 7,198
Real Estate XAR XARA Index 193 193 2,441
Technology XAK IXTA Index 295 817 7,570
Utilities XAU IXSA Index 1,130 1,560 16,803
Dow Jones Real Estate JR DJEA Index 1,395 1,970 26,562
Nasdaq Biotechnology BQ DBA Index 20 5 -
FTSE     118 319 30
Futures     118 319 30
FTSE China 50 FT5 FCYA Index 0 91 -
FTSE 100 (GBP) FT1 FFEA Index - 99 -
FTSE 100 (USD) FTU FFIA Index - 121 -
FTSE Emerging EI OEIA Index 118 8 30
FTSE Dev. Europe DVE DVEA Index - - -
Russell 1000     749 3,180 18,239
Futures     749 3,180 18,239
Russell 1000 RS1 RSYA Index 160 1,138 9,116
Russell 1000 Growth RSG RGYA Index 113 884 2,487
Russell 1000 Value RSV RVYA Index 476 1,158 6,636
Bitcoin     9,907 5,787 4,221
Futures     9,907 5,787 4,221
Standard BTC BTCA Curncy 9,907 5,787 4,221

*Through April 30, 2019

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 2.31 million contracts per day in April 2019, a 32% decrease versus April 2018. After an extremely volatile Q4-2018, markets have tempered throughout the course of 2019 thus far.
  • Equity Index open interest averaged 8.26 million contracts per day for the month of April, a 13% decrease versus April 2018.

Product Highlights

  • BTIC on Major Indices: BTIC on E-mini S&P 500 averaged 27,537 contracts per day in April ($4.0B notional). Liquidity continues to be on-screen: 90% of BTIC on E-mini S&P 500 volume traded on Globex in April, on pace with 2018 figures and considerably higher than 78% in 2017. BTIC volume comprised 32% of the MOC value traded at NYSE and NASDAQ in April 2019.
  • Russell 2000: Futures monthly ADV was 106,772 contracts (-4% YOY) with an average open interest of 432,434 contracts. For more information on the Russell 2000, please see: cmegroup.com/Russell2000.
  • Equity Options: Equity options averaged 455K contracts per day in April. CME S&P options has represented 90% of the ETH S&P volume in 2019. CME completed its eighth successful equity options compression run in April, 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 2,213 (+25% 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.
Months to Expiry SPTR Futures Notional OI for: 4/30/2019 SPTR Futures Notional OI for: 11/30/2018*
<24 Months $26,875,918,940 $31,898,336,341
24-59 Months $913,758,400 n/a 
60+ Months $2,105,927,563 n/a 
  $29,895,604,903 $31,898,336,341
  • Micro E-mini Futures: On May 6th, 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.

Equity Index Products

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