July Equity Index Product Review

Equity Products Performance

 

Product Code

Bloomberg Ticker

July ADV

YTD ADV*

Open Interest

Total

 

 

       2,848,952

   3,251,920

      8,175,697

S&P 500

 

 

       1,862,962

   2,368,972

      6,968,424

Futures

 

 

       1,368,870

   1,780,657

      3,013,518

E-mini

ES

ESA Index

       1,128,179

   1,512,876

      2,616,081

Micro E-mini

MES

HWA Index

          207,426

     228,056

           23,910

Standard

SP

SPA Index

                860

         2,584

           29,935

BTIC

EST

STEA Index

           29,739

       33,635

                  -  

Dividend Future

SDA, SDI

ASDA, ISDA Index

                937

         1,148

         120,562

Total Return Futures

TRI, CTR

SRTA, CTIA Index

             1,673

         2,123

         223,030

TACO

ESQ

TQA Index

                  56

            234

                  -  

Options

 

 

          494,092

     588,315

      3,954,906

E-mini

 

 

          465,586

     555,818

      3,794,187

End-Of-Month

EW

SCA Index

           68,979

       86,989

         554,661

Quarterlies

ES

ESA Index

           95,378

     138,063

      2,150,998

Weekly (M, W, F)

EW1 - EW4

1EA-4EA Index

          301,230

     330,766

      1,088,528

Standard

 

 

           28,506

       32,497

         160,719

End-Of-Month

EV

EVA Index

             5,112

         6,174

           25,008

Flex

XP, YP

 

                145

            242

             9,160

Quarterlies

SP

SPA Index

                996

         3,066

           27,472

Weekly (M, W, F)

EV1 - EV4

1DA-4DA

           22,253

       23,015

           99,079

NASDAQ

 

 

          566,389

     643,744

         316,245

Futures

 

 

          558,349

     634,047

         254,073

E-mini

NQ

NQA Index

          358,293

     461,472

         232,284

Micro E-mini

MNQ

HWB Index

          198,298

     170,262

           21,789

BTIC

NQT

QNTA Index

             1,758

         2,313

                  -  

Options

 

 

             8,040

         9,696

           62,172

E-mini

 

 

             8,040

         9,696

           62,172

DOW JONES

 

 

          210,695

     255,268

         109,634

Futures

 

 

          210,598

     255,072

         106,722

E-mini

YM

DMA Index

          161,575

     208,328

         100,338

Micro E-mini

MYM

HWI Index

           48,494

       46,069

           21,789

BTIC

YMT

YMTA Index

                529

            676

                  -  

Options

 

 

                  96

            196

             2,912

E-mini

 

 

                  96

            196

             2,912

Russell 2000

 

 

          143,372

     168,822

         476,280

Futures

 

 

          141,089

     166,758

         452,740

E-mini

RTY

RTYA Index

          110,454

     139,484

         444,070

Micro E-mini

M2K

HWR Index

           29,105

       25,561

             8,670

BTIC

RLT

RLBA Index

             1,531

         1,714

                  -  

Options

 

 

             2,283

         2,063

           25,948

E-mini

 

 

             2,283

         2,063

           25,948

S&P 400 - MIDCAP

 

 

           12,556

       15,976

           67,662

Futures

 

 

           12,556

       15,976

           67,662

E-mini

ME

FAA Index

           12,556

       15,976

           67,662

INTERNATIONAL

 

 

           40,264

       54,197

           83,579

Futures

 

 

           40,264

       54,197

           83,579

Nikkei 225

ENY, N1, NK

YMEA, NXA, NHA Index

           39,258

       53,760

           83,157

Nifty 50

MNF

MNCA Index

                  -  

            373

                  -  

Ibovespa

IBV

IBAA Index

                  15

             48

               148

TOPIX

TPY

TPYA Index

                990

             16

               274

SECTORS

 

 

             4,886

       10,675

         129,642

Futures

 

 

             4,886

       10,675

         129,642

Comm. Srvcs.

XAZ

XASA Index

                191

            278

             7,413

Cons. Discr.

XAY

IXYA Index

                123

            435

             3,589

Cons. Staples

XAP

IXRA Index

                506

            986

           15,261

Energy

XAE

IXPA Index

                353

            881

             7,487

Financial

XAF

IXAA Index

                999

         1,600

           19,703

Health Care

XAV

IXCA Index

                491

            888

           14,630

Industrial

XAI

IXIA Index

                224

            613

             5,472

Materials

XAB

IXDA Index

                168

            517

             2,405

Real Estate

XAR

XARA Index

                153

            214

             2,651

Technology

XAK

IXTA Index

                213

            738

             8,450

Utilities

XAU

IXSA Index

                542

         1,475

           15,999

Dow Jones Real Estate

JR

DJEA Index

             1,097

         2,045

           26,582

Nasdaq Biotechnology

BQ

DBA Index

                  16

               5

                  -  

FTSE

 

 

                  78

            179

                   2

Futures

 

 

                  78

            179

                   2

FTSE China 50

FT5

FCYA Index

                  -  

             51

                  -  

FTSE 100 (GBP)

FT1

FFEA Index

                  -  

             56

                  -  

FTSE 100 (USD)

FTU

FFIA Index

                  -  

             68

                  -  

FTSE Emerging

EI

OEIA Index

                  78

               5

                   2

FTSE Dev. Europe

DVE

DVEA Index

                  -  

              -  

                  -  

Russell 1000

 

 

                257

         1,786

           19,758

Futures

 

 

                257

         1,786

           19,758

Russell 1000

RS1

RSYA Index

                  93

            639

             8,435

Russell 1000 Growth

RSG

RGYA Index

                  39

            497

             4,069

Russell 1000 Value

RSV

RVYA Index

                125

            650

             7,254

Bitcoin

 

 

             7,494

         7,494

             4,471

Futures

 

 

             7,494

         7,494

             4,471

Standard

BTC

BTCA Curncy

             7,494

         7,494

             4,471

 *Through July 31, 2019

 

 

 

 

 

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 2.75 million contracts per day in July 2019, a 22% increase versus July 2018.
  • Equity Index open interest averaged 8.47 million contracts per day for the month of July, a 6% decrease versus July 2018.  

Product Highlights

  • BTIC on Major Indices: BTIC on E-mini S&P 500 averaged 29,739 contracts per day in July ($4.54B notional). Liquidity continues to be on-screen: 96% of BTIC on E-mini S&P 500 volume traded on Globex in July, above 2018 figures and considerably higher than 78% in 2017. For the month of July, BTIC represented 36% of the MOC activity between CME, NYSE and Nasdaq.
  • Introducing BTIC+ and TACO+:

Pending all regulatory approval, CME Group will launch BTIC+ and TACO+ on E-mini S&P 500 futures on September 9, 2019

BTIC+ and TACO+ are innovative new products listed for trading at CME that introduce T-plus (T+) trading to the futures market.  BTIC+ and TACO+ are futures contracts that allow market participants to execute a basis trade on E-mini S&P 500 futures relative to the official closing, or opening, S&P 500 cash index level for a given trading session, days in advance.

Please visit cmegroup.com/btic and cmegroup.com/taco for more information.

  • Russell 2000: Futures monthly ADV was 111,984 contracts (+4% YOY) with an average open interest of 428,507 contracts. For more information on the Russell 2000, please see: cmegroup.com/Russell2000.
  • Equity Options: Equity options averaged 505K contracts per day in July. CME S&P options has represented 90% of the ETH S&P volume in 2019. CME completed its twelfth and thirteenth successful equity options compression run in July, alleviating pressure on firms that are most affected by capital constraints imposed by Basel III.
  • Total Return Futures: Adoption in S&P Total Return (SPTR) futures in 2019 continues to accelerate as dealers’ transition from OTC to listed. Activity is up 20% YoY with $300M notional ADV and outsized activity going into the month end. YTD ADV is ~1,900 contracts with open interest averaging 223,173 contracts ($31.60B notional) in 2019.
  • Micro E-mini Futures: On May 6th, CME Group launched 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.

    In the first 3 months since their launch, there has been strong customer adoption, making Micro E-mini futures the most successful product launch in CME Group history.
  • Micro E-mini futures trade 32M+ in 3 months
  • Over 32M contracts traded total, with average daily volume of over 500K
  • Single-day record volume of 1.38M on August 1, 2019
  • Individual contracts: 15.8M+ in S&P 500 (MES), 11.5M+ in Nasdaq-100 (MNQ), 3.2M+ in Dow (MYM), and 1.7M+ in Russell 2000 (M2K).

 

For more information on the Micro E-mini futures, please visit:
https://www.cmegroup.com/cme-group-futures-exchange/micro-futures.html

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