August Equity Index Product Review

Equity Products Performance

 

Product Code

Bloomberg Ticker

August ADV

YTD ADV*

Open Interest

Total

 

 

       4,904,527

   3,476,062

      9,086,187

S&P 500

 

 

       3,396,355

   2,531,162

      7,827,364

Futures

 

 

       2,471,871

   1,898,825

      3,041,509

E-mini

ES

ESA Index

       1,982,484

   1,574,372

      2,601,711

Micro E-mini

MES

HWA Index

          434,248

     282,709

           53,903

Standard

SP

SPA Index

             2,236

         2,539

           36,981

BTIC

EST

STEA Index

           49,532

       35,717

                  -  

Dividend Future

SDA, SDI

ASDA, ISDA Index

                947

         1,122

         119,434

Total Return Futures

TRI, CTR

SRTA, CTIA Index

             2,252

         2,140

         229,480

TACO

ESQ

TQA Index

                172

            226

                  -  

Options

 

 

          924,484

     632,337

      4,785,855

E-mini

 

 

          892,318

     599,884

      4,587,871

End-Of-Month

EW

SCA Index

          151,534

       95,442

         671,592

Quarterlies

ES

ESA Index

          268,071

     155,088

      2,834,496

Weekly (M, W, F)

EW1 - EW4

1EA-4EA Index

          472,712

     349,354

      1,081,783

Standard

 

 

           32,167

       32,453

         197,984

End-Of-Month

EV

EVA Index

             5,348

         6,066

           26,304

Flex

XP, YP

 

                468

            272

           17,800

Quarterlies

SP

SPA Index

             2,557

         3,000

           54,099

Weekly (M, W, F)

EV1 - EV4

1DA-4DA

           23,793

       23,116

           99,781

NASDAQ

 

 

          922,541

     697,673

         310,935

Futures

 

 

          909,118

     687,489

         223,441

E-mini

NQ

NQA Index

          605,473

     480,330

         198,593

Micro E-mini

MNQ

HWB Index

          300,160

     204,693

           24,848

BTIC

NQT

QNTA Index

             3,486

         2,467

                  -  

Options

 

 

           13,423

       10,184

           87,494

E-mini

 

 

           13,423

       10,184

           87,494

DOW JONES

 

 

          281,634

     269,435

         103,937

Futures

 

 

          281,422

     269,237

         100,282

E-mini

YM

DMA Index

          261,185

     215,250

           85,953

Micro E-mini

MYM

HWI Index

           19,437

       53,295

           24,848

BTIC

YMT

YMTA Index

                800

            692

                  -  

Options

 

 

                212

            198

             3,655

E-mini

 

 

                212

            198

             3,655

Russell 2000

 

 

          208,465

     176,731

         502,588

Futures

 

 

          205,500

     174,550

         468,512

E-mini

RTY

RTYA Index

          157,838

     141,887

         461,681

Micro E-mini

M2K

HWR Index

           45,829

       30,933

             6,831

BTIC

RLT

RLBA Index

             1,833

         1,729

                  -  

Options

 

 

             2,965

         2,182

           25,948

E-mini

 

 

             2,965

         2,182

           25,948

S&P 400 - MIDCAP

 

 

           14,917

       15,838

           68,687

Futures

 

 

           14,917

       15,838

           68,687

E-mini

ME

FAA Index

           14,917

       15,838

           68,687

INTERNATIONAL

 

 

           69,917

       47,099

           92,731

Futures

 

 

           69,917

       47,099

           92,731

Nikkei 225

ENY, N1, NK

YMEA, NXA, NHA Index

           68,693

       46,720

           92,230

Nifty 50

MNF

MNCA Index

                  -  

            324

                  -  

Ibovespa

IBV

IBAA Index

                  41

             41

               227

TOPIX

TPY

TPYA Index

             1,183

             14

               274

SECTORS

 

 

             7,077

       10,675

         156,808

Futures

 

 

             7,077

       10,675

         156,808

Comm. Srvcs.

XAZ

XASA Index

                207

            278

           10,155

Cons. Discr.

XAY

IXYA Index

                289

            435

             3,417

Cons. Staples

XAP

IXRA Index

                368

            986

           15,523

Energy

XAE

IXPA Index

                505

            881

             8,170

Financial

XAF

IXAA Index

             1,132

         1,600

           17,084

Health Care

XAV

IXCA Index

                773

            888

           21,289

Industrial

XAI

IXIA Index

                450

            613

             8,568

Materials

XAB

IXDA Index

                393

            517

             7,441

Real Estate

XAR

XARA Index

                150

            214

             3,116

Technology

XAK

IXTA Index

                378

            738

             8,130

Utilities

XAU

IXSA Index

             1,075

         1,475

           15,740

Dow Jones Real Estate

JR

DJEA Index

             1,555

         2,045

           37,881

Nasdaq Biotechnology

BQ

DBA Index

                   9

               5

               294

FTSE

 

 

                  65

            156

               120

Futures

 

 

                  65

            156

               120

FTSE China 50

FT5

FCYA Index

                  -  

             44

                  -  

FTSE 100 (GBP)

FT1

FFEA Index

                  -  

             48

                  -  

FTSE 100 (USD)

FTU

FFIA Index

                  -  

             59

                  -  

FTSE Emerging

EI

OEIA Index

                  65

               4

               120

FTSE Dev. Europe

DVE

DVEA Index

                  -  

              -  

                  -  

Russell 1000

 

 

                875

         1,552

           19,029

Futures

 

 

                875

         1,552

           19,029

Russell 1000

RS1

RSYA Index

                148

            556

             8,200

Russell 1000 Growth

RSG

RGYA Index

                196

            432

             4,058

Russell 1000 Value

RSV

RVYA Index

                531

            565

             6,771

Bitcoin

 

 

             2,681

         7,107

             3,988

Futures

 

 

             2,681

         7,107

             3,988

Standard

BTC

BTCA Curncy

             2,681

         7,107

             3,988

 *Through August 30, 2019

 

 

 

 

 

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 4.96 million contracts per day in August 2019, a 109% increase versus August 2018.
  • Equity Index open interest averaged 9.27 million contracts per day for the month of August, a 3% decrease versus August 2018.  

Product Highlights

  • BTIC on Major Indices: BTIC on E-mini S&P 500 averaged 49,532 contracts per day in August ($7.16B notional) which is the second highest month in terms of volume on record. Liquidity continues to be on-screen: 91% of BTIC on E-mini S&P 500 volume traded on Globex in August, above 2018 figures and considerably higher than 78% in 2017. For the month of August, BTIC represented a record 48% 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 October 7, 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 www.cmegroup.com/btic and www.cmegroup.com/taco for more information.

  • Russell 2000: Futures monthly ADV was 159,671 contracts (+66% YOY) with an average open interest of 454,600 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 4 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 47M+ in 4 months
    • Over 47M contracts traded total, with average daily volume of over 500K
    • Single-day record volume of 1.46M on August 7, 2019
    • Individual contracts: 23.5M+ in S&P 500 (MES), 16.9M+ in Nasdaq-100 (MNQ), 4.4M+ in Dow (MYM), and 2.6M+ in Russell 2000 (M2K).

 

Date

Record Volume

MICRO E-MINI FUTURES - TOTAL

08/07/2019

            1,406,663

MICRO E-MINI S&P 500 FUTURES (MES)

08/07/2019

               766,135

MICRO E-MINI NASDAQ 100 FUTURES (MNQ)

08/15/2019

               474,482

MICRO E-MINI DOW FUTURES (MYM)

08/01/2019

               161,989

MICRO E-MINI RUSSELL 2000 FUTURES (M2K)

08/01/2019

                  90,483

 

 

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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