September Equity Index Product Review

Equity Products Performance

 

Product Code

Bloomberg Ticker

September ADV

YTD ADV*

Open Interest

Total

 

 

       3,978,751

   3,530,174

      8,025,722

S&P 500

 

 

       2,710,370

   2,548,799

      6,826,788

Futures

 

 

       2,045,049

   1,912,952

      2,865,021

E-mini

ES

ESA Index

       1,727,835

   1,590,698

      2,453,663

Micro E-mini

MES

HWA Index

          266,441

     279,550

           23,282

Standard

SP

SPA Index

             4,223

         2,718

           18,461

BTIC

EST

STEA Index

           40,591

       36,236

                  -  

Dividend Future

SDA, SDI

ASDA, ISDA Index

             1,813

         1,195

         117,422

Total Return Futures

TRI, CTR

SRTA, CTIA Index

             3,995

         2,337

         252,193

TACO

ESQ

TQA Index

                152

            218

                  -  

Options

 

 

          665,321

     635,846

      3,961,767

E-mini

 

 

          631,892

     603,289

      3,785,294

End-Of-Month

EW

SCA Index

           82,835

       94,101

         558,452

Quarterlies

ES

ESA Index

          186,464

     158,426

      1,800,118

Weekly (M, W, F)

EW1 - EW4

1EA-4EA Index

          362,593

     350,762

      1,426,724

Standard

 

 

           33,430

       32,557

         176,473

End-Of-Month

EV

EVA Index

             3,622

         5,806

           14,563

Flex

XP, YP

 

                342

            279

             9,676

Quarterlies

SP

SPA Index

             5,915

         3,310

           32,562

Weekly (M, W, F)

EV1 - EV4

1DA-4DA

           23,551

       23,163

         119,672

NASDAQ

 

 

          672,116

     693,235

         292,352

Futures

 

 

          662,953

     683,160

         228,303

E-mini

NQ

NQA Index

          473,900

     479,646

         206,086

Micro E-mini

MNQ

HWB Index

          185,111

     200,890

           22,217

BTIC

NQT

QNTA Index

             3,941

         2,624

                  -  

Options

 

 

             9,163

       10,076

           64,049

E-mini

 

 

             9,163

       10,076

           64,049

DOW JONES

 

 

          236,687

     265,050

         127,029

Futures

 

 

          236,377

     264,840

         124,317

E-mini

YM

DMA Index

          192,782

     212,859

         109,503

Micro E-mini

MYM

HWI Index

           42,522

       51,203

           22,217

BTIC

YMT

YMTA Index

                660

            689

                  -  

Options

 

 

                310

            210

             2,712

E-mini

 

 

                310

            210

             2,712

Russell 2000

 

 

          245,467

     184,110

         480,370

Futures

 

 

          241,792

     181,769

         451,837

E-mini

RTY

RTYA Index

          207,066

     148,821

         446,202

Micro E-mini

M2K

HWR Index

           31,690

       31,080

             5,635

BTIC

RLT

RLBA Index

             3,035

         1,868

                  -  

Options

 

 

             3,675

         2,340

           25,948

E-mini

 

 

             3,675

         2,340

           25,948

S&P 400 - MIDCAP

 

 

           22,403

       16,536

           63,320

Futures

 

 

           22,403

       16,536

           63,320

E-mini

ME

FAA Index

           22,403

       16,536

           63,320

INTERNATIONAL

 

 

           57,504

       42,089

           73,302

Futures

 

 

           57,504

       42,089

           73,302

Nikkei 225

ENY, N1, NK

YMEA, NXA, NHA Index

           56,523

       41,750

           72,824

Nifty 50

MNF

MNCA Index

                  -  

            290

                  -  

Ibovespa

IBV

IBAA Index

                  48

             37

               204

TOPIX

TPY

TPYA Index

                933

             12

               274

SECTORS

 

 

           21,727

       10,411

         138,286

Futures

 

 

           21,727

       10,411

         138,286

Comm. Srvcs.

XAZ

XASA Index

                898

            336

             9,193

Cons. Discr.

XAY

IXYA Index

                612

            437

             3,046

Cons. Staples

XAP

IXRA Index

             1,780

            998

             6,477

Energy

XAE

IXPA Index

             1,411

            881

             6,990

Financial

XAF

IXAA Index

             2,699

            894

           15,167

Health Care

XAV

IXCA Index

             2,259

            888

           20,890

Industrial

XAI

IXIA Index

             1,107

         1,021

             7,953

Materials

XAB

IXDA Index

                406

            517

             2,937

Real Estate

XAR

XARA Index

                627

            490

             3,777

Technology

XAK

IXTA Index

             1,329

            738

             7,789

Utilities

XAU

IXSA Index

             3,066

            759

           11,988

Dow Jones Real Estate

JR

DJEA Index

             6,370

         2,447

           41,815

Nasdaq Biotechnology

BQ

DBA Index

                  61

               5

               264

FTSE

 

 

                132

            139

                 61

Futures

 

 

                132

            139

                 61

FTSE China 50

FT5

FCYA Index

                  -  

             40

                  -  

FTSE 100 (GBP)

FT1

FFEA Index

                  -  

             43

                  -  

FTSE 100 (USD)

FTU

FFIA Index

                  -  

             53

                  -  

FTSE Emerging

EI

OEIA Index

                132

               4

                 61

FTSE Dev. Europe

DVE

DVEA Index

                  -  

              -  

                  -  

Russell 1000

 

 

             2,765

         1,387

           20,624

Futures

 

 

             2,765

         1,387

           20,624

Russell 1000

RS1

RSYA Index

             1,138

            496

             8,353

Russell 1000 Growth

RSG

RGYA Index

                535

            386

             4,341

Russell 1000 Value

RSV

RVYA Index

             1,093

            505

             7,930

Bitcoin

 

 

             9,582

         6,890

             3,590

Futures

 

 

             9,582

         6,890

             3,590

Standard

BTC

BTCA Curncy

             9,582

         6,890

             3,590

*Through September 30, 2019

 

 

 

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 3.98 million contracts per day in September 2019, a 18% increase versus September 2018.
  • Equity Index open interest averaged 9.48 million contracts per day for the month of September, a 6% decrease versus September 2018.  

Product Highlights

  • BTIC on Major Indices: BTIC on E-mini S&P 500 averaged 40,591 contracts per day in September ($6.05B notional). Liquidity continues to be on-screen: 91% of BTIC on E-mini S&P 500 volume traded on Globex in September, above 2018 figures and considerably higher than 78% in 2017. For the month of September, BTIC represented 35% 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 https://www.cmegroup.com/trading/equity-index/btic-transactions.html and https://www.cmegroup.com/trading/equity-index/trade-at-cash-open.html for more information.

  • Russell 2000: Futures monthly ADV was 210,102 contracts (+13% YOY) with an average open interest of 470,990 contracts. For more information on the Russell 2000, please see: cmegroup.com/Russell2000.
  • Equity Options: Equity options averaged 678K contracts per day in September. It was a 9% increase YoY. CME S&P options has represented 90% of the ETH S&P volume in 2019. CME completed its 16th successful equity options compression run in September, 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 32% YoY with $334M notional ADV and outsized activity going into the month end. YTD ADV is ~2,337 contracts with open interest averaging 227,374 contracts ($32.61B notional) in 2019. At September month end, there was over 8K in OI in the Dow Jones Total Return futures contract.
  • 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 5months 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 58M+ in 5 months
    • Average daily volume of over 560K
    • Single-day record volume of 1.46M on August 7, 2019
    • Individual contracts: 28.8M+ in S&P 500 (MES), 20.6M+ in Nasdaq-100 (MNQ), 5.2M+ in Dow (MYM), and 3.2M+ 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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