November Equity Index Product Review

Equity Products Performance

  Product Code Bloomberg Ticker November ADV YTD ADV* Open Interest
Total     2,702,092 3,446,431 8,902,579
S&P 500     1,866,281 2,459,668 7,502,446
Futures     1,332,099 1,829,892 3,377,576
E-mini ES ESA Index 1,122,171 1,522,800 2,900,282
Micro E-mini MES HWA Index 174,599 265,400 52,567
Standard SP SPA Index 1,638 2,506 27,271
BTIC EST STEA Index 30,564 35,509 -
BTIC+ ES1, ES2 ES1BTIC yyyymmdd Index 1 0 -
Dividend Future SDA, SDI ASDA, ISDA Index 1,901 1,308 126,934
Total Return Futures TRI, CTR SRTA, CTIA Index 999 2,157 270,522
TACO ESQ TQA Index 227 213 -
TACO+ EQ1 EQ1TACO yyyymmdd Index     - -
E-mini ESG ESG SLBA Index 45 45 113
Options     534,182 629,776 4,124,870
E-mini     502,941 597,640 3,887,496
End-Of-Month EW SCA Index 74,576 91,209 557,501
Quarterlies ES ESA Index 146,427 154,859 2,434,445
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 281,938 351,572 895,550
Standard     31,241 32,136 237,374
End-Of-Month EV EVA Index 5,992 5,571 22,861
Flex XP, YP   222 271 13,976
Quarterlies SP SPA Index 3,300 3,157 86,113
Weekly (M, W, F) EV1 - EV4 1DA-4DA 21,727 23,136 114,424
NASDAQ     498,401 668,045 351,301
Futures     492,429 658,441 284,526
E-mini NQ NQA Index 335,259 460,152 223,005
Micro E-mini MNQ HWB Index 155,712 195,773 61,521
BTIC NQT QNTA Index 1,457 2,516 -
Options     5,972 9,605 66,775
E-mini     5,972 9,605 66,775
DOW JONES     140,130 251,518 130,148
Futures     140,026 251,326 127,264
E-mini YM DMA Index 135,454 201,888 106,628
Micro E-mini MYM HWI Index 4,367 48,720 61,521
BTIC YMT YMTA Index 204 644 -
Options     104 192 2,884
E-mini     104 192 2,884
Russell 2000     137,700 176,958 539,549
Futures     134,956 174,498 500,675
E-mini RTY RTYA Index 109,098 142,136 479,678
Micro E-mini M2K HWR Index 24,177 30,481 20,997
BTIC RLT RLBA Index 1,681 1,881 -
Options     2,744 2,460 25,948
E-mini     2,744 2,460 25,948
S&P 400 - MIDCAP     10,745 15,594 74,722
Futures     10,745 15,594 74,722
E-mini ME FAA Index 10,745 15,594 74,722
INTERNATIONAL     39,163 34,254 110,441
Futures     39,163 34,254 110,441
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 38,328 33,978 110,065
Nifty 50 MNF MNCA Index - 236 -
Ibovespa IBV IBAA Index 35 30 102
TOPIX TPY TPYA Index 800 10 274
SECTORS     7,020 11,109 168,532
Futures     7,020 11,109 168,532
Comm. Srvcs. XAZ XASA Index 382 305 11,177
Cons. Discr. XAY IXYA Index 248 418 4,288
Cons. Staples XAP IXRA Index 565 946 8,863
Energy XAE IXPA Index 532 867 10,768
Financial XAF IXAA Index 1,049 1,577 27,156
Health Care XAV IXCA Index 419 968 22,279
Industrial XAI IXIA Index 383 625 11,793
Materials XAB IXDA Index 250 505 12,396
Real Estate XAR XARA Index 527 296 7,175
Technology XAK IXTA Index 343 732 10,790
Utilities XAU IXSA Index 1,021 1,495 13,522
Dow Jones Real Estate JR DJEA Index 1,672 2,370 28,042
Nasdaq Biotechnology BQ DBA Index 13 5 283
FTSE     91 113 9
Futures     91 113 9
FTSE China 50 FT5 FCYA Index - 32 -
FTSE 100 (GBP) FT1 FFEA Index - 35 -
FTSE 100 (USD) FTU FFIA Index - 43 -
FTSE Emerging EI OEIA Index 91 3 9
FTSE Dev. Europe DVE DVEA Index -   - -
Russell 1000     880 1,129 21,955
Futures     880 1,129 21,955
Russell 1000 RS1 RSYA Index 155 404 8,177
Russell 1000 Growth RSG RGYA Index 131 314 4,124
Russell 1000 Value RSV RVYA Index 594 411 9,654
Bitcoin     1,682 6,468 3,476
Futures     1,682 6,468 3,476
Standard BTC BTCA Curncy 1,682 6,468 3,476

*Through November 30, 2019

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 2.76 million contracts per day in November 2019, a 22% decrease versus November 2018.
  • Equity Index open interest averaged 9.10 million contracts per day for the month of November, a 9% decrease versus November 2018.  

Product Highlights

  • BTIC on Major Indices: BTIC on E-mini S&P 500 averaged 30,564 contracts per day in November ($4.75B notional). Liquidity continues to be on-screen: 94% of BTIC on E-mini S&P 500 volume traded on Globex in Q4-2019, above 2018 figures and considerably higher than 78% in 2017. For the month of November, BTIC represented 28% of the MOC activity between CME, NYSE and Nasdaq.
  • BTIC+ and TACO+:

CME Group launched 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 119,779 contracts (-26% YOY) with an average open interest of 473,415 contracts. For more information on the Russell 2000, please see: cmegroup.com/Russell2000.
  • Options on Bitcoin Futures: CME Group will launch Options on Bitcoin Futures on January 13, 2020 pending all regulatory approval. This is in direct response to customer demand following the successful Bitcoin Futures product launch. Market users have rapidly adopted Bitcoin futures since their December 2017 launch.  Key highlights of how this market has grown include:
    • Average daily volume of 6,500+ contracts in 2019, equivalent to about 32,500 bitcoin
    • 23 successful futures expiration settlements since launch
    • 3,500+ individual accounts trading
    • 47 percent
  • E-mini S&P 500 ESG Futures: Environmental, Social, and Governance (ESG) is an investment theme that has gained in both attention and implementation over the last several years and the need for capitally efficient ESG solutions has grown. The new S&P 500 ESG futures contracts allows market participants to gain price exposure to an index that closely tracks the performance of the S&P 500, while adhering to ESG principles.

Launched on November 18, 2019, E-mini S&P 500 ESG futures have been an additive addition to the CME Group. Over 400 contracts ($53M notional) have traded since launch. A market maker program was introduced at launch and it has helped to generate a very liquid market. Consistently during U.S. trading hours, the outright market is 2 ticks wide (screenshot below)

  • 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 22% YoY with $310M notional ADV and outsized activity going into the month end. YTD ADV is 2,157 contracts with open interest averaging 233,757 contracts ($33.97B notional) in 2019.

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.

  • 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 79M+ in 6 months
  • Average daily volume of over 540K
  • Single-day record volume of 1.46M on August 7, 2019
  • Individual contracts: 35.8M+ in S&P 500 (MES), 25.9M+ in Nasdaq-100 (MNQ), 6.6M+ in Dow (MYM), and 4.1M+ 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/trading/equity-index/us-index/micro-e-mini-futures.html

Equity Index Products

Explore CME Group's suite of Equity Index products on U.S. and International Indices, Select Sectors, and Options on Futures.

Learn More

Read More Reports

Review previous months' equity reports over the last year.

View Archived Reports

About CME Group

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. Comprised of four exchanges - CME, CBOT, NYMEX and COMEX - we offer the widest range of global benchmark products across all major asset classes, helping businesses everywhere mitigate the myriad of risks they face in today's uncertain global economy.

Follow us for global economic and financial news.

CME Group on Twitter

CME Group on Facebook

CME Group on LinkedIn