July Equity Index Product Review

Equity products performance

  Product code Bloomberg ticker July ADV YTD ADV* Open interest
Total     5,191,309 5,886,167 9,008,771
S&P 500     3,228,023 3,863,088 7,757,141
Futures     2,661,240 3,094,643  3,120,956
E-mini ES ESA Index 1,591,969 2,155,842 2,714,778
Micro E-mini MES HWA Index 1,039,874 880,056 31,381
Standard SP SPA Index 1,717 3,941 38,921
BTIC EST STEA Index 26,075 48,010 -  
BTIC+ ES1, ES2 ES1BTIC yyyymmdd Index -   8 -  
Dividend Future SDA, SDI ASDA, ISDA Index 1,082 3,330 109,786
Total Return Futures TRI, CTR SRTA, CTIA Index 354 3,319 226,090
TACO ESQ TQA Index 169 136 -  
TACO+ EQ1 EQ1TACO yyyymmdd Index   -   -  
E-mini ESG ESG SLBA Index 181 504 5,295
Options     566,783  768,445 4,636,185
E-mini     554,194 747,716 4,410,569
End-Of-Month EW SCA Index 85,119 103,823 506,722
Quarterlies ES ESA Index 80,441 210,027 2,813,201
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 388,634 433,866 1,090,646
Standard     12,589 20,729 225,616
End-Of-Month EV EVA Index 1,823 3,411 53,967
Flex XP, YP   - 130 15,568
Quarterlies SP SPA Index 232 2,699 61,112
Weekly (M, W, F) EV1 - EV4 1DA-4DA 10,534 14,489 94,969
NASDAQ     1,263,564 1,207,163 305,087
Futures     1,249,345 1,191,633 241,517
E-mini NQ NQA Index 546,169 591,260 225,158
Micro E-mini MNQ HWB Index 698,991 597,217 16,359
BTIC NQT QNTA Index 4,184 3,156 -  
Options     14,219 15,530 63,570
E-mini     14,219 15,530 63,570
DOW JONES     338,824 404,680 90,557
Futures     338,719 404,518 86,795
E-mini YM DMA Index 201,930 264,360 77,286
Micro E-mini MYM HWI Index 136,034 139,392 16,359
BTIC YMT YMTA Index 755 766 -  
Options     105 162 3,762
E-mini     105 162 3,762
Russell 2000     301,007 320,297 484,632
Futures     298,984 317,464 453,973
E-mini RTY RTYA Index 176,865 214,437 434,342
Micro E-mini M2K HWR Index 119,044 99,796 19,631
BTIC RLT RLBA Index 3,075 3,232 -  
Options     2,023 2,833 25,948
E-mini     2,023                2,833 25,948
S&P 400 - MIDCAP     12,646 18,822 66,300
Futures     12,646 18,822 66,300
E-mini ME FAA Index 12,646 18,822 66,300
INTERNATIONAL     33,572  52,754 96,954
Futures     33,572 52,754 96,954
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 33,357 52,029 96,479
Ibovespa IBV IBAA Index 5 40 130
TOPIX TPY TPYA Index 210 685 345
SECTORS     5,653 10,428 184,916
Futures     5,653 10,428 184,916
Comm. Srvcs. XAZ XASA Index 74 162 9,318
Cons. Discr. XAY IXYA Index 250 436 6,027
Cons. Staples XAP IXRA Index 1,101 1,114 13,535
Energy XAE IXPA Index 637 1,084 16,696
Financial XAF IXAA Index 600  1,276 28,634
Health Care XAV IXCA Index 333  861 13,277
Industrial XAI IXIA Index 513 526 9,124
Materials XAB IXDA Index 169 477 8,266
Real Estate XAR XARA Index 114 824 8,258
Technology XAK IXTA Index 319 640 11,684
Utilities XAU IXSA Index 484 1,249 17,738
Dow Jones Real Estate JR DJEA Index 1,024 1,741 42,041
Nasdaq Biotechnology BQ DBA Index 35 38 318
Russell 1000     520 822 18,224
Futures     520 822 18,224
Russell 1000 RS1 RSYA Index 63 115 9,112
Russell 1000 Growth RSG RGYA Index 139 302 3,029
Russell 1000 Value RSV RVYA Index 318 405 6,083
Bitcoin     7,501 8,113 4,960
Futures & Options     7,501 8,113 4,960
Futures BTC BTCA Curncy 7,381 7,984 4,960
Options BTC BTCA Curncy 120 129 -  

*Through July 31, 2020

ADV and open interest:

  • Equity Index futures and options volume averaged 5.19M contracts per day in July 2020.
  • Equity Index open interest averaged 9M contracts per day for the month of July 2020.

Product highlights:

BTIC on major indices: Over 33.3M contracts traded ($4.5T notional) since the November 2015 launch. BTIC on the major indices has achieved 47.8K ADV YTD.  

  • BTIC+ and TACO+: 
    • SPX option market makers are heavy users of BTIC and TACO for replacement of their delta exposures at SPX option expirations. SPX option market makers currently use SPX “jelly rolls” (four legs of SPX options in a package transaction) to manage their option delta exposures ahead of the spot BTIC day. Introduction of BTIC+ and TACO+ price expression is expected to be additive to existing BTIC and TACO, insofar as it will provide current BTIC/TACO users with a cleaner and simpler alternative to what they currently use.

Please visit the BTIC page and the TACO page for more information.

  • Russell 2000: Futures monthly ADV for July was 180K contracts with an average open interest of 512K contracts for an increase of 61% YoY and 20% YoY for ADV and OI, respectively.

View more information on the Russell 2000 contracts.  

  • E-mini S&P 500 ESG futures: Launched on November 18, 2019. Environmental, Social, and Governance (ESG) is an investment theme that has gained 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 contract 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. Over 76K contracts ($10.1B notional) have traded since their launch in November. Liquidity at the top of the order book remained tight throughout July at just two bps wide.
  • Total Return futures: Adoption in S&P 500 Total Return futures in 2020 continues to accelerate as dealers transition from OTC to listed. YTD ADV is ~3.2K and OI averaging 236K contracts ($36.8B notional) in 2020.
  • Adjusted Interest Rate (AIR) Total Return futures: CME Group announced the launch of the Adjusted Interest Rate (AIR) Total Return futures coming September 21, 2020, pending regulatory review. Please visit the following for further detail:
  • S&P 500 Annual Dividend futures: Listed in 2016, Dividend futures provide market participants with efficient tools to hedge a view on the US dividend market. Helped by the increase in dividend uncertainty, 2020 volumes have grown significantly with YTD ADV of 3.3K and an OI of 134K ($1.82B notional).
  • Micro E-mini futures: Micro E-mini futures continue to be the most successful product launch in CME Group history. Nearly 340M contracts have traded since launch. ADV in July 2020 remained at 2M across the four indices. 

 

Find more information on Micro E-mini futures

Bitcoin futures and options: Bitcoin futures ADV grew to 7,381 contracts in July, a 24% increase from June. The week of July 27 was a record week for bitcoin futures, with average open interest reaching 13,376 contracts. July 31 saw a record OI of 14,361. Bitcoin options ADV was 120 contracts in July, and average daily OI was 3,784 contracts. Options on Bitcoin futures total volume is now over 19.3K contracts since the January 13 launch.

  • S&P options & E-mini S&P 500 options: E-mini and standard S&P 500 options reached an ADV of 554K and 12.6K in July, respectively. Since the floor closure on March 13, 5.6K block trades have been printed with 1.4M contracts transacted on the $250 multiplier S&P 500 options.

 

Find more information on S&P 500 Options

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