August Equity Index Product Review

Equity products performance

  Product Code Bloomberg Ticker Aug ADV YTD ADV* Open Interest
Total     4,126,882 5,669,544 8,296,784
S&P 500     2,537,894 3,697,439 6,841,829
Futures     1,989,845 2,956,543 3,453,300
E-mini ES ESA Index 1,252,593 2,042,936 2,776,284
Micro E-mini MES HWA Index 710,449 858,855 222,714
Standard SP SPA Index 1,334 3,615 32,286
BTIC EST STEA Index 22,702 44,847 -
BTIC+ ES1, ES2 ES1BTIC yyyymmdd Index - 7 -
Dividend Future SDA, SDI ASDA, ISDA Index 2,555 3,233 190,646
Total Return Futures TRI, CTR SRTA, CTIA Index - 2,904 231,370
TACO ESQ TQA Index 212 146 -
TACO+ EQ1 EQ1TACO yyyymmdd Index   - -
E-mini ESG ESG SLBA Index 21 462 5,295
Options     548,049 740,896 3,388,529
E-mini     537,195 721,401 3,286,498
End-Of-Month EW SCA Index 56,185 97,868 394,583
Quarterlies ES ESA Index 104,023 196,776 1,998,410
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 376,987 426,756 893,505
Standard     10,854 19,495 102,031
End-Of-Month EV EVA Index 1,121 3,125 125
Flex XP, YP   - 114 8,000
Quarterlies SP SPA Index 369 2,407 53,267
Weekly (M, W, F) EV1 - EV4 1DA-4DA 9,364 13,849 40,639
NASDAQ     1,081,435 1,191,447 465,706
Futures     1,065,154 1,175,824 335,585
E-mini NQ NQA Index 453,040 573,983 245,038
Micro E-mini MNQ HWB Index 609,426 598,744 90,547
BTIC NQT QNTA Index 2,687 3,097 -
Options     16,281 15,624 130,121
E-mini     16,281 15,624 130,121
DOW JONES     233,310 383,258 102,837
Futures     233,190 383,102 100,468
E-mini YM DMA Index 163,446 251,746 83,113
Micro E-mini MYM HWI Index 68,812 130,570 90,547
BTIC YMT YMTA Index 931 786 -
Options     120 157 2,369
E-mini     120 157 2,369
Russell 2000     214,993 307,134 552,973
Futures     212,973 304,403 531,623
E-mini RTY RTYA Index 135,244 204,537 506,236
Micro E-mini M2K HWR Index 75,214 96,723 25,387
BTIC RLT RLBA Index 2,515 3,142 -
Options     2,020 2,732 25,948
E-mini     2,020 2,732 25,948
S&P 400 - MIDCAP     11,425 17,897 57,935
Futures     11,425 17,897 57,935
E-mini ME FAA Index 11,425 17,897 57,935
INTERNATIONAL     32,285 52,754 58,725
Futures     32,285 52,754 58,725
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 31,979 52,029 58,250
Nifty 50 MNF MNCA Index - - -
Ibovespa IBV IBAA Index 17 40 130
TOPIX TPY TPYA Index 289 685 345
SECTORS     5,124 10,428 184,916
Futures     5,124 10,428 184,916
Comm. Srvcs. XAZ XASA Index 61 162 9,318
Cons. Discr. XAY IXYA Index 150 436 6,027
Cons. Staples XAP IXRA Index 449 1,114 13,535
Energy XAE IXPA Index 844 1,084 16,696
Financial XAF IXAA Index 538 1,276 28,634
Health Care XAV IXCA Index 342 861 13,277
Industrial XAI IXIA Index 320 526 9,124
Materials XAB IXDA Index 113 477 8,266
Real Estate XAR XARA Index 94 824 8,258
Technology XAK IXTA Index 355 640 11,684
Utilities XAU IXSA Index 616 1,249 17,738
Dow Jones Real Estate JR DJEA Index 1,234 1,741 42,041
Nasdaq Biotechnology BQ DBA Index 8 38 318
Russell 1000     289 822 18,142
Futures     289 822 18,142
Russell 1000 RS1 RSYA Index 89 115 8,432
Russell 1000 Growth RSG RGYA Index 50 302 2,961
Russell 1000 Value RSV RVYA Index 150 405 6,749
Bitcoin     10,126 8,364 13,721
Futures & Options     10,126 8,364 13,721
Futures BTC BTCA Curncy 9,961 8,231 11,498
Options BTC BTCA Curncy 165 133 2,223

ADV and open interest:

  • Equity Index futures and options volume averaged 4.13 million contracts per day in August 2020.
  • Equity Index open interest averaged 8.3 million contracts per day for the month of August 2020.

Product highlights:

BTIC on major indices: Over 33.8M contracts traded ($4.65T notional) since the Nov. 2015 launch. BTIC on the major indices has achieved 42.8K 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” (4 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 August was 138K contracts with an average open interest of 506K contracts. View more information on 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 in both attention and implementation over the last several years and the need for capitally efficient ESG solutions has grown. The 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. Nearly 80K contracts ($10.57B notional) have traded since their launch in November. Liquidity at the top of the order book remained tight throughout August at just two bps wide in US hours. More recently, SPDJI concluded that companies with over 5% of revenue derived from thermal coal will be excluded from the index. Those changes will be implemented September 21, 2020.
  • 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 ~2.8K and OI averaging 236K contracts ($37.2B notional) in 2020.
  • S&P 500 Annual Dividend futures: Listed in 2015, 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 3.2K and an OI of 139K ($1.9B notional).
  • Micro E-mini futures: Micro E-mini futures continue to be the most successful product launch in CME Group history. Nearly 397M contracts have traded since launch. ADV in Aug 2020 remained near 2M across the four indices.

Please visit the Micro E-mini futures page for more information

  • Micro E-mini options: CME launched Micro E-mini options on the S&P 500 and Nasdaq-100 indices August 31, 2020. Nearly 25K options traded in the first week.

For more information, please visit the following:

  • Bitcoin futures and options: Bitcoin futures ADV grew to 9,961 contracts in August, a 35% increase from July. A record 94 Large Open Interest Holders (LOIH) was reached the week of August 18, with an average of 90 LOIHs throughout August ‒ representing an increase of 27%. Bitcoin options ADV was 165 contracts in August, a 37% growth from July. Options on Bitcoin futures total volume has reached nearly 22.4K contracts since the January 13 launch.
  • Nasdaq-100 Volatility Index (VolQ) futures: CME announced the launch of the Nasdaq-100 Volatility Index (VolQ) futures, coming October 5, 2020, pending regulatory review.  Please visit the following for further detail:

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