September Equity Index Product Review

Equity products performance

  Product Code Bloomberg Ticker Sep ADV YTD ADV* Open Interest
Total     6,909,978 5,806,533 7,533,823
S&P 500     4,233,954 3,757,462 6,168,901
Futures     3,531,994 3,020,892 2,932,146
E-mini ES ESA Index 2,346,570 2,076,673 2,483,219
Micro E-mini MES HWA Index 1,133,316 889,351 70,694
Standard SP SPA Index 2,617 3,504 9,592
BTIC EST STEA Index 38,872 44,183 -
BTIC+ ES1, ES2 ES1BTIC yyyymmdd Index - 6 -
Dividend Future SDA, SDI ASDA, ISDA Index 1,611 3,053 193,802
Total Return Futures TRI, CTR SRTA, CTIA Index 8,232 3,496 169,544
TACO ESQ TQA Index 352 169 -
TACO+ EQ1 EQ1TACO yyyymmdd Index   - -
E-mini ESG ESG SLBA Index 425 458 5,295
Options     701,959 736,569 3,236,755
E-mini     681,733 716,993 3,130,073
End-Of-Month EW SCA Index 91,020 97,107 444,737
Quarterlies ES ESA Index 166,122 193,370 1,216,277
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 424,591 426,516 1,469,059
Micro E-mini     7,663 851 43,099
End-Of-Month EX HWOA Index 1,828 203 7,841
Quarterlies MES HWAA Index 4,252 472 22,974
Weekly EX1-EX4 HXS1-HXS4 Index 1,584 176 12,284
Standard     12,563 18,725 63,583
End-Of-Month EV EVA Index 1,383 2,932 125
Flex XP, YP   48 107 8,000
Quarterlies SP SPA Index 2,171 2,381 15,716
Weekly (M, W, F) EV1 - EV4 1DA-4DA 8,962 13,306 39,742
NASDAQ     1,853,109 1,264,965 414,783
Futures     1,829,023 1,248,401 321,318
E-mini NQ NQA Index 764,796 595,184 260,149
Micro E-mini MNQ HWB Index 1,056,812 649,640 61,169
BTIC NQT QNTA Index 7,415 3,577 -
Options     24,087 16,564 93,465
E-mini     23,624 16,512 92,621
Micro E-mini     463 51 844
End-Of-Month MQE HIWA Index 129 14 234
Quarterlies MNQ HWBA Index 256 28 603
Weekly MQ1-MQ4 HWY1-HWY4 Index 78 9 7
DOW JONES     375,555 382,402 87,351
Futures     375,440 382,251 86,038
E-mini YM DMA Index 246,349 251,146 75,138
Micro E-mini MYM HWI Index 128,382 130,327 61,169
BTIC YMT YMTA Index 709 778 -
Options     115 152 1,313
E-mini     115 152 1,313
Russell 2000     338,572 310,627 529,561
Futures     336,271 307,943 510,384
E-mini RTY RTYA Index 237,057 208,151 500,906
Micro E-mini M2K HWR Index 95,906 96,632 9,478
BTIC RLT RLBA Index 3,308 3,161 -
Options     2,301 2,684 25,948
E-mini     2,301 2,684 25,948
S&P 400 - MIDCAP     23,708 18,543 56,890
Futures     23,708 18,543 56,890
E-mini ME FAA Index 23,708 18,543 56,890
INTERNATIONAL     49,542 52,754 54,954
Futures     49,542 52,754 54,954
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 49,253 52,029 54,485
Ibovespa IBV IBAA Index 7 40 124
TOPIX TPY TPYA Index 282 685 345
SECTORS     22,850 10,428 184,916
Futures     22,850 10,428 184,916
Comm. Srvcs. XAZ XASA Index 593 162 9,318
Cons. Discr. XAY IXYA Index 827 436 6,027
Cons. Staples XAP IXRA Index 2,257 1,114 13,535
Energy XAE IXPA Index 3,213 1,084 16,696
Financial XAF IXAA Index 1,757 1,276 28,634
Health Care XAV IXCA Index 1,562 861 13,277
Industrial XAI IXIA Index 1,547 526 9,124
Materials XAB IXDA Index 841 477 8,266
Real Estate XAR XARA Index 501 824 8,258
Technology XAK IXTA Index 1,582 640 11,684
Utilities XAU IXSA Index 2,272 1,249 17,738
Dow Jones Real Estate JR DJEA Index 5,873 1,741 42,041
Nasdaq Biotechnology BQ DBA Index 25 38 318
Russell 1000     2,842 822 25,010
Futures     2,842 822 25,010
Russell 1000 RS1 RSYA Index 943 115 8,913
Russell 1000 Growth RSG RGYA Index 456 302 2,999
Russell 1000 Value RSV RVYA Index 1,444 405 13,098
Bitcoin     9,846 8,529 11,457
Futures & Options     9,846 8,529 11,457
Futures BTC BTCA Curncy 9,614 8,385 7,487
Options BTC BTCA Curncy 232 144 3,970

ADV and open interest:

  • Equity Index futures and options volume averaged 6.92 million contracts per day in September 2020.
  • Equity Index open interest averaged 7.5 million contracts per day for the month of September 2020.

Product highlights:

BTIC on major indices: Over 34.8M contracts traded ($4.83T notional) since the Nov. 2015 launch. BTIC on the major indices has achieved 50.4K ADV in September.  

  • 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 September was 240K contracts, a 74% increase from August, with an average open interest of 522K 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. Over 88K contracts ($11.9B notional) have traded since their launch in November 2019. Starting September 21, 2020, companies with over 5% of revenue derived from thermal coal were excluded from the index, per SPDJI conclusion.
  • Total Return Futures: Adoption in S&P 500 Total Return futures in 2020 continues to accelerate as dealers’ transition from OTC to listed. September ADV is 8.1K (increase of 103% from September 2019) and OI averaging 209K contracts ($36.3B notional).
  • 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 3.1K and an OI of 174K ($2.46B notional).
  • Micro E-mini futures: Micro E-mini futures continue to be the most successful product launch in CME Group history. Over 447M contracts have traded since launch, ADV in Sep 2020 reached 2.4M across the four indices with an increase of 65% since August. Micro E-mini futures ADV has grown quarter-over-quarter throughout 2020, with ADV of 1.96M in Q3 2020.

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

  • Micro E-mini options: CME Group launched Micro E-mini options on the S&P 500 and Nasdaq-100 indices August 31, 2020. Average daily volume (ADV) surpassed 7.8K, reaching a high of 23K contracts on September 21, and open interest reached a peak of 55.9K contracts on September 24.

For more information, please visit the following:

  • Bitcoin futures and options: Bitcoin futures ADV in September was 9,614, a 90% increase from September 2019. Large Open Interest Holders (LOIH) averaged of 77 LOIHs throughout September, representing an increase of 54% from September 2019. Bitcoin options ADV was 232 contracts in September, a 41% growth from August. Options on Bitcoin futures total volume reached nearly 27.2K contracts since their January 13 launch.
  • Nasdaq-100 Volatility Index (VolQ) futures: CME Group launched the Nasdaq-100 Volatility Index (VolQ) futures on October 5, 2020. Please visit the following for further details:
  • Nasdaq Veles California Water Index (NQH2O) futures: CME Group announced the launch of the Nasdaq Veles California Water Index futures, coming Q4 2020. Please visit the following for further details:

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