October Equity Index Product Review

Equity products performance

 

Product Code

Bloomberg Ticker

Oct ADV

YTD ADV*

Open Interest

Total

 

 

5,405,936

5,766,995

7,793,988

S&P 500

 

 

3,274,133

3,707,067

6,303,733

Futures

 

 

2,635,788

2,980,739

2,968,244

E-mini

ES

ESA Index

1,609,522

2,027,966

2,430,689

Micro E-mini

MES

HWA Index

993,358

900,195

133,795

Standard

SP

SPA Index

2,331

3,382

15,110

BTIC

EST

STEA Index

27,505

42,444

-  

BTIC+

ES1, ES2

ES1BTIC yyyymmdd Index

-  

6

-  

Dividend Future

SDA, SDI

ASDA, ISDA Index

2,076

2,951

207,609

Total Return Futures

TRI, CTR

SRTA, CTIA Index

508

3,185

175,746

TACO

ESQ

TQA Index

248

177

-  

TACO+

EQ1

EQ1TACO yyyymmdd Index

 

-  

-  

E-mini ESG

ESG

SLBA Index

239

435

5,295

Options

 

 

638,345

726,328

3,335,489

E-mini

 

 

619,203

706,797

3,233,106

End-Of-Month

EW

SCA Index

99,956

97,404

354,156

Quarterlies

ES

ESA Index

88,836

182,471

1,573,792

Weekly (M, W, F)

EW1 - EW4

1EA-4EA Index

430,411

426,922

1,305,158

Micro E-mini

 

 

7,922

1,589

43,872

End-Of-Month

EX

HWOA Index

2,021

393

6,807

Quarterlies

MES

HWAA Index

5,353

981

19,701

Weekly

EX1-EX4

HXS1-HXS4 Index

548

215

17,364

Standard

 

 

11,221

17,942

58,511

End-Of-Month

EV

EVA Index

2,412

2,877

50

Flex

XP, YP

 

132

109

8,000

Quarterlies

SP

SPA Index

223

2,156

17,216

Weekly (M, W, F)

EV1 - EV4

1DA-4DA

8,454

12,800

33,245

NASDAQ

 

 

1,497,229

1,289,182

475,843

Futures

 

 

1,481,386

1,272,694

381,984

E-mini

NQ

NQA Index

595,225

595,188

218,616

Micro E-mini

MNQ

HWB Index

880,707

673,732

163,368

BTIC

NQT

QNTA Index

5,454

3,773

-  

Options

 

 

15,843

16,489

93,859

E-mini

 

 

15,257

16,382

93,167

Micro E-mini

 

 

586

107

692

End-Of-Month

MQE

HIWA Index

30

16

322

Quarterlies

MNQ

HWBA Index

431

70

343

Weekly

MQ1-MQ4

HWY1-HWY4 Index

125

21

27

DOW JONES

 

 

316,704

375,552

111,679

Futures

 

 

316,652

375,411

110,286

E-mini

YM

DMA Index

210,886

246,948

94,769

Micro E-mini

MYM

HWI Index

105,017

127,688

163,368

BTIC

YMT

YMTA Index

749

775

-  

Options

 

 

52

142

1,393

E-mini

 

 

52

142

1,393

Russell 2000

 

 

254,658

304,792

563,408

Futures

 

 

250,986

302,005

537,658

E-mini

RTY

RTYA Index

170,315

204,206

524,313

Micro E-mini

M2K

HWR Index

77,598

94,647

13,345

BTIC

RLT

RLBA Index

3,073

3,151

-  

Options

 

 

3,671

2,787

25,948

E-mini

 

 

3,671

2,787

25,948

S&P 400 - MIDCAP

 

 

13,036

17,969

56,152

Futures

 

 

13,036

17,969

56,152

E-mini

ME

FAA Index

13,036

17,969

56,152

INTERNATIONAL

 

 

34,278

52,754

54,954

Futures

 

 

34,278

52,754

54,954

Nikkei 225

ENY, N1, NK

YMEA, NXA, NHA Index

34,002

52,029

54,485

Ibovespa

IBV

IBAA Index

11

40

124

TOPIX

TPY

TPYA Index

265

685

345

SECTORS

 

 

7,855

10,428

184,916

Futures

 

 

7,855

10,428

184,916

Comm. Srvcs.

XAZ

XASA Index

58

162

9,318

Cons. Discr.

XAY

IXYA Index

407

436

6,027

Cons. Staples

XAP

IXRA Index

563

1,114

13,535

Energy

XAE

IXPA Index

1,458

1,084

16,696

Financial

XAF

IXAA Index

855

1,276

28,634

Health Care

XAV

IXCA Index

604

861

13,277

Industrial

XAI

IXIA Index

557

526

9,124

Materials

XAB

IXDA Index

270

477

8,266

Real Estate

XAR

XARA Index

127

824

8,258

Technology

XAK

IXTA Index

579

640

11,684

Utilities

XAU

IXSA Index

932

1,249

17,738

Dow Jones Real Estate

JR

DJEA Index

1,437

1,741

42,041

Nasdaq Biotechnology

BQ

DBA Index

8

38

318

Russell 1000

 

 

481

822

25,010

Futures

 

 

481

822

25,010

Russell 1000

RS1

RSYA Index

43

115

8,913

Russell 1000 Growth

RSG

RGYA Index

104

302

2,999

Russell 1000 Value

RSV

RVYA Index

334

405

13,098

Bitcoin

 

 

7,562

8,428

18,293

Futures & Options

 

 

7,562

8,428

18,293

Futures

BTC

BTCA Curncy

7,382

8,280

12,373

Options

BTC

BTCA Curncy

180

148

5,920

 *Through October 31, 2020

ADV and open interest:

  • Equity Index futures and options volume averaged 5.41 million contracts per day in October 2020.
  • Equity Index open interest averaged 7.8 million contracts per day for the month of October 2020.

Product highlights:

BTIC on major indices: Over 35.7M contracts traded ($4.97T notional) since the Nov. 2015 launch. BTIC on the major indices has achieved 36.8K ADV in October.  

  • 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 October was 174K contracts, a 46% increase from September, with an average open interest of 531K 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 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 94K contracts ($12.7B notional) have traded since their launch in November. Since 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. 2020 ADV is 3K (485M notional ADV), an increase of nearly 50% compared to 2019.
  • Adjusted Interest Rate (AIR) Total Return futures: CME launched the Adjusted Interest Rate (AIR) Total Return futures on September 21, 2020. Over 3.7K contracts have traded since launch, with liquidity building at six to seven basis point wide and markets through December 2027. Please visit the following for further detail:
  • 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 2.9K and an OI of 150K ($2.1B notional).
  • Micro E-mini futures: Micro E-mini futures continue to be the most successful product launch in CME Group history. Over 466M contracts have traded since launch, ADV in October 2020 reached 2M across the four indices ‒ an increase of 5% since September. 

 

For more information on the Micro E-mini futures, please click here.

  • Micro E-mini options: CME launched Micro E-mini options on the S&P 500 and Nasdaq-100 indices on August 31, 2020. Average daily volume (ADV) surpassed 8K, with nearly 370K contracts traded since launch.
  • Bitcoin futures and options: Bitcoin futures ADV in September was 7,382, an 81% increase from October 2019. CME is now the second largest Bitcoin futures exchange by open interest. Open interest is over 12K contracts worth $790M notional, an equivalent of 60K bitcoins. The price of Bitcoin reached over $13.5K for the first time since July 2019. Bitcoin options ADV was 180 contracts in October and reached a total volume of 31.2K contracts since their January 13 launch.
  • Nasdaq-100 Volatility Index (VolQ) futures: CME launched the Nasdaq-100 Volatility Index (VOLQ) futures on October 5, 2020. Trades have occurred in all listed expiries with markets currently quoted across the curve (November-January). Please visit the following for further detail:
  • Nasdaq Veles California Water Index (NQH2O) futures: CME announced the launch of the Nasdaq Veles California Water Index futures ‒ coming December 7, 2020, pending regulatory review. Please visit the following for further detail:

Equity Index Products

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

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