November Equity Index Product Review

Equity products performance

  Product Code Bloomberg Ticker Nov ADV YTD ADV* Open Interest
Total     5,367,570 5,732,568 7,879,707
S&P 500     3,149,714 3,658,812 6,271,593
Futures     2,590,103 2,946,918 3,211,946
E-mini ES ESA Index 1,522,470 1,984,200 2,609,112
Micro E-mini MES HWA Index 1,027,468 911,214 169,473
Standard SP SPA Index 2,460 3,302 30,765
BTIC EST STEA Index 33,936 41,707 -
BTIC+ ES1, ES2 ES1BTIC yyyymmdd Index - 5 -
Dividend Future SDA, SDI ASDA, ISDA Index 2,231 2,888 216,605
Total Return Futures TRI, CTR SRTA, CTIA Index 450 2,948 180,696
TACO ESQ TQA Index 271 185 -
TACO+ EQ1 EQ1TACO yyyymmdd Index   - -
E-mini ESG ESG SLBA Index 816 468 5,295
Options     559,611 711,894 3,059,647
E-mini     542,645 692,585 2,959,827
End-Of-Month EW SCA Index 61,461 94,292 361,536
Quarterlies ES ESA Index 123,929 177,402 1,799,720
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 357,255 420,890 798,571
Micro E-mini     5,443 1,922 28,552
End-Of-Month EX HWOA Index 675 417 2,241
Quarterlies MES HWAA Index 3,834 1,228 4,811
Weekly EX1-EX4 HXS1-HXS4 Index 934 277 21,500
Standard     11,524 17,387 71,268
End-Of-Month EV EVA Index 1,083 2,722 150
Flex XP, YP   40 103 8,000
Quarterlies SP SPA Index 434 2,007 24,096
Weekly (M, W, F) EV1 - EV4 1DA-4DA 9,966 12,554 39,022
NASDAQ     1,538,225 1,310,744 517,945
Futures     1,522,353 1,294,309 415,522
E-mini NQ NQA Index 513,437 588,110 245,800
Micro E-mini MNQ HWB Index 1,004,898 702,405 169,722
BTIC NQT QNTA Index 4,019 3,794 -
Options     15,872 16,435 102,423
E-mini     15,509 16,306 101,328
Micro E-mini     363 129 1,095
End-Of-Month MQE HIWA Index 48 19 439
Quarterlies MNQ HWBA Index 294 90 560
Weekly MQ1-MQ4 HWY1-HWY4 Index 22 21 96
DOW JONES     330,274 371,632 114,678
Futures     330,179 371,495 113,126
E-mini YM DMA Index 182,809 241,395 93,847
Micro E-mini MYM HWI Index 146,101 129,282 169,722
BTIC YMT YMTA Index 1,269 817 -
Options     95 138 1,552
E-mini     95 138 1,552
Russell 2000     262,973 301,171 616,624
Futures     259,270 298,305 586,618
E-mini RTY RTYA Index 169,003 201,158 556,369
Micro E-mini M2K HWR Index 85,957 93,895 30,249
BTIC RLT RLBA Index 4,309 3,252 -
Options     3,703 2,866 25,948
E-mini     3,703 2,866 25,948
S&P 400 - MIDCAP     12,607 17,505 54,834
Futures     12,607 17,505 54,834
E-mini ME FAA Index 12,607 17,505 54,834
INTERNATIONAL     48,706 52,754 74,703
Futures     48,706 52,754 74,703
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 48,410 52,029 74,286
Ibovespa IBV IBAA Index 7 40 72
TOPIX TPY TPYA Index 289 685 345
SECTORS     12,784 10,428 184,916
Futures     12,784 10,428 184,916
Comm. Srvcs. XAZ XASA Index 94 162 9,318
Cons. Discr. XAY IXYA Index 539 436 6,027
Cons. Staples XAP IXRA Index 755 1,114 13,535
Energy XAE IXPA Index 2,723 1,084 16,696
Financial XAF IXAA Index 2,252 1,276 28,634
Health Care XAV IXCA Index 782 861 13,277
Industrial XAI IXIA Index 1,365 526 9,124
Materials XAB IXDA Index 573 477 8,266
Real Estate XAR XARA Index 147 824 8,258
Technology XAK IXTA Index 538 640 11,684
Utilities XAU IXSA Index 851 1,249 17,738
Dow Jones Real Estate JR DJEA Index 2,151 1,741 42,041
Nasdaq Biotechnology BQ DBA Index 16 38 318
Russell 1000     720 822 29,450
Futures     720 822 29,450
Russell 1000 RS1 RSYA Index 128 115 9,101
Russell 1000 Growth RSG RGYA Index 170 302 2,705
Russell 1000 Value RSV RVYA Index 422 405 17,644
Bitcoin     11,567 8,700 14,964
Futures & Options     11,567 8,700 14,964
Futures BTC BTCA Curncy 11,433 8,553 12,843
Options BTC BTCA Curncy 133 147 2,121

*Through November 30, 2020

ADV and open interest:

  • Equity Index futures and options volume averaged 5.37 million contracts per day in November 2020.
  • Equity Index open interest averaged 8.2 million contracts per day for the month of November 2020.

Product highlights:

BTIC on major indices: Over 49.9M contracts traded ($5.12T notional) since the November 2015 launch. BTIC on the major indices has achieved 43.6K ADV in November.  

  • 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 our BTIC and TACO pages for more information.
  • Russell 2000: Futures monthly ADV for November was 173K contracts (+56% from Nov-19), with an average open interest of 541K contracts (+14% from Nov-19). For more information on the Russell 2000, please click here.
  • 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 110K contracts ($15.1B notional) have traded since their launch.
  • 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 2.9K (450M Notional ADV), an increase of nearly 50% compared to 2019.  
  • Adjusted Interest Rate (AIR) Total Return futures: CME Group launched the Adjusted Interest Rate (AIR) Total Return futures on September 21, 2020. Over 5.9K contracts have traded since launch, with liquidity building at six to seven basis points 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 2.8K and an OI of 156K ($2.2B notional).
  • Micro E-mini futures: Micro E-mini futures continue to be the most successful product launch in CME Group history. Nearly 512M contracts have traded since launch, ADV in November 2020 reached 2.27M across the four indices ‒ an increase of 10% vs. October.

 

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

  • Micro E-mini options: CME Group launched Micro E-mini options on the S&P 500 and Nasdaq-100 indices August 31, 2020. Over 475K contracts have traded since the launch, with an ADV of 7.4K.
  • Bitcoin futures and options: The price of Bitcoin reached a new all-time high of $19.85K on November 30 and a record 108 large open interest holders on November 24. Bitcoin futures ADV in November was 11.4K, a 55% increase from October 2020. Open interest on November 30 was over 12.8K contracts, worth $1.25M notional, an equivalent of 60K bitcoin. Bitcoin options ADV since launch has reached 155 contracts, total volume is over 33.9K 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. 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 Group 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:

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