Q2 Equity Index Recap

Innovations in Our Products

The Next Big Thing in Equities is Here: Micro E-mini Equity Futures

On May 6, CME Group launched Micro E-mini futures across 4 major indices: S&P 500, Nasdaq-100, Russell 2000, and The Dow. At 1/10th the size of their E-mini counterparts, Micro E-mini futures make it easier for more traders to discover the benefits of trading futures

Starting Day 1, Micro E-mini futures reached unprecedented volume making it the most successful product launch in CME Group history. As of July 11, over 21M contracts have traded with an ADV of 454k.

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Market Insights

Volatility Comes Full Circle

Market volatility skipped higher during the May sell-off with a backdrop of a turbulent trade war, only to head south quickly as the market recovered after a "truce." Meanwhile, the quarterly roll cost edged up slightly from Q1 to just below +13bps. 

The market seemed to have climbed the proverbial wall of worries to new all-time highs, despite chatters of a vulnerable economy while the unemployment rate stayed at a fairly low level. Negative market sentiment has kept the options implied volatility from reaching the lows of the past doldrums.


International Indices

TOPIX Futures Volume Ramps up in 2019

Trading volume and open interest in CME TOPIX futures are on the rise. Single-day trading volume reached a record high on May 7, with 3,795 contracts traded ($272.7M notional)

  • $92M in daily notional traded in Q2
  • 32% of trades submitted are from non-U.S. regions
  • 33% of trading occurs during Asian and European trading hours

Learn about TOPIX futures

Volume Highlights

Futures – Q2 2019:

  • Volume: 2.851M ADV (+17% YoY)
  • Open interest: 4.23M contracts per day (-11% YoY) 

Options – Q2-2019:

  • Volume: 628K ADV (-4% YoY)
  • Open Interest: 4.66M contracts per day (+2% YoY)
Futures YTD ADV %YoY
ES 1.6M -8%
NQ 481K +9%
YM 217K -14%
RTY 146K -2%
NK (Yen) 37K -19%
BTC 7.6K 107%

Trending Insights

Buyside Chats: Futures vs ETFs

Aite Group asks investment managers to explore top concerns when selecting an instrument to replicate the S&P 500 Index.

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A Cost-Comparison of S&P-related Options

Compare ES and SPX options across key factors such as market quality and transaction cost.

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Total Return Futures Product Extension

The Total Return Index futures product suite has expanded to include the Nasdaq-100, Russell 1000, Russell 2000, and Dow Jones indices.

The listing cycle for the existing S&P 500 Total Return Index futures has been extended to 13 quarterly expirations (previously 5 quarterly expirations).

We continue to see strong growth, with S&P 500 Total Return futures ADV up 24% YoY at 2,203 contracts.

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Basis Trade at Index Close on Major Indices

Since the Nov 2015 launch, 15.6M contracts ($2.05T notional) have traded. BTIC on the major indices averaged 40,727 contracts per day in 2019.

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Delta-Neutral S&P Options Blocks are Here

Block trading rules for S&P 500 options on futures are live and designed to provide greater flexibility and capital efficiency. Learn More

  • Allowance of delta-neutral S&P 500 option blocks
  • Lower block threshold of 100 contracts (previously 250 contracts) during European and Asian Trading Hours
  • Extended block trade reporting time window of 15 minutes (previously 5 minutes) during European and Asian Trading Hours