Equity Insights | Q3 2019

Micro E-mini Futures Trade 58M+ Contracts to Date

Since their first trade date in May, Micro E-mini futures have been the most successful product launch in CME Group history. We have seen over 58M contracts traded since launch with an ADV of 623K ($9B notional) in Q3 2019.

New and returning customers continue to turn to Micro E-mini futures to help manage risk during periods of market uncertainty and add more precision to their trading strategies.

More on Micro E-mini Equity Futures


Elevated volatility continues

Volatility stayed elevated in August, bleeding into September due to the trade war. We saw the roll trade +13.5 bps to Libor, slightly higher than the second quarter average. Chatter from the sell-side indicated that while this was rich compared to Q2, financing seemed cheap relative to their assumptions.

Trade war rhetoric has been toned down since mid-September but will most likely flair up in late 2019. Volatility continues to remain at elevated levels with the continued uncertainty around tariffs with China.


Launching Nov 18: E-mini S&P 500 ESG Futures

E-mini Nasdaq-100 Futures ADV +25% vs Q3 2018

With the growth in demand for sustainable investing, CME Group plans to launch the E-mini S&P 500 ESG Index futures in November, pending all regulatory approval.

Market participants will be able to access a new derivative solution for sustainable investing, allowing them to align financial goals with environmental, social, and governance values. 

Explore E-mini S&P 500 ESG futures

Volume rises in BTIC on Major Indices

Basis Trade at Index Close (BTIC) on major indices have traded 22.58M contracts ($2.99T notional) since the November 2015 launch, averaging 41K contracts per day in 2019.

In Q3 2019, BTIC on Major Indices averaged 45K contracts traded per day, which is +21% QoQ. On average, BTIC represented a record 40% of the market-on-close volume at NYSE and Nasdaq in Q3.

T+ Trading is here with BTIC+ and TACO+
BTIC+ and TACO+ are now available at CME Group. These futures contracts allow market participants to execute a basis trade on E-mini S&P 500 futures relative to the official closing, or opening, of the S&P 500 cash index level for a given trading session, days in advance.

More on BTIC



E-mini Nasdaq-100 futures (NQ), which allows customers to efficiently hedge tech exposure, had a robust Q3 2019, averaging 481K contracts (+25% vs. Q3-2018). This is driven largely by the 11% (~800 points) trading range in the quarter, resulting in several large directional moves.


Strongest quarter to date for BTIC on Nikkei 225

BTIC on Nikkei 225 futures has been gaining traction since February 2019 launch.

  • Q3 has been the best quarter, with 2,404 contracts traded, +125% from Q1 and +265% from Q2. 
  • 40.5% of the trading volume, on average, has been driven by banks (non-market makers).
  • 77 % traded on screen, while both Yen Nikkei 225 and Dollar Nikkei 225 BTIC printed off-screen transactions from Q1.

Q3 Volume Recap

Equity Index Futures:

  • Volume: 3.17M ADV (+57% YoY)
  • Open interest: 4.23M contracts per day (-7.2% YoY)      

Equity Index Options on Futures:

  • Volume: 708K ADV (+17% YoY)
  • Open Interest: 4.77M contracts (-1.5% YoY)

Futures

YTD ADV

YoY

ES

1.63M

+1%

NQ

482K

+14%

YM

213K

-3%

RTY

150K

+11%

NK (Yen)

39K

-3%

BTC

7K

+96%


Trending Insights

Hedging ETF exposure using Micro E-mini futures

View the latest Trader’s Edge video to see how Micro E-mini futures can be used to hedge a portfolio of ETFs with precision and capital efficiency.

Watch the video


Total Return Index futures gain traction

Total Return Index futures are now available on S&P 500, Nasdaq-100, Russell 1000, Russell 2000, and Dow Jones Indices.

  • Client adoption is strong, and we continue to see major growth in the S&P 500 Total Return futures with an ADV of 2,337 (+32% YoY).
  • OI in the newly introduced expiries is $7B+ notional, with 13 expirations now available for trading
  • Dow Jones Total Return futures had a robust quarter, with open interest (OI) at September month end standing at 8K+ contracts.

More on Total Return Index futures


  • Q3 equity options ADV was the highest it has been since Q4 2018 with ADV at 709K, 15% higher than Q3 2018.
  • New block trading rules for S&P 500 options on futures are designed to provide greater flexibility and capital efficiency with the allowance of delta-neutral S&P options blocks and lower block threshold during ETH.
    Find out more
  • 16 successful equity options compression runs have been completed since October 2018, reducing over 4.5M sides of open interest.
    Find out more
  • Options on Bitcoin futures coming soon: CME Group will introduce options on Bitcoin futures in Q1 2020. Learn more at cmegroup.com/bitcoinoptions.

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