Equity Insights | Q4 2019

2019 highlights

Equity Index futures saw significant growth in 2019, driven by notable product launches and innovation.

  • BTIC on Nikkei 225: Launched Feb 2019, BTIC on Nikkei futures traded 5,754 contracts ($700M notional) since launch.
  • New Micro E-mini futures available across S&P 500 (MES), Nasdaq-100 (MNQ), Russell 2000 (M2K), and Dow Indices (MYM) culminated in the the most successful product launch in CME Group history.
  • Growth in S&P 500 Annual Dividend futures: Record open interest (OI) of 130K contracts ($1.95B notional) on Dec 3.
  • Trade at Cash Open (TACO) on E-mini S&P 500 futures (ES) allows traders to execute a basis trade relative to the day's official cash opening level - 21.2K contracts traded on June 21.

Micro E-mini futures trade 87M+ contracts to date

Since their first trade date in May, Micro E-mini futures have continued an upward growth in volume, allowing customers to add more precision to their trading strategies. Over 87M contracts have traded since launch with an ADV of 525K in 2019.

More on Micro E-mini futures


Volatility drops in Q4

Volatility was subdued in Q4, with an understandable impact on business flows. We witnessed a replaying of the “melt-up,” and at any given time a collective sell-off could occur given increasing volatility. It is unclear what will cause this, but the impact would be expected to be lower than the high volatility levels seen in Q1-2018. Since many inverse volatility products have been mostly wiped out ~2 years ago, the same effect is not expected.

While, on average, the roll was higher in December 2019 (+43bps) than the previous quarters this year, it was still on par with recent year-end rolls observed.


BTIC on major indices: the wrap-up

Since launching in Nov 2015, 25.12M contracts ($3.38T notional) have traded. BTIC on the major indices averaged 41K contracts per day in 2019.

In Q4 2019, BTIC on major indices averaged 40K contracts traded per day. On average, BTIC represented a record 34% of the MOC at NYSE and Nasdaq in 2019.

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


Now trading: E-mini S&P 500 ESG futures

With the growth in demand for sustainable investing, CME Group launched the E-mini S&P 500 ESG Index futures in November. Market participants are now able to access a new derivative solution for responsible investing, so they can align financial goals with environmental, social, and governance values.

Since launch, over 3,000 contracts ($433M notional) have traded from a diverse set of participants.

Explore E-mini S&P 500 ESG futures


Record year for Total Return Index futures

S&P 500 Total Return Futures had a record year in 2019. ADV was 2,072 contracts ($299M notional), +17% vs. 2018. Open interest averaged 233,747 ($34B notional), +75% vs. 2018. Both are records.

Additionally, in late Q4-2018, CME launched Total Return futures on the Russell 2000, Russell 1000, Nasdaq-100, and Dow Jones indices.

More on Total Return Index futures

2019 volume recap

Equity Index futures:

  • Volume: 3.46M ADV
  • Open interest: 4.32M contracts per day

Equity Index options on futures:

  • Volume: 644K ADV
  • Open interest: 4.59M contracts

Futures

2019 ADV

ES

1.57M

NQ

457K

YM

200K

RTY

146K

NK (Yen)

39K

BTC

6K


Trending insights

Webinar: The future of sustainable investing

View our recent webinar featuring CME Group and S&P Dow Jones Indices product experts as they share insights into the ESG market and explore the newly launched E-mini S&P 500 ESG futures.

Watch the video


Read now: Two years later, Bitcoin futures are more important than ever

Understand Bitcoin futures performance since their Dec 2017 launch and why Bitcoin futures are now an integral part of the risk management process.

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Options update

  • Options on Bitcoin futures now live: CME Group has introduced options on Bitcoin futures on Jan 13 to provide new tools to manage bitcoin price risk.
    Learn more
  • 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
  • 19 successful equity options compression runs have been completed since October 2018, reducing over 5M sides of open interest.
    Find out more