Equity Insights | Q4 2020

Q4 market insights: Equity market movement persists

The equity market reached all-time highs again in December, despite COVID-19, with liquidity being pumped in from around the world, keeping risk assets floating at the top. The lack of shorts was at an all-time high, buoying the roll spread.


Recapping the Q4 Equity roll

The Dec/Mar roll continued to trend higher, with the roll moving up each quarter in 2020 from -33bps, +6bps, and +23bps to +64bps in Q4 2020. The elevated level exceeded Q4 2019 (+43bps) and Q4 2018 (0bps). While the running four-quarter moving average is still subdued (+15bps), the implied financing heading into the new year warrants attention. 

Source: CME Group


Nasdaq Veles California Water (NQH2O) futures are here

CME Group launched the Nasdaq Veles California Water Index (NQH2O) futures on December 7. The contract is a first-of-its-kind regulated risk management tool to manage water supply and demand risk. In the three weeks through month-end, 94 lots traded, equivalent to 940-acre feet or 306.3M gallons.

Find out more


Strong customer participation in E-mini S&P 500 ESG futures

Over 139K contracts ($19.7B notional) have traded since their launch in November 2019. ADV and open interest averaged 793 and $782.6M throughout Q4, respectively.  December 15 was a record day for both trading and OI with 7,062 contracts and $1.23B of OI.

Source: CME Group


Micro E-mini futures and options trading highlights

Average daily volume for the recently launched Micro E-mini S&P 500 and Nasdaq-100 options was 6.3K in Q4-2020. Open interest averaged 41.3K throughout the quarter with a peak of 61.8K contracts on October 15.

The underlying Micro E-mini futures continue to see robust activity with ADV at nearly 2M in Q4-2020 across all four indices. Nearly 550M contracts have traded since launch.


Now trading: Nasdaq-100 Volatility Index (VOLQ) futures

Launched on October 5, the Nasdaq-100 Volatility Index (VOLQ) futures contract provides a way to hedge market uncertainty. These contracts are based on at-the-money options with 30 days until expiration. All listed expiries have seen trading activity and markets are quoted across the curve.


AIR Total Return futures gain momentum

CME Group launched the Adjusted Interest Rate (AIR) S&P 500 Total Return futures on September 21. With over 6K contracts traded since launch, liquidity is building with markets 6-7 basis points wide and maturities through December 2027.


Q4 volume and open interest

Equity Index futures:

  • Volume: 4.57M ADV
  • Open interest: 4.5M contracts per day

Equity Index options on futures:

  • Volume: 580K ADV
  • Open interest: 3.4M contracts

Futures

2020 ADV

ES

2.0M

NQ

580K

YM

235K

RTY

205K

NIY & NKD

53K

BTC

8.8K


Read - Equities: Select Sectors trends 2020

Get a look at select sectors performed in 2020 despite the setbacks.

Read the article


OpenMarkets - Is the rally in bitcoin just getting started?

Watch the latest OpenMarkets roundtable to get an understanding of the recent surge in bitcoin prices.

Watch the video


Webinar - The institutionalization of bitcoin: A new frontier or already here?

Read about the big ideas in institutional bitcoin discussed between CME Group, Genesis, and digital asset fund manager Brian Kelly.

Watch the replay


Options update

  • Rise in overnight Equity Options trading: Equity options traded in the overnight session, 5pm-8am CST, increased to 20% of all volume traded in 2020 (vs. 15% in 2019). Overnight option ADV reached over 140K in 2020, an increase of 46% YoY.
    Find out more
  • Growth in client adoption of SP options blocks: Since the temporary closing of the trading floor in March, over 2.5M blocks have been transacted, with a December ADV of 13.1K.  Block trading rules for S&P 500 options on futures are designed to provide greater flexibility and capital efficiency during this period. The minimum block threshold remains at 50 contracts.
    Learn more
  • Bitcoin options: Over 37.3K options on Bitcoin futures ($2.2B notional value) have traded since their launch in January 2020. Q4 average OI remained at 3.7K, an average daily notional value of over $296M. Learn more at cmegroup.com/bitcoinoptions.