May Equity Index Product Review

  • 19 Jul 2019
  • By CME Group

Equity Products Performance

  Product Code Bloomberg Ticker May ADV YTD ADV* Open Interest
Total     4,296,016 3,217,806 8,961,101
S&P 500     2,956,700 2,441,732 7,757,141
Futures     2,162,786 1,835,564 3,120,956
E-mini ES ESA Index 1,869,240 1,541,753 2,714,778
Micro E-mini MES HWA Index 253,601 253,601 31,381
Standard SP SPA Index 1,544 2,517 38,921
BTIC EST STEA Index 35,735 34,075 -
Dividend Future SDA, SDI ASDA, ISDA Index 1,012 1,144 109,786
Total Return Futures TRI, CTR SRTA, CTIA Index 1,428 2,361 226,090
TACO ESQ TQA Index 225 113 -
Options     793,914 606,169 4,636,185
E-mini     765,665 573,322 4,410,569
End-Of-Month EW SCA Index 129,966 89,995 506,722
Quarterlies ES ESA Index 206,600 139,297 2,813,201
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 429,100 344,030 1,090,646
Standard     28,249 32,847 225,616
End-Of-Month EV EVA Index 6,376 6,171 53,967
Flex XP, YP   373 242 15,568
Quarterlies SP SPA Index 1,885 2,930 61,112
Weekly (M, W, F) EV1 - EV4 1DA-4DA 19,615 23,504 94,969
NASDAQ     751,293 651,404 288,728
Futures     740,002 641,478 225,158
E-mini NQ NQA Index 579,108 481,511 225,158
Micro E-mini MNQ HWB Index 157,597 157,597 16,359
BTIC NQT QNTA Index 3,297 2,370 -
Options     11,291 9,925 63,570
E-mini     11,291 9,925 63,570
DOW JONES     317,508 268,358 91,057
Futures     317,344 268,132 87,295
E-mini YM DMA Index 266,787 217,813 77,286
Micro E-mini MYM HWI Index 49,635 49,635 9,509
BTIC YMT YMTA Index 921 685 -
Options     164 226 3,762
E-mini     164 226 3,762
Russell 2000     177,868 169,857 465,001
Futures     174,924 167,893 434,342
E-mini RTY RTYA Index 144,647 137,646 434,342
Micro E-mini M2K HWR Index 28,592 28,592 19,631
BTIC RLT RLBA Index 1,684 1,655 -
Options     2,944 1,964 25,948
E-mini     2,944 1,964 25,948
S&P 400 - MIDCAP     13,980 15,620 66,300
Futures     13,980 15,620 66,300
E-mini ME FAA Index 13,980 15,620 66,300
INTERNATIONAL     57,731 76,084 96,883
Futures     57,731 76,084 96,883
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 56,281 75,471 96,479
Nifty 50 MNF MNCA Index - 524 -
Ibovespa IBV IBAA Index 10 67 130
TOPIX TPY TPYA Index 1,441 22 274
SECTORS     6,255 10,996 172,749
Futures     6,255 10,996 172,749
Comm. Srvcs. XAZ XASA Index 207 261 6,054
Cons. Discr. XAY IXYA Index 330 491 3,494
Cons. Staples XAP IXRA Index 468 1,002 14,649
Energy XAE IXPA Index 495 1,022 13,621
Financial XAF IXAA Index 1,073 1,570 30,367
Health Care XAV IXCA Index 400 981 7,197
Industrial XAI IXIA Index 311 783 7,253
Materials XAB IXDA Index 435 602 13,744
Real Estate XAR XARA Index 158 193 2,950
Technology XAK IXTA Index 540 817 14,200
Utilities XAU IXSA Index 1,142 1,560 33,345
Dow Jones Real Estate JR DJEA Index 875 1,970 25,875
Nasdaq Biotechnology BQ DBA Index 30 5 -
FTSE     110 252 58
Futures     110 252 58
FTSE China 50 FT5 FCYA Index 0 72 -
FTSE 100 (GBP) FT1 FFEA Index - 78 -
FTSE 100 (USD) FTU FFIA Index - 95 -
FTSE Emerging EI OEIA Index 110 7 58
FTSE Dev. Europe DVE DVEA Index - - -
Russell 1000     966 2,508 18,224
Futures     966 2,508 18,224
Russell 1000 RS1 RSYA Index 338 897 9,112
Russell 1000 Growth RSG RGYA Index 229 697 3,029
Russell 1000 Value RSV RVYA Index 399 913 6,083
Bitcoin     13,604 7,441 4,960
Futures     13,604 7,441 4,960
Standard BTC BTCA Curncy 13,604 7,441 4,960

* Through May 31, 2019

ADV and Open Interest Trends

  • Equity Index futures and options volume averaged 4.23 million contracts per day in May 2019, a 61% increase versus May 2018.
  • Equity Index open interest averaged 9.06 million contracts per day for the month of May, a 2% decrease versus May 2018.  

Product Highlights

  • BTIC on Major Indices: BTIC on E-mini S&P 500 averaged 35,735 contracts per day in May ($5.1B notional). Liquidity continues to be on-screen: 90% of BTIC on E-mini S&P 500 volume traded on Globex in May, on pace with 2018 figures and considerably higher than 78% in 2017. BTIC volume comprised 32% of the MOC value traded at NYSE and NASDAQ in May 2019.
  • Russell 2000: Futures monthly ADV was 146,332 contracts (+45% YOY) with an average open interest of 432,434 contracts. For more information on the Russell 2000, please see: cmegroup.com/Russell2000.
  • Equity Options: Equity options averaged 839K contracts per day in May (+39% YoY). CME S&P options has represented 90% of the ETH S&P volume in 2019. CME completed its tenth successful equity options compression run in May, alleviating pressure on firms that are most affected by capital constraints imposed by Basel III.
  • Micro E-mini Futures: On May 6th, Micro E-mini futures became the most successful product launch in CME Group history. On the first day of trading, they traded 310K contracts. In the first month of trading, Micro E-mini contracts traded over 11M contracts (another CME Group record).

 

For more information on the Micro E-mini futures, please visit:
https://www.cmegroup.com/cme-group-futures-exchange/micro-futures.html

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