June Equity Index Product Review

  • 19 Jul 2019
  • By CME Group

Equity Products Performance

  Product Code Bloomberg Ticker June ADV YTD ADV* Open Interest
Total     3,856,504 3,323,046 7,721,608
S&P 500     2,655,795 2,466,725 6,630,170
Futures     2,056,673 1,861,693 2,858,087
E-mini ES ESA Index 1,785,880 1,581,128 2,480,251
Micro E-mini MES HWA Index 226,481 239,693 24,750
Standard SP SPA Index 4,831 2,890 23,469
BTIC EST STEA Index 35,638 34,327 -
Dividend Future SDA, SDI ASDA, ISDA Index 1,406 1,186 121,237
Total Return Futures TRI, CTR SRTA, CTIA Index 1,377 2,203 208,380
TACO ESQ TQA Index 1,060 266 -
Options     599,122 605,032 3,772,083
E-mini     564,057 571,827 3,548,727
End-Of-Month EW SCA Index 91,172 90,185 494,033
Quarterlies ES ESA Index 178,603 145,636 1,771,106
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 294,282 336,006 1,283,588
Standard     35,065 33,205 223,356
End-Of-Month EV EVA Index 7,357 6,362 32,917
Flex XP, YP   351 259 7,160
Quarterlies SP SPA Index 6,051 3,434 18,699
Weekly (M, W, F) EV1 - EV4 1DA-4DA 21,305 23,150 164,580
NASDAQ     635,180 646,627 268,884
Futures     624,852 636,637 212,158
E-mini NQ NQA Index 470,770 479,779 212,158
Micro E-mini MNQ HWB Index 151,453 154,446 14,523
BTIC NQT QNTA Index 2,629 2,412 -
Options     10,328 9,990 56,726
E-mini     10,328 9,990 56,726
DOW JONES     251,387 262,238 95,182
Futures     251,237 262,025 92,827
E-mini YM DMA Index 210,435 216,623 85,322
Micro E-mini MYM HWI Index 40,012 44,700 14,523
BTIC YMT YMTA Index 790 702 -
Options     149 214 2,355
E-mini     149 214 2,355
Russell 2000     204,320 171,966 439,734
Futures     201,978 169,942 417,375
E-mini RTY RTYA Index 180,976 144,634 417,375
Micro E-mini M2K HWR Index 18,782 23,561 3,823
BTIC RLT RLBA Index 2,220 1,746 -
Options     2,342 2,025 25,948
E-mini     2,342 2,025 25,948
S&P 400 - MIDCAP     21,591 16,583 63,481
Futures     21,591 16,583 63,481
E-mini ME FAA Index 21,591 16,583 63,481
INTERNATIONAL     59,226 63,812 82,836
Futures     59,226 63,812 82,836
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 58,174 63,299 82,410
Nifty 50 MNF MNCA Index - 439 -
Ibovespa IBV IBAA Index 30 56 152
TOPIX TPY TPYA Index 1,023 18 274
SECTORS     18,615 11,428 117,919
Futures     18,615 11,428 117,919
Comm. Srvcs. XAZ XASA Index 526 294 4,665
Cons. Discr. XAY IXYA Index 664 490 3,303
Cons. Staples XAP IXRA Index 2,022 1,072 15,075
Energy XAE IXPA Index 1,312 975 8,559
Financial XAF IXAA Index 2,966 1,707 13,447
Health Care XAV IXCA Index 1,481 959 12,509
Industrial XAI IXIA Index 672 681 3,809
Materials XAB IXDA Index 641 578 3,038
Real Estate XAR XARA Index 429 225 2,604
Technology XAK IXTA Index 1,208 831 8,027
Utilities XAU IXSA Index 2,516 1,640 14,876
Dow Jones Real Estate JR DJEA Index 4,680 1,970 28,007
Nasdaq Biotechnology BQ DBA Index 23 5 -
FTSE     91 211 4
Futures     91 211 4
FTSE China 50 FT5 FCYA Index 1 60 -
FTSE 100 (GBP) FT1 FFEA Index - 65 -
FTSE 100 (USD) FTU FFIA Index - 80 -
FTSE Emerging EI OEIA Index 91 6 4
FTSE Dev. Europe DVE DVEA Index - - -
Russell 1000     2,708 2,103 19,177
Futures     2,708 2,103 19,177
Russell 1000 RS1 RSYA Index 1,081 753 8,402
Russell 1000 Growth RSG RGYA Index 639 585 3,920
Russell 1000 Value RSV RVYA Index 988 766 6,855
Bitcoin     7,591 5,787 4,221
Futures     7,591 5,787 4,221
Standard BTC BTCA Curncy 7,591 5,787 4,221

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 3.87 million contracts per day in June 2019, a 20% increase versus June 2018.
  • Equity Index open interest averaged 9.28 million contracts per day for the month of June, a 2% increase versus June 2018.  

Product Highlights

  • BTIC on Major Indices: BTIC on E-mini S&P 500 averaged 26,339 contracts per day in June ($3.76B notional). Liquidity continues to be on-screen: 90% of BTIC on E-mini S&P 500 volume traded on Globex in June, on pace with 2018 figures and considerably higher than 78% in 2017. For the month of June, BTIC represented 28% of the MOC activity between CME, NYSE and Nasdaq.
  • Russell 2000: Futures monthly ADV was 183,196 contracts (-1% YOY) with an average open interest of 437,530 contracts. For more information on the Russell 2000, please see: cmegroup.com/Russell2000.
  • Equity Options: Equity options averaged 611K contracts per day in June. CME S&P options has represented 90% of the ETH S&P volume in 2019. CME completed its eleventh successful equity options compression run in June, alleviating pressure on firms that are most affected by capital constraints imposed by Basel III.
  • Total Return Futures: Adoption in S&P Total Return (SPTR) futures in 2019 continues to accelerate as dealers’ transition from OTC to listed. Activity is up 27% YoY with $307M notional ADV and outsized activity going into the month end. YTD ADV is 2,361 contracts with open interest averaging 223,729 contracts ($31.33B notional) in 2019.
Months to Expiry SPTR Futures Notional OI for: 6/20/2019 SPTR Futures Notional OI for: 11/30/2018
<24 Months

24-59 Months

60+ Months		 $31,128,853,500

$2,135,160,000

$2,335,331,250		 $31,898,336,341

n/a 

n/a 
  $35,599,344,750 $31,898,336,341

  • Micro E-mini Futures: On May 6th, CME Group launched Micro E-mini futures on our major indices. These are 1/10th the size of their E-mini counterparts for S&P 500, Nasdaq-100, Russell 2000 and Dow Jones. In the two months since launch, nearly 20M contracts were traded with strong participation from several client types. We saw trading spread across the different indices with 9.3M in MES, 6.02M in MNQ, 1.74M in MYM, and 919K in M2K.

    •  

    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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