January Equity Index Product Review

Equity Products Performance

  Product Code Bloomberg Ticker January ADV YTD ADV* Open Interest
Total     4,258,922 4,258,922 8,345,636
S&P 500     2,804,312 2,804,312 6,925,183
Futures     2,087,161 2,087,161 3,117,029
E-mini ES ESA Index 1,721,165 1,721,165 2,694,535
Micro E-mini MES HWA Index 317,420 317,420 47,344
Standard SP SPA Index 1,962 1,962 35,067
BTIC EST STEA Index 41,752 41,752 -
BTIC+ ES1, ES2 ES1BTIC yyyymmdd Index -   - -
Dividend Future SDA, SDI ASDA, ISDA Index 1,755 1,755 92,182
Total Return Futures TRI, CTR SRTA, CTIA Index 2,873 2,873 247,901
TACO ESQ TQA Index 234 234 -
TACO+ EQ1 EQ1TACO yyyymmdd Index     - -
E-mini ESG ESG SLBA Index 205 205 3,627
Options     717,152 717,152 3,808,154
E-mini     685,235 685,235 3,624,806
End-Of-Month EW SCA Index 132,515 132,515 618,346
Quarterlies ES ESA Index 115,650 115,650 1,636,368
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 437,070 437,070 1,370,092
Standard     31,917 31,917 183,348
End-Of-Month EV EVA Index 5,838 5,838 11,819
Flex XP, YP   343 343 10,924
Quarterlies SP SPA Index 1,637 1,637 50,516
Weekly (M, W, F) EV1 - EV4 1DA-4DA 24,099 24,099 110,089
NASDAQ     871,084 871,084 338,139
Futures     853,154 853,154 244,011
E-mini NQ NQA Index 573,584 573,584 206,705
Micro E-mini MNQ HWB Index 276,825 276,825 37,306
BTIC NQT QNTA Index 2,745 2,745 -
Options     17,930 17,930 94,128
E-mini     17,930 17,930 94,128
DOW JONES     294,836 294,836 109,489
Futures     294,716 294,716 107,652
E-mini YM DMA Index 238,209 238,209 101,436
Micro E-mini MYM HWI Index 55,879 55,879 37,306
BTIC YMT YMTA Index 628 628 -
Options     120 120 1,837
E-mini     120 120 1,837
Russell 2000     198,867 198,867 530,939
Futures     196,053 196,053 507,899
E-mini RTY RTYA Index 154,811 154,811 498,795
Micro E-mini M2K HWR Index 39,221 39,221 9,104
BTIC RLT RLBA Index 2,021 2,021 -
Options     2,814 2,814 25,948
E-mini     2,814 2,814 25,948
S&P 400 - MIDCAP     15,809 15,809 77,709
Futures     15,809 15,809 77,709
E-mini ME FAA Index 15,809 15,809 77,709
INTERNATIONAL     52,754 52,754 71,761
Futures     52,754 52,754 71,761
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 52,029 52,029 71,321
Nifty 50 MNF MNCA Index -   - -
Ibovespa IBV IBAA Index 40 40 95
TOPIX TPY TPYA Index 685 685 345
SECTORS     9,542 9,542 265,382
Futures     9,542 9,542 265,382
Comm. Srvcs. XAZ XASA Index 199 199 9,082
Cons. Discr. XAY IXYA Index 391 391 5,229
Cons. Staples XAP IXRA Index 1,010 1,010 13,684
Energy XAE IXPA Index 871 871 15,147
Financial XAF IXAA Index 1,113 1,113 59,287
Health Care XAV IXCA Index 1,073 1,073 36,493
Industrial XAI IXIA Index 478 478 18,531
Materials XAB IXDA Index 460 460 14,266
Real Estate XAR XARA Index 720 720 7,663
Technology XAK IXTA Index 476 476 20,622
Utilities XAU IXSA Index 867 867 25,759
Dow Jones Real Estate JR DJEA Index 1,847 1,847 39,535
Nasdaq Biotechnology BQ DBA Index 38 38 84
FTSE     116 116 150
Futures     116 116 150
FTSE China 50 FT5 FCYA Index -   - -
FTSE 100 (GBP) FT1 FFEA Index -   - -
FTSE 100 (USD) FTU FFIA Index -   - -
FTSE Emerging EI OEIA Index 116 116 150
FTSE Dev. Europe DVE DVEA Index -   - -
Russell 1000     822 822 22,077
Futures     822 822 22,077
Russell 1000 RS1 RSYA Index 115 115 7,483
Russell 1000 Growth RSG RGYA Index 302 302 7,220
Russell 1000 Value RSV RVYA Index 405 405 7,374
Bitcoin     10,780 10,780 4,807
Futures & Options     10,780 10,780 4,807
Futures BTC BTCA Curncy 10,761 10,761 4,609
Options BTC BTCA Curncy 19 19 198
 *Through January 31, 2020          

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 4.1 million contracts per day in January 2020, a 31% increase versus January 2019.
  • Equity Index open interest averaged 8.2 million contracts per day for the month of January, a 4% decrease versus January 2019.  

Product Highlights

  • BTIC on Major Indices: BTIC on E-mini S&P 500 averaged 41,752 contracts per day in January 2020 ($6.84B notional). Liquidity continues to be on-screen: 94% of BTIC on E-mini S&P 500 volume traded on Globex in January. For the month of January, BTIC represented 36% of the MOC activity between CME, NYSE and Nasdaq.

CME Group launched BTIC+ and TACO+ on E-mini S&P 500 futures on October 7, 2019.

BTIC+ and TACO+ are innovative new products listed for trading at CME that introduce T-plus (T+) trading to the futures market.  BTIC+ and TACO+ are futures contracts that allow market participants to execute a basis trade on E-mini S&P 500 futures relative to the official closing, or opening, S&P 500 cash index level for a given trading session, days in advance. 

Please visit https://www.cmegroup.com/trading/equity-index/btic-transactions.html and https://www.cmegroup.com/trading/equity-index/trade-at-cash-open.html for more information.

  • Russell 2000: Futures monthly ADV was 156,832 contracts (+15% YOY) with an average open interest of 497,478 contracts (+5% YoY). For more information on the Russell 2000, please see: cmegroup.com/Russell2000.
  • Bitcoin Futures and Options: CME Group successfully launched Options on Bitcoin Futures on January 13, 2020. This is in direct response to customer demand following the successful Bitcoin Futures product launch. The options have strong liquidity provider support and two-sided quotes as tight as two ticks wide. Since launch, 466 options contracts (2.3K equivalent bitcoin) have traded -- nearly 40% as blocks, showing signs of institutional interest.

Market users have rapidly adopted Bitcoin futures since their December 2017 launch.  Key highlights of how this market has grown include:

  • Average daily volume of 10K+ contracts in Jan-20, equivalent to about 53,805 bitcoin
  • 25 successful futures expiration settlements since launch
  • 3,800+ individual accounts trading
  • 47 percent of trading volume is from outside the U.S.

 

  • E-mini S&P 500 ESG Futures: Environmental, Social, and Governance (ESG) is an investment theme that has gained in both attention and implementation over the last several years and the need for capitally efficient ESG solutions has grown. The new S&P 500 ESG futures contracts allows market participants to gain price exposure to an index that closely tracks the performance of the S&P 500, while adhering to ESG principles.

Launched on November 18, 2019, E-mini S&P 500 ESG futures have been an additive addition to the CME Group. Over 7K contracts ($1B+ notional) have traded since launch. A market maker program was introduced at launch and it has helped to generate a very liquid market. Consistently during U.S. trading hours, the outright market is 2 ticks wide (screenshot below)

  • Total Return Futures: Adoption in S&P Total Return (SPTR) futures in 2020 continues to accelerate as dealers’ transition from OTC to listed. Activity is up 71% vs. 2019 with $481M notional ADV and outsized activity going into the month end. ADV is 3,548 contracts with open interest averaging 237,710 contracts ($39.58B notional) in 2020.

CME expanded our Total Return futures offering to longer maturities and to include Nasdaq-100, Dow Jones, Russell 2000, and Russell 1000 in Q4-2018.

  • 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 first 5months since their launch, there has been strong customer adoption, making Micro E-mini futures the most successful product launch in CME Group history.

  • Micro E-mini futures trade 105M+ since launch
  • Average daily volume of over 542K
  • Single-day record volume of 1.46M on August 7, 2019
  • Individual contracts: 51.19M+ in S&P 500 (MES), 38.92M+ in Nasdaq-100 (MNQ), 9.24M+ in Dow (MYM), and 6M+ in Russell 2000 (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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