January Equity Index Product Review

• 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.  

• 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