February Equity Index Product Review

Equity Products Performance

  Product code Bloomberg ticker February ADV YTD ADV* Open interest
Total     6,242,979 5,182,435 9,852,712
S&P 500     4,053,251 3,397,558 8,404,567
Futures     3,005,783 2,523,506 3,774,495
E-mini ES ESA Index 2,373,138 2,030,852 3,114,090
Micro E-mini MES HWA Index 570,552 437,658 187,941
Standard SP SPA Index 3,752 2,812 62,032
BTIC EST STEA Index 50,013 45,676 -
BTIC+ ES1, ES2 ES1BTIC yyyymmdd Index 11 5 -
Dividend Future SDA, SDI ASDA, ISDA Index 4,901 3,249 137,680
Total Return Futures TRI, CTR SRTA, CTIA Index 3,363 3,106 272,752
TACO ESQ TQA Index 52 148 -
TACO+ EQ1 EQ1TACO yyyymmdd Index   - -
E-mini ESG ESG SLBA Index 827 500 5,295
Options     1,047,469 874,052 4,630,072
E-mini     1,011,065 840,005 4,493,141
End-Of-Month EW SCA Index 194,651 162,030 565,187
Quarterlies ES ESA Index 321,720 213,533 2,475,736
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 494,694 464,442 1,452,218
Standard     36,403 34,048 136,931
End-Of-Month EV EVA Index 9,159 7,415 7,060
Flex XP, YP   453 395 18,836
Quarterlies SP SPA Index 3,918 2,720 71,599
Weekly (M, W, F) EV1 - EV4 1DA-4DA 22,873 23,517 39,436
NASDAQ     1,336,049 1,091,942 441,950
Futures     1,308,465 1,069,427 279,758
E-mini NQ NQA Index 810,525 686,131 223,496
Micro E-mini MNQ HWB Index 494,016 379,991 56,262
BTIC NQT QNTA Index 3,924 3,305 -
Options     27,584 22,516 162,192
E-mini     27,584 22,516 162,192
DOW JONES     452,124 369,548 112,035
Futures     451,911 369,384 108,785
E-mini YM DMA Index 332,449 282,973 93,054
Micro E-mini MYM HWI Index 118,500 85,624 56,262
BTIC YMT YMTA Index 963 787 -
Options     213 164 3,250
E-mini     213 164 3,250
Russell 2000     266,946 231,204 533,812
Futures     262,810 227,763 499,822
E-mini RTY RTYA Index 190,635 171,827 484,554
Micro E-mini M2K HWR Index 69,317 53,517 15,268
BTIC RLT RLBA Index 2,858 2,419 -
Options     4,135 3,442 25,948
E-mini     4,135 3,442 25,948
S&P 400 - MIDCAP     19,507 17,565 74,324
Futures     19,507 17,565 74,324
E-mini ME FAA Index 19,507 17,565 74,324
INTERNATIONAL     92,419 52,754 73,849
Futures     92,419 52,754 73,849
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 92,136 52,029 73,370
Nifty 50 MNF MNCA Index - - -
Ibovespa IBV IBAA Index 43 40 134
TOPIX TPY TPYA Index 239 685 345
SECTORS     11,417 10,428 184,916
Futures     11,417 10,428 184,916
Comm. Srvcs. XAZ XASA Index 120 162 9,318
Cons. Discr. XAY IXYA Index 485 436 6,027
Cons. Staples XAP IXRA Index 1,229 1,114 13,535
Energy XAE IXPA Index 1,319 1,084 16,696
Financial XAF IXAA Index 1,456 1,276 28,634
Health Care XAV IXCA Index 626 861 13,277
Industrial XAI IXIA Index 578 526 9,124
Materials XAB IXDA Index 496 477 8,266
Real Estate XAR XARA Index 939 824 8,258
Technology XAK IXTA Index 822 640 11,684
Utilities XAU IXSA Index 1,671 1,249 17,738
Dow Jones Real Estate JR DJEA Index 1,624 1,741 42,041
Nasdaq Biotechnology BQ DBA Index 50 38 318
FTSE     54 116 134
Futures     54 116 134
FTSE China 50 FT5 FCYA Index - - -
FTSE 100 (GBP) FT1 FFEA Index - - -
FTSE 100 (USD) FTU FFIA Index - - -
FTSE Emerging EI OEIA Index 54 116 134
FTSE Dev. Europe DVE DVEA Index - - -
Russell 1000     1,026 822 21,993
Futures     1,026 822 21,993
Russell 1000 RS1 RSYA Index 390 115 7,844
Russell 1000 Growth RSG RGYA Index 309 302 6,600
Russell 1000 Value RSV RVYA Index 328 405 7,549
Bitcoin     10,185 10,497 5,132
Futures & Options     10,185 10,497 5,132
Futures BTC BTCA Curncy 10,153 10,472 4,798
Options BTC BTCA Curncy 32 25 334

ADV and Open Interest Trends

  • Equity index futures and options volume averaged 6.2 million contracts per day in February 2020.
  • Equity Index open interest averaged 8.9 million contracts per day for the month of February 2020.

Product Highlights

  • BTIC on major indices: BTIC on E-mini S&P 500 averaged 50,013 contracts per day in February 2020 ($8.0 billion notional). Liquidity continues to be on-screen: 94% of BTIC on E-mini S&P 500 volume traded on CME Globex in February.
  • 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 allow 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 to CME Group. Over 31,000 contracts ($4.5 billion+ notional) have traded since launch. A market maker program was introduced at launch and it has helped to generate a very liquid market. During US trading hours, the outright market consistently has been two ticks wide (see below).
  • Total Return futures: Adoption of S&P Total Return (SPTR) futures in 2020 continues to accelerate as dealers’ transition from OTC to listed products. ADV is 3,106 contracts with open interest averaging 254,300 contracts ($42.8 billion 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.
  • S&P 500 Annual Dividend futures: These contracts allows users the ability to hedge or express a view on the US dividend market, regardless of the price movement of the S&P 500 index. Since ther launch in 2015, Dividend futures have been gaining traction with open interest continuing to grow. In 2020, ADV is 3,274 contracts and average open interest is 94,457 contracts ($1.45 billion notional)
  • Micro E-mini futures: On May 6, 2019, CME Group launched Micro E-mini futures on our major indices. These are 1/10 the size of their E-mini counterparts for S&P 500, Nasdaq-100, Russell 2000, and Dow Jones.

    In the first 10 months since their launch, there has been strong customer adoption, making Micro E-mini futures the most successful product launch in CME Group history.

 

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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