February Equity Index Product Review

• 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.

• 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.

• BTIC+ and TACO+: CME Group launched BTIC+ and TACO+ on E-mini S&P 500 futures on October 7, 2019. BTIC+ and TACO+ 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: • Russell 2000: Futures monthly ADV was 193,000 contracts with an average open interest of 487,000 contracts. View more information on the Russell 2000 here. cmegroup.com/Russell2000.

• 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