March Equity Index Product Review

Equity Products Performance

  Product Code Bloomberg Ticker March ADV YTD ADV* Open Interest
Total     8,842,040 6,447,540 9,838,121
S&P 500     5,925,640 4,294,619 8,497,569
Futures     4,747,301 3,312,594 3,928,088
E-mini ES ESA Index 3,485,079 2,546,868 3,439,568
Micro E-mini MES HWA Index 1,141,164 687,289 81,361
Standard SP SPA Index 10,718 5,618 66,169
BTIC EST STEA Index 100,052 64,971 -
BTIC+ ES1, ES2 ES1BTIC yyyymmdd Index 44 19 -
Dividend Future SDA, SDI ASDA, ISDA Index 5,094 3,904 146,492
Total Return Futures TRI, CTR SRTA, CTIA Index 5,148 3,830 194,498
TACO ESQ TQA Index - 95 -
TACO+ EQ1 EQ1TACO yyyymmdd Index   - -
E-mini ESG ESG SLBA Index 268 591 5,295
Options     1,178,339 982,025 4,569,481
E-mini     1,156,301 952,239 4,418,869
End-Of-Month EW SCA Index 103,102 141,120 636,874
Quarterlies ES ESA Index 484,393 309,645 1,828,943
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 568,806 501,474 1,953,052
Standard     22,038 29,786 150,612
End-Of-Month EV EVA Index 1,762 5,409 16,353
Flex XP, YP   68 279 8,400
Quarterlies SP SPA Index 7,126 4,284 55,163
Weekly (M, W, F) EV1 - EV4 1DA-4DA 13,082 19,814 70,696
NASDAQ     1,657,573 1,292,650 362,068
Futures     1,642,293 1,272,702 238,937
E-mini NQ NQA Index 789,496 722,809 186,519
Micro E-mini MNQ HWB Index 849,208 546,487 52,418
BTIC NQT QNTA Index 3,589 3,406 -
Options     15,280 19,948 123,131
E-mini     15,280 19,948 123,131
DOW JONES     605,553 453,291 77,161
Futures     605,290 453,092 75,188
E-mini YM DMA Index 382,101 318,147 56,387
Micro E-mini MYM HWI Index 222,011 134,019 52,418
BTIC YMT YMTA Index 1,178 926 -
Options     262 199 1,973
E-mini     262 199 1,973
Russell 2000     452,332 309,669 571,590
Futures     449,206 306,339 544,623
E-mini RTY RTYA Index 322,445 225,272 537,461
Micro E-mini M2K HWR Index 123,781 78,449 7,162
BTIC RLT RLBA Index 2,980 2,618 -
Options     3,126 3,330 25,948
E-mini     3,126 3,330 25,948
S&P 400 - MIDCAP     35,297 23,857 80,977
Futures     35,297 23,857 80,977
E-mini ME FAA Index 35,297 23,857 80,977
INTERNATIONAL     127,543 52,754 43,701
Futures     127,543 52,754 43,701
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 127,054 52,029 43,235
Nifty 50 MNF MNCA Index - - -
Ibovespa IBV IBAA Index 21 40 121
TOPIX TPY TPYA Index 469 685 345
SECTORS     27,961 16,324 160,551
Futures     27,961 16,324 160,551
Comm. Srvcs. XAZ XASA Index 631 328 7,779
Cons. Discr. XAY IXYA Index 1,074 663 4,820-
Cons. Staples XAP IXRA Index 1,935 1,405 12,404
Energy XAE IXPA Index 2,735 1,670 15,135
Financial XAF IXAA Index 3,228 1,969 26,284
Health Care XAV IXCA Index 1,815 1,200 14,398
Industrial XAI IXIA Index 1,355 820 8,411
Materials XAB IXDA Index 658 541 6,763
Real Estate XAR XARA Index 1,199 957 7,094
Technology XAK IXTA Index 1,870 1,077 10,572
Utilities XAU IXSA Index 2,671 1,753 13,790
Dow Jones Real Estate JR DJEA Index 8,736 4,223 40,669
Nasdaq Biotechnology BQ DBA Index 53 47 210
Russell 1000     2,599 822 16,068
Futures     2,599 822 16,068
Russell 1000 RS1 RSYA Index 1,241 115 8,297
Russell 1000 Growth RSG RGYA Index 586 302 3,865
Russell 1000 Value RSV RVYA Index 772 405 3,906
Bitcoin     7,543 9,449 4,071
Futures & Options     7,543 9,449 4,071
Futures BTC BTCA Curncy 7,526 9,427 3,947
Options BTC BTCA Curncy 17 22 124

*Through March 31, 2020

ADV and Open Interest

  • Equity index futures and options volume averaged 8.85 million contracts per day in March 2020
  • Equity Index open interest averaged 11.3 million contracts per day for the month of March 2020

Product Highlights

  • BTIC on Major Indices: Close to 30M contracts traded ($4T notional) since the Nov. 2015 launch. BTIC on the major indices has achieved a record 72K ADV in 2020 (+74% vs. 2019). Quarter end rebalancing via the BTIC mechanism proved to be very popular in Q1-2020, with over $13B being transacted at March month end.
  • 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: Futures monthly ADV was 325K contracts with an average open interest of 541K contracts. For more information on the Russell 2000, please see: cmegroup.com/Russell2000.
  • E-mini S&P 500 ESG futures: Launched on November 18, 2019. 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. Over 40K contracts ($5.4B notional) have traded since their launch in November. Prior to the March expiration, open interest climbed to as high as 9K ($951M).
  • Total Return futures: Adoption in S&P 500 Total Return futures in 2020 continues to accelerate as dealers’ transition from OTC to listed. Q1 ADV is ~3.8K (5,100 for March) with OI averaging 253K contracts ($40.1B notional) in 2020.
  • TACO on Nasdaq-100 and Russell 2000 futures: CME introduced TACO on NQ and RTY futures in Q1-2020 to help customers better manage RUT and NDX options expiries with the TACO mechanism.
  • S&P 500 Annual Dividend Futures: Listed in 2016, Div. futures provide market participants with efficient tools to hedge a view on the U.S. dividend market. Helped by the increase in dividend uncertainty 2020 volumes have grown significantly with 3,907 ADV and an OI record of 153K ($1.8B notional) and LOIH record of 55 in in Apr-2020.
  • Micro E-mini Futures: Nearing the one-year anniversary of their launch (May-19), Micro E-mini futures continue to be the most successful product launch in CME Group history 
    • Over 182M contracts traded since launch. ADV in Mar 2020 exceeded 2M across the four indices 

    • Global Participation: 27% of the trades have come from non-U.S. / Around the clock liquidity: 22% of volume during non-US hours since launch

 

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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