March Equity Index Product Review

*Through March 31, 2020

• 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

• 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