April Equity Index Product Review

• Equity index futures and options volume averaged 5.08 million contracts per day in April 2020
• Equity index open interest averaged 9.08 million contracts per day for the month of April 2020

• BTIC on major indices: Close to 30.6M contracts traded ($4T notional) since the Nov. 2015 launch. BTIC on the major indices has achieved 67K ADV in 2020 (+65% vs. 2019).

• BTIC+ and TACO+: 
  • SPX option market makers are heavy users of BTIC and TACO for replacement of their delta exposures at SPX option expirations.  SPX option market makers currently use SPX “jelly rolls” (four legs of SPX options in a package transaction) to manage their option delta exposures ahead of the spot BTIC day.  Introduction of BTIC+ and TACO+ price expression is expected to be additive to existing BTIC and TACO, insofar as it will provide current BTIC/TACO users with a cleaner and simpler alternative to what they currently use.

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 275K contracts with an average open interest of 555K 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 49K contracts ($6B notional) have traded since their launch in November. As of May 5, 2020, open interest stands at 2,849 contracts ($347M notional).  

• Total Return futures: Adoption in S&P 500 Total Return futures in 2020 continues to accelerate as dealers transition from OTC to listed. YDT ADV is ~3.3K (2.4K for April) with OI averaging 241K contracts ($37.3B 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, dividend futures provide market participants with efficient tools to hedge a view on the US dividend market. Helped by the increase in dividend uncertainty 2020 volumes have grown significantly with 3.7K ADV and an OI of 120K ($1.6B notional) and LOIH record of 60 in April 2020.

• Micro E-mini Futures: Nearing the one-year anniversary of their May 2019 launch, Micro E-mini futures continue to be the most successful product launch in CME Group history

  • Over 215M contracts traded since launch. ADV in April 2020 exceeded 1.7M across the four indices

  • Global Participation: 27% of the trades have come from non-US 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