April Equity Index Product Review

Equity Products Performance

  Product Code Bloomberg Ticker April ADV YTD ADV* Open Interest
Total            5,076,304    6,103,692        9,055,813
S&P 500            3,364,947    4,059,401        7,761,418
Futures            2,772,863    3,176,036        3,816,133
E-mini ES ESA Index        1,774,953    2,351,564        3,240,212
Micro E-mini MES HWA Index           944,071       752,258           116,258
Standard SP SPA Index               3,767           5,150             95,811
BTIC EST STEA Index             43,958         59,654                    -  
BTIC+ ES1, ES2 ES1BTIC yyyymmdd Index                    -                 14                    -  
Dividend Future SDA, SDI ASDA, ISDA Index               3,486           3,798           147,654
Total Return Futures TRI, CTR SRTA, CTIA Index               2,414           3,472           216,198
TACO ESQ TQA Index                  214             125                    -  
TACO+ EQ1 EQ1TACO yyyymmdd Index                  -                      -  
E-mini ESG ESG SLBA Index                  288             514              5,295
Options               592,084       883,365        3,945,285
E-mini               575,228       856,850        3,774,045
End-Of-Month EW SCA Index             69,176       122,917           475,281
Quarterlies ES ESA Index           124,670       262,844        2,014,383
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index           381,381       471,089        1,284,381
Standard                 16,856         26,515           171,240
End-Of-Month EV EVA Index               2,596           4,698             30,299
Flex XP, YP                      88             231              8,400
Quarterlies SP SPA Index               1,669           3,622             62,704
Weekly (M, W, F) EV1 - EV4 1DA-4DA             12,504         17,965             69,837
NASDAQ            1,016,056    1,222,668           320,287
Futures            1,006,678    1,205,395           220,782
E-mini NQ NQA Index           438,079       650,769           183,166
Micro E-mini MNQ HWB Index           566,299       551,500             37,616
BTIC NQT QNTA Index               2,300           3,126                    -  
Options                   9,378         17,274             99,505
E-mini                   9,378         17,274             99,505
DOW JONES               351,206       427,462             92,098
Futures               351,107       427,289             89,945
E-mini YM DMA Index           206,298       289,848             65,504
Micro E-mini MYM HWI Index           143,981       136,540             37,616
BTIC YMT YMTA Index                  828             901                    -  
Options                        99             174              2,153
E-mini                        99             174              2,153
Russell 2000               275,171       300,941           554,630
Futures               273,540       298,041           533,749
E-mini RTY RTYA Index           178,370       213,406           524,134
Micro E-mini M2K HWR Index             90,145         81,408              9,615
BTIC RLT RLBA Index               5,025           3,227                    -  
Options                   1,632           2,900             25,948
E-mini                   1,632           2,900             25,948
S&P 400 - MIDCAP                 11,211         20,658             70,886
Futures                 11,211         20,658             70,886
E-mini ME FAA Index             11,211         20,658             70,886
INTERNATIONAL                 44,325         52,754             48,535
Futures                 44,325         52,754             48,535
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index             43,961         52,029             48,033
Nifty 50 MNF MNCA Index                    -                  -                      -  
Ibovespa IBV IBAA Index                    29               40                 157
TOPIX TPY TPYA Index                  335             685                 345
SECTORS                   7,022         10,428           184,916
Futures                   7,022         10,428           184,916
Comm. Srvcs. XAZ XASA Index                    69             162              9,318
Cons. Discr. XAY IXYA Index                  205             436              6,027
Cons. Staples XAP IXRA Index                  653           1,114             13,535
Energy XAE IXPA Index                  883           1,084             16,696
Financial XAF IXAA Index                  546           1,276             28,634
Health Care XAV IXCA Index                  339             861             13,277
Industrial XAI IXIA Index                  322             526              9,124
Materials XAB IXDA Index                  206             477              8,266
Real Estate XAR XARA Index                  151             824              8,258
Technology XAK IXTA Index                  204             640             11,684
Utilities XAU IXSA Index                  362           1,249             17,738
Dow Jones Real Estate JR DJEA Index               3,080           1,741             42,041
Nasdaq Biotechnology BQ DBA Index                     1               38                 318
Russell 1000                      441             822             16,160
Futures                      441             822             16,160
Russell 1000 RS1 RSYA Index                  100             115              7,789
Russell 1000 Growth RSG RGYA Index                    69             302              3,994
Russell 1000 Value RSV RVYA Index                  272             405              4,377
Bitcoin                   5,925           8,557              6,883
Futures & Options                   5,925           8,557              6,883
Futures BTC BTCA Curncy               5,907           8,536              6,681
Options BTC BTCA Curncy                    18               21                 202

ADV and open interest:

  • 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

Product highlights:

  • 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

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