May Equity Index Product Review

Equity products performance

  Product Code Bloomberg Ticker April ADV YTD ADV* Open Interest
Total     5,218,036 

5,934,740

9,055,813 
S&P 500     2,756,654   3,923,115 

7,761,418

Futures     2,756,654 3,094,603  3,816,133 
E-mini ES ESA Index 1,732,153 

2,231,290

3,240,212 
Micro E-mini MES HWA Index 984,235  797,302  116,258 
Standard SP SPA Index 2,533  4,642  95,811 
BTIC EST STEA Index 33,294  54,536  -  
BTIC+ ES1, ES2 ES1BTIC yyyymmdd Index -   11 -  
Dividend Future SDA, SDI ASDA, ISDA Index 1,962 

3,442

147,654 
Total Return Futures TRI, CTR SRTA, CTIA Index 2,251  3,235  216,198 
TACO ESQ TQA Index 226  145 -  
TACO+ EQ1 EQ1TACO yyyymmdd Index   -   -  
E-mini ESG ESG SLBA Index 166 530 5,295
Options     600,874 

828,513

3,945,285 
E-mini     588,639 

804,771

3,774,045 
End-Of-Month EW SCA Index 83,486  115,261  475,281 
Quarterlies ES ESA Index 143,618  239,693  2,014,383 
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 361,535  449,816  1,284,381 
Standard     12,235  23,742  171,240 
End-Of-Month EV EVA Index 2,056  4,185  30,299 
Flex XP, YP   - 186 8,400
Quarterlies SP SPA Index 820 3,078  62,704 
Weekly (M, W, F) EV1 - EV4 1DA-4DA 9,358 

16,294

69,837 
NASDAQ    

1,126,281

  1,203,952  320,287 
Futures     1,113,916  1,187,632  220,782 
E-mini NQ NQA Index 455,403  612,834  183,166 
Micro E-mini MNQ HWB Index 656,136  571,818  37,616 
BTIC NQT QNTA Index 2,377  2,981  -  
Options     12,365  16,321 99,505
E-mini     12,365 16,321 99,505
DOW JONES     346,572  411,756  92,098     
Futures     346,426  411,587  89,945 
E-mini YM DMA Index 217,490  275,798  65,504 
Micro E-mini MYM HWI Index 128,570  134,992  37,616
BTIC YMT YMTA Index 366 797  -  
Options     146  168  2,153
E-mini     146 168 2,153
Russell 2000     319,123       304,471 554,630
Futures     315,877 301,504  533,749 
E-mini RTY RTYA Index 200,399  210,880  524,134 
Micro E-mini M2K HWR Index 112,512  87,448  9,615        
BTIC RLT RLBA Index 2,966  3,176           -  
Options     3,246  2,967  25,948 
E-mini     3,246  2,967  25,948 
S&P 400 - MIDCAP     11,213  18,824  70,886
Futures     11,213  18,824 70,886
E-mini ME FAA Index 11,213  18,824  70,886
INTERNATIONAL     40,024  52,754   48,535 
Futures     40,024  52,754 48,535 
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 39,750  52,029  48,033 
Nifty 50 MNF MNCA Index -   -   -  
Ibovespa IBV IBAA Index 19 40 157
TOPIX TPY TPYA Index 254 685 345
SECTORS     8,107  10,428 184,916
Futures     8,107  10,428 184,916
Comm. Srvcs. XAZ XASA Index 72 162 9,318
Cons. Discr. XAY IXYA Index 151 436 6,027
Cons. Staples XAP IXRA Index 739 1,114 13,535
Energy XAE IXPA Index 794 1,084 16,696
Financial XAF IXAA Index 574 1,276 28,634
Health Care XAV IXCA Index 437 861 13,277
Industrial XAI IXIA Index 441 526 9,124
Materials XAB IXDA Index 249 477 8,266
Real Estate XAR XARA Index 194 824 8,258
Technology XAK IXTA Index 328 640 11,684
Utilities XAU IXSA Index 693 1,249 17,738
Dow Jones Real Estate JR DJEA Index 3,429 1,741 42,041
Nasdaq Biotechnology BQ DBA Index 8 38 318
Russell 1000     321 822 16,160
Futures     321 822 16,160
Russell 1000 RS1 RSYA Index 95 115 7,789
Russell 1000 Growth RSG RGYA Index 56 302 3,994
Russell 1000 Value RSV RVYA Index 170 405 4,377
Bitcoin     8,868 8,618  6,883
Futures & Options     8,868 8,618  6,883
Futures BTC BTCA Curncy 8,568 ]8,542 6,681
Options BTC BTCA Curncy                  299 75 202

ADV and open interest:

  • Equity index futures and options volume averaged 5.22 million contracts per day in May 2020.
  • Equity index open interest averaged 9.07 million contracts per day for the month of May 2020.

Product highlights:

BTIC on major indices: Close to 31.5M contracts traded ($4.3T notional) since the Nov. 2015 launch. BTIC on the major indices has achieved 61K ADV in 2020.  

  • 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” (4 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 203K contracts with an average open interest of 544K 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 contract 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 57K contracts ($7.5B notional) have traded since their launch in November.
  • 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 ~3.2K (2.2K for May) with OI averaging 239K contracts ($36.7B 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. TACO on Nasdaq-100 and Russell 2000 traded for the first time in May with a total volume of 52 and 75 trades, respectively. 
  • S&P 500 Annual Dividend futures: Listed in 2016, dividend 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 YTD ADV of 3.4K, an OI of 125K ($1.68B notional), and LOIH record of 68 in in May 2020.
  • Micro E-mini futures: Passing 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 257M contracts traded since launch. ADV in May 2020 exceeded 1.88M across the four indices.
    • Global participation: 27% of the trades have come from outside the U.S.

 

For more information on the Micro E-mini futures, please visit:
https://www.cmegroup.com/cme-group-futures-exchange/micro-futures.html

  • Micro E-mini options: CME recently announced the launch of Micro E-mini options on the S&P 500 and Nasdaq-100 indices, coming in the fall of 2020.  Please visit the following links for further details:

Press release: https://www.cmegroup.com/media-room/press-releases/2020/5/27/cme_group_to_launchoptionsonmicroe-minisp500andmicroe-mininasdaq.html

Micro Option landing page: https://www.cmegroup.com/microeminioptions

Micro E-mini Options FAQ: Click Here

Bitcoin futures and options: Bitcoin futures ADV grew to 8,568 contracts in May, a 45% increase from April. It was a record week for Bitcoin options during the week of May 25 with ~1,700 contracts traded, including a record 1,418 contracts traded Thursday, May 28. Institutional interest continues to build, as evidenced by record bitcoin futures OI and LOIH May 19 with 10,8787 contracts and 75 holders, respectively. Meanwhile, bitcoin options OI grew to a record 5,435 contracts May 29.

  • S&P options & E-mini S&P 500 options: E-mini and Standard S&P 500 options reached an ADV of 588K and 12K in May, respectively. Since the floor closure March 13, 3,300 block trades have been printed with 824,000 contracts transacted on the $250 multiplier S&P 500 options.

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