May Equity Index Product Review

• 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.

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.

For more information on S&P 500 Options, please visit:
https://www.cmegroup.com/trading/equity-index/us-index/sp-index-futures-and-options.html