June Equity Index Product Review

Equity products performance

  Product code Bloomberg ticker June ADV YTD ADV* Open interest
Total     6,342,588 6,004,192 7,533,705
S&P 500     4,217,116 3,974,859 6,240,485
Futures     3,528,233 3,170,922 3,123,790
E-mini ES ESA Index 2,366,483 2,255,084 2,648,090
Micro E-mini MES HWA Index 1,107,677 851,928 77,951
Standard SP SPA Index 2,884 4,332 8,943
BTIC EST STEA Index 39,394 51,871 -
BTIC+ ES1, ES2 ES1BTIC yyyymmdd Index - 9 -
Dividend futures SDA, SDI ASDA, ISDA Index 5,054 3,725 162,822
Total Return futures TRI, CTR SRTA, CTIA Index 6,679 3,841 225,984
TACO ESQ TQA Index 62 130 -
TACO+ EQ1 EQ1TACO yyyymmdd Index   - -
E-mini ESG ESG SLBA Index 705 561 5,295
Options     688,884 803,938 3,116,695
E-mini     674,117 781,776 2,982,597
End-of-Month EW SCA Index 68,976 107,115 438,086
Quarterlies ES ESA Index 200,718 232,834 1,369,552
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 404,423 441,827 1,174,959
Standard     14,766 22,162 134,098
End-of-Month EV EVA Index 1,380 3,691 20,480
Flex XP, YP   - 153 8,000
Quarterlies SP SPA Index 3,390 3,133 46,171
Weekly (M, W, F) EV1 - EV4 1DA-4DA 9,996 15,185 59,447
NASDAQ     1,165,794 1,197,237 307,152
Futures     1,152,657 1,181,476 228,341
E-mini NQ NQA Index 535,349 599,196 194,081
Micro E-mini MNQ HWB Index 614,361 579,305 34,260
BTIC NQT QNTA Index 2,948 2,975 -
Options     13,137 15,760 78,811
E-mini     13,137 15,760 78,811
DOW JONES     437,408 416,270 89,185
Futures     437,220 416,099 87,383
E-mini YM DMA Index 273,238 275,348 74,776
Micro E-mini MYM HWI Index 163,352 139,983 34,260
BTIC YMT YMTA Index 630 768 -
Options     188 172 1,802
E-mini     188 172 1,802
Russell 2000     413,683 323,692 575,511
Futures     410,665 320,716 551,191
E-mini RTY RTYA Index 268,659 221,049 537,172
Micro E-mini M2K HWR Index 138,357 96,408 14,019
BTIC RLT RLBA Index 3,649 3,259 -
Options     3,018 2,976 25,948
E-mini     3,018 2,976 25,948
S&P 400 - MIDCAP     24,989 19,909 63,501
Futures     24,989 19,909 63,501
E-mini ME FAA Index 24,989 19,909 63,501
INTERNATIONAL     55,917 52,754 46,631
Futures     55,917 52,754 46,631
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 55,601 52,029 46,206
Nifty 50 MNF MNCA Index - - -
Ibovespa IBV IBAA Index 17 40 80
TOPIX TPY TPYA Index 299 685 345
SECTORS     19,233 10,428 184,916
Futures     19,233 10,428 184,916
Comm. Srvcs. XAZ XASA Index 500 162 9,318
Cons. Discr. XAY IXYA Index 470 436 6,027
Cons. Staples XAP IXRA Index 1,680 1,114 13,535
Energy XAE IXPA Index 1,675 1,084 16,696
Financial XAF IXAA Index 1,701 1,276 28,634
Health Care XAV IXCA Index 1,128 861 13,277
Industrial XAI IXIA Index 1,718 526 9,124
Materials XAB IXDA Index 771 477 8,266
Real Estate XAR XARA Index 310 824 8,258
Technology XAK IXTA Index 996 640 11,684
Utilities XAU IXSA Index 1,868 1,249 17,738
DJ Real Estate JR DJEA Index 6,372 1,741 42,041
Nasdaq Biotech. BQ DBA Index 45 38 318
Russell 1000     2,088 822 15,351
Futures     2,088 822 15,351
Russell 1000 RS1 RSYA Index 962 115 7,924
Russell 1000 Growth RSG RGYA Index 352 302 2,921
Russell 1000 Value RSV RVYA Index 775 405 4,506
Bitcoin     6,360 8,220 10,973
Futures & options     6,360 8,220 10,973
Futures BTC BTCA Curncy 5,974 8,090 7,675
Options BTC BTCA Curncy 387 130 3,298

*Through June 30, 2020

ADV and open interest:

  • Equity index futures and options volume averaged 6.34 million contracts per day in June 2020.
  • Equity Index open interest averaged 9.13 million contracts per day for the month of June 2020.

Product highlights:

BTIC on major indices: Over 32.5M contracts traded ($4.4T notional) since the Nov. 2015 launch. BTIC on the major indices has achieved 61K ADV in Q2-2020.  

  • 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” (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 the BTIC page and TACO page for more information.

  • Russell 2000: Futures monthly ADV was 272K contracts with an average open interest of 572K contracts for an increase of 50% YoY and 30% YoY for ADV and OI, respectively. View more information on the Russell 2000 contracts.  
  • 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 72K contracts ($9.5B notional) have traded since their launch in November, representing a 27% increase MoM for both contracts and notional volume traded. 
  • Total Return futures: Adoption in S&P 500 Total Return futures in 2020 continues to accelerate as dealers’ transition from OTC to listed. YTD ADV is ~3.7K increasing QoQ nearly 10%. OI is averaging 238K contracts ($36.7B notional) in 2020.
  • TACO on Nasdaq-100 and Russell 2000 futures: We introduced TACO on NQ and RTY futures in Q1v2020 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 and continued to trade in June with a total volume of 125 and 50 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 US dividend market. Helped by the increase in dividend uncertainty, 2020 volumes have grown significantly with YTD ADV of 3.6K and an OI of 130K ($1.78B notional) and large open interest holder (LOIH) record of 82 in in June 2020.
  • Micro E-mini futures: Passing the one-year anniversary of their launch (May 2019), Micro E-mini futures continue to be the most successful product launch in CME Group history:
    • Over 296M contracts have traded since launch. ADV in June 2020 exceeded 2M across the four indices.

 

Find more information on the Micro E-mini futures

Bitcoin futures and options: Bitcoin options ADV grew to 380 contracts in June, a 30% increase from May. Record week for Bitcoin options during the week of June 22, with an average OI of ~9,400 contracts. Institutional interest continues to build, evidenced by a steady increase of Bitcoin futures OI and LOIH, averaging ~8.8K contracts and 67 holders in June, respectively. Bitcoin futures ADV and OI continues to increase over the first half of the year at 7.9K and 6.4K, an increase of 53% and 58% over second half 2019, respectively. 

  • S&P options & E-mini S&P 500 options: E-mini and standard S&P 500 0ptions reached an ADV of 674K and 15K in June, respectively. Since the floor closure on March 13, 4,650 block trades have been printed with 1.16M contracts transacted on the $250 multiplier S&P 500 options.

 

View more information on S&P 500 Options

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