June Equity Index Product Review

*Through June 30, 2020

• 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.

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

• Micro E-mini options: CME announced the launch of Micro E-mini options on the S&P 500 and Nasdaq-100 indices coming this fall (August 31).  Please visit the following for more details:
  • Press release
  • Micro E-mini options landing page
  • Micro E-mini options FAQ

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