July Equity Index Product Review

*Through July 31, 2020

• Equity Index futures and options volume averaged 5.19M contracts per day in July 2020.
• Equity Index open interest averaged 9M contracts per day for the month of July 2020.

BTIC on major indices: Over 33.3M contracts traded ($4.5T notional) since the November 2015 launch. BTIC on the major indices has achieved 47.8K ADV YTD.  

• 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 the TACO page for more information.

• Russell 2000: Futures monthly ADV for July was 180K contracts with an average open interest of 512K contracts for an increase of 61% YoY and 20% 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 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 76K contracts ($10.1B notional) have traded since their launch in November. Liquidity at the top of the order book remained tight throughout July at just two bps wide.

• 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 ~3.2K and OI averaging 236K contracts ($36.8B notional) in 2020.

• Adjusted Interest Rate (AIR) Total Return futures: CME Group announced the launch of the Adjusted Interest Rate (AIR) Total Return futures coming September 21, 2020, pending regulatory review. Please visit the following for further detail:
  • Special Executive Report
  • FAQ

• 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 3.3K and an OI of 134K ($1.82B notional).

• Micro E-mini futures: Micro E-mini futures continue to be the most successful product launch in CME Group history. Nearly 340M contracts have traded since launch. ADV in July 2020 remained at 2M across the four indices. 

Find more information on Micro E-mini futures

• Micro E-mini options: CME Group announced the launch of Micro E-mini options on the S&P 500 and Nasdaq-100 indices ‒ coming fall 2020.  Please visit the following for further detail:
  • Press release
  • Micro E-mini options landing page
  • Micro E-mini options FAQ

Bitcoin futures and options: Bitcoin futures ADV grew to 7,381 contracts in July, a 24% increase from June. The week of July 27 was a record week for bitcoin futures, with average open interest reaching 13,376 contracts. July 31 saw a record OI of 14,361. Bitcoin options ADV was 120 contracts in July, and average daily OI was 3,784 contracts. Options on Bitcoin futures total volume is now over 19.3K contracts since the January 13 launch.

• S&P options & E-mini S&P 500 options: E-mini and standard S&P 500 options reached an ADV of 554K and 12.6K in July, respectively. Since the floor closure on March 13, 5.6K block trades have been printed with 1.4M contracts transacted on the $250 multiplier S&P 500 options.

Find more information on S&P 500 Options