August Equity Index Product Review

• Equity Index futures and options volume averaged 4.13 million contracts per day in August 2020.
• Equity Index open interest averaged 8.3 million contracts per day for the month of August 2020.

BTIC on major indices: Over 33.8M contracts traded ($4.65T notional) since the Nov. 2015 launch. BTIC on the major indices has achieved 42.8K 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” (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 the BTIC page and the TACO page for more information.
• Russell 2000: Futures monthly ADV for August was 138K contracts with an average open interest of 506K contracts. View more information on 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 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. Nearly 80K contracts ($10.57B notional) have traded since their launch in November. Liquidity at the top of the order book remained tight throughout August at just two bps wide in US hours. More recently, SPDJI concluded that companies with over 5% of revenue derived from thermal coal will be excluded from the index. Those changes will be implemented September 21, 2020.

• 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 ~2.8K and OI averaging 236K contracts ($37.2B notional) in 2020.

• Adjusted Interest Rate (AIR) Total Return futures: CME 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:
  • AIR Total Return futures landing page
  • AIR Total Return futures FAQ
  • Special Executive Report
    

• S&P 500 Annual Dividend futures: Listed in 2015, 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 3.2K and an OI of 139K ($1.9B notional).

• Micro E-mini futures: Micro E-mini futures continue to be the most successful product launch in CME Group history. Nearly 397M contracts have traded since launch. ADV in Aug 2020 remained near 2M across the four indices.

Please visit the Micro E-mini futures page for more information

• Micro E-mini options: CME launched Micro E-mini options on the S&P 500 and Nasdaq-100 indices August 31, 2020. Nearly 25K options traded in the first week.

• Bitcoin futures and options: Bitcoin futures ADV grew to 9,961 contracts in August, a 35% increase from July. A record 94 Large Open Interest Holders (LOIH) was reached the week of August 18, with an average of 90 LOIHs throughout August ‒ representing an increase of 27%. Bitcoin options ADV was 165 contracts in August, a 37% growth from July. Options on Bitcoin futures total volume has reached nearly 22.4K contracts since the January 13 launch.

• Nasdaq-100 Volatility Index (VolQ) futures: CME announced the launch of the Nasdaq-100 Volatility Index (VolQ) futures, coming October 5, 2020, pending regulatory review.  Please visit the following for further detail:
  • VolQ futures landing page
  • VolQ futures FAQ