September Equity Index Product Review

• Equity Index futures and options volume averaged 6.92 million contracts per day in September 2020.
• Equity Index open interest averaged 7.5 million contracts per day for the month of September 2020.

BTIC on major indices: Over 34.8M contracts traded ($4.83T notional) since the Nov. 2015 launch. BTIC on the major indices has achieved 50.4K ADV in September.  

• 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 September was 240K contracts, a 74% increase from August, with an average open interest of 522K 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. Over 88K contracts ($11.9B notional) have traded since their launch in November 2019. Starting September 21, 2020, companies with over 5% of revenue derived from thermal coal were excluded from the index, per SPDJI conclusion.

• Total Return Futures: Adoption in S&P 500 Total Return futures in 2020 continues to accelerate as dealers’ transition from OTC to listed. September ADV is 8.1K (increase of 103% from September 2019) and OI averaging 209K contracts ($36.3B notional).

• Adjusted Interest Rate (AIR) Total Return futures: CME Group launched the Adjusted Interest Rate (AIR) Total Return futures on September 21, 2020. Liquidity is building with 6-7 basis point wide and markets through December 2027. 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 3.1K and an OI of 174K ($2.46B notional).

• Micro E-mini futures: Micro E-mini futures continue to be the most successful product launch in CME Group history. Over 447M contracts have traded since launch, ADV in Sep 2020 reached 2.4M across the four indices with an increase of 65% since August. Micro E-mini futures ADV has grown quarter-over-quarter throughout 2020, with ADV of 1.96M in Q3 2020.

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

• Micro E-mini options: CME Group launched Micro E-mini options on the S&P 500 and Nasdaq-100 indices August 31, 2020. Average daily volume (ADV) surpassed 7.8K, reaching a high of 23K contracts on September 21, and open interest reached a peak of 55.9K contracts on September 24.

• Bitcoin futures and options: Bitcoin futures ADV in September was 9,614, a 90% increase from September 2019. Large Open Interest Holders (LOIH) averaged of 77 LOIHs throughout September, representing an increase of 54% from September 2019. Bitcoin options ADV was 232 contracts in September, a 41% growth from August. Options on Bitcoin futures total volume reached nearly 27.2K contracts since their January 13 launch.

• Nasdaq-100 Volatility Index (VolQ) futures: CME Group launched the Nasdaq-100 Volatility Index (VolQ) futures on October 5, 2020. Please visit the following for further details:
  • VolQ futures landing page
  • VolQ futures FAQ
• Nasdaq Veles California Water Index (NQH2O) futures: CME Group announced the launch of the Nasdaq Veles California Water Index futures, coming Q4 2020. Please visit the following for further details:
  • NQH2O futures landing page
  • NQH2O futures FAQ