October Equity Index Product Review

 *Through October 31, 2020

• Equity Index futures and options volume averaged 5.41 million contracts per day in October 2020.
• Equity Index open interest averaged 7.8 million contracts per day for the month of October 2020.

BTIC on major indices: Over 35.7M contracts traded ($4.97T notional) since the Nov. 2015 launch. BTIC on the major indices has achieved 36.8K ADV in October.  

• 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 October was 174K contracts, a 46% increase from September, with an average open interest of 531K contracts.
  • Please visit the Russell 2000 page for more information.

• 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 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 94K contracts ($12.7B notional) have traded since their launch in November. Since 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. 2020 ADV is 3K (485M notional ADV), an increase of nearly 50% compared to 2019.

• Adjusted Interest Rate (AIR) Total Return futures: CME launched the Adjusted Interest Rate (AIR) Total Return futures on September 21, 2020. Over 3.7K contracts have traded since launch, with liquidity building at six to seven basis point wide and markets through December 2027. Please visit the following for further detail:
  • AIR Total Return futures 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 2.9K and an OI of 150K ($2.1B notional).

• Micro E-mini futures: Micro E-mini futures continue to be the most successful product launch in CME Group history. Over 466M contracts have traded since launch, ADV in October 2020 reached 2M across the four indices ‒ an increase of 5% since September. 

For more information on the Micro E-mini futures, please click here.

• Micro E-mini options: CME launched Micro E-mini options on the S&P 500 and Nasdaq-100 indices on August 31, 2020. Average daily volume (ADV) surpassed 8K, with nearly 370K contracts traded since launch.

• Bitcoin futures and options: Bitcoin futures ADV in September was 7,382, an 81% increase from October 2019. CME is now the second largest Bitcoin futures exchange by open interest. Open interest is over 12K contracts worth $790M notional, an equivalent of 60K bitcoins. The price of Bitcoin reached over $13.5K for the first time since July 2019. Bitcoin options ADV was 180 contracts in October and reached a total volume of 31.2K contracts since their January 13 launch.

• Nasdaq-100 Volatility Index (VolQ) futures: CME launched the Nasdaq-100 Volatility Index (VOLQ) futures on October 5, 2020. Trades have occurred in all listed expiries with markets currently quoted across the curve (November-January). Please visit the following for further detail:
  • VOLQ futures page
  • VOLQ futures FAQ
• Nasdaq Veles California Water Index (NQH2O) futures: CME announced the launch of the Nasdaq Veles California Water Index futures ‒ coming December 7, 2020, pending regulatory review. Please visit the following for further detail:
  • NQH2O futures page
  • NQH2O futures FAQ