November Equity Index Product Review

*Through November 30, 2020

• Equity Index futures and options volume averaged 5.37 million contracts per day in November 2020.
• Equity Index open interest averaged 8.2 million contracts per day for the month of November 2020.

BTIC on major indices: Over 49.9M contracts traded ($5.12T notional) since the November 2015 launch. BTIC on the major indices has achieved 43.6K ADV in November.  

• 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 our BTIC and TACO pages for more information.
• Russell 2000: Futures monthly ADV for November was 173K contracts (+56% from Nov-19), with an average open interest of 541K contracts (+14% from Nov-19). For more information on the Russell 2000, please click here.

• 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 110K contracts ($15.1B notional) have traded since their launch.

• 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 2.9K (450M Notional ADV), an increase of nearly 50% compared to 2019.  

• Adjusted Interest Rate (AIR) Total Return futures: CME Group launched the Adjusted Interest Rate (AIR) Total Return futures on September 21, 2020. Over 5.9K contracts have traded since launch, with liquidity building at six to seven basis points 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 2.8K and an OI of 156K ($2.2B notional).

• Micro E-mini futures: Micro E-mini futures continue to be the most successful product launch in CME Group history. Nearly 512M contracts have traded since launch, ADV in November 2020 reached 2.27M across the four indices ‒ an increase of 10% vs. October.

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

• Micro E-mini options: CME Group launched Micro E-mini options on the S&P 500 and Nasdaq-100 indices August 31, 2020. Over 475K contracts have traded since the launch, with an ADV of 7.4K.

• Bitcoin futures and options: The price of Bitcoin reached a new all-time high of $19.85K on November 30 and a record 108 large open interest holders on November 24. Bitcoin futures ADV in November was 11.4K, a 55% increase from October 2020. Open interest on November 30 was over 12.8K contracts, worth $1.25M notional, an equivalent of 60K bitcoin. Bitcoin options ADV since launch has reached 155 contracts, total volume is over 33.9K 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. 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 Group 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