December Equity Index Product Review

Equity products performance

 

Product Code

Bloomberg Ticker

Dec ADV

YTD ADV*

Open Interest

Total

   

4,681,390

5,641,384

6,570,720

S&P 500

   

2,791,628

3,583,404

5,220,824

Futures

   

2,305,626

2,891,153

2,897,391

E-mini

ES

ESA Index

1,518,337

1,943,690

2,536,099

Micro E-mini

MES

HWA Index

741,728

896,476

63,107

Standard

SP

SPA Index

2,168

3,203

8,657

BTIC

EST

STEA Index

36,290

41,236

-

BTIC+

ES1, ES2

ES1BTIC yyyymmdd Index

-

5

-

Dividend futures

SDA, SDI

ASDA, ISDA Index

1,426

2,761

156,285

Total Return futures

TRI, CTR

SRTA, CTIA Index

4,299

3,065

127,948

TACO

ESQ

TQA Index

52

173

-

TACO+

EQ1

EQ1TACO yyyymmdd Index

 

-

-

E-mini ESG

ESG

SLBA Index

1,325

542

5,295

Options

   

486,002

692,251

2,323,433

E-mini

   

469,018

673,144

2,256,076

End-of-Month

EW

SCA Index

56,457

91,002

245,338

Quarterlies

ES

ESA Index

108,516

171,412

805,034

Weekly (M, W, F)

EW1 - EW4

1EA-4EA Index

304,045

410,730

1,205,704

Micro E-mini

   

3,878

2,092

12,987

End-Of-Month

EX

HWOA Index

755

447

1,520

Quarterlies

MES

HWAA Index

2,112

1,305

8,485

Weekly

EX1-EX4

HXS1-HXS4 Index

1,011

341

2,982

Standard

   

13,106

17,015

54,370

End-Of-Month

EV

EVA Index

2,194

2,676

5,700

Flex

XP, YP

 

-

94

4,000

Quarterlies

SP

SPA Index

2,134

2,018

6,375

Weekly (M, W, F)

EV1 - EV4

1DA-4DA

8,777

12,226

38,295

NASDAQ

   

1,206,073

1,301,643

343,898

Futures

   

1,193,767

1,285,566

270,363

E-mini

NQ

NQA Index

451,078

576,195

219,842

Micro E-mini

MNQ

HWB Index

739,804

705,657

50,521

BTIC

NQT

QNTA Index

2,885

3,715

-

Options

   

12,306

16,076

73,535

E-mini

   

11,924

15,925

72,164

Micro E-mini

   

382

151

1,371

End-of-Month

MQE

HIWA Index

112

27

360

Quarterlies

MNQ

HWBA Index

194

99

844

Weekly

MQ1-MQ4

HWY1-HWY4 Index

77

26

167

DOW JONES

   

281,863

363,826

96,503

Futures

   

281,796

363,695

95,657

E-mini

YM

DMA Index

153,961

233,792

85,021

Micro E-mini

MYM

HWI Index

126,314

129,024

50,521

BTIC

YMT

YMTA Index

1,521

879

-

Options

   

67

131

846

E-mini

   

67

131

846

Russell 2000

   

306,832

301,663

572,933

Futures

   

303,773

298,780

551,333

E-mini

RTY

RTYA Index

208,742

201,817

536,868

Micro E-mini

M2K

HWR Index

90,121

93,567

14,465

BTIC

RLT

RLBA Index

4,909

3,396

-

Options

   

3,059

2,883

25,948

E-mini

   

3,059

2,883

25,948

S&P 400 - MIDCAP

   

22,223

17,915

52,210

Futures

   

22,223

17,915

52,210

E-mini

ME

FAA Index

22,223

17,915

52,210

INTERNATIONAL

   

35,402

52,754

60,785

Futures

   

35,402

52,754

60,785

Nikkei 225

ENY, N1, NK

YMEA, NXA, NHA Index

35,317

52,029

60,391

Ibovespa

IBV

IBAA Index

9

40

49

TOPIX

TPY

TPYA Index

76

685

345

SECTORS

   

22,795

10,428

184,916

Futures

   

22,795

10,428

184,916

Comm. Srvcs.

XAZ

XASA Index

306

162

9,318

Cons. Discr.

XAY

IXYA Index

950

436

6,027

Cons. Staples

XAP

IXRA Index

1,721

1,114

13,535

Energy

XAE

IXPA Index

3,006

1,084

16,696

Financial

XAF

IXAA Index

3,785

1,276

28,634

Health Care

XAV

IXCA Index

1,425

861

13,277

Industrial

XAI

IXIA Index

2,368

526

9,124

Materials

XAB

IXDA Index

1,158

477

8,266

Real Estate

XAR

XARA Index

496

824

8,258

Technology

XAK

IXTA Index

1,233

640

11,684

Utilities

XAU

IXSA Index

2,233

1,249

17,738

Dow Jones Real Estate

JR

DJEA Index

4,103

1,741

42,041

Nasdaq Biotechnology

BQ

DBA Index

13

38

318

Russell 1000

   

3,239

822

25,998

Futures

   

3,239

822

25,998

Russell 1000

RS1

RSYA Index

823

115

8,055

Russell 1000 Growth

RSG

RGYA Index

439

302

3,114

Russell 1000 Value

RSV

RVYA Index

1,977

405

14,829

Bitcoin

   

11,337

8,929

12,653

Futures & Options

   

11,337

8,929

12,653

Futures

BTC

BTCA Curncy

11,179

8,782

10,850

Options

BTC

BTCA Curncy

158

148

1,803

*Through December 31, 2020 – Source: CME Group.

ADV and open interest:

  • Equity Index futures and options volume averaged 4.7 million contracts per day in December 2020 (30% vs. Dec 19)
  • Equity Index open interest averaged 7.9 million contracts per day for the month of December 2020 (-17% vs. Dec 19)

Source: CME Group

Product highlights:

  • BTIC on major indices: ADV reached over 49K in 2020 ($7.6B total notional traded). December 2020 ADV was 45.7K on the major indices, an increase of 5% compared to November 2020.

Source: CME Group

  • Russell 2000: Futures monthly ADV for December was 213K contracts (+27% from December 2019), with an average open interest of 564K contracts (+12% from December 2019). View more information on the Russell 2000.

Source: CME Group

  • E-mini S&P 500 ESG futures: Launched on November 18, 2019, Environmental, Social, and Governance (ESG) is an investment theme that has continues to gain attention and implementation over the last several years, and the need for capitally efficient ESG solutions has grown. E-mini S&P 500 ESG futures contracts allow 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 139K contracts ($19.7B notional) have traded since their launch in November 2019. December ADV and open interest averaged 1,325 and $934M, respectively. December 15, 2020 was a record day for both trading and OI with 7,062 contracts and $1.23B of OI.

Source: CME Group

  • Total Return futures: Adoption in S&P 500 Total Return futures in 2020 continues to accelerate as dealers transition from OTC to listed. December ADV is 4.3K ($822M Notional ADV), an increase of nearly 280% compared to December 2019.  

Source: CME Group

  • 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 6-7 basis points wide and active markets through December 2027.  View more information:
  • 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. Continuing dividend uncertainty in 2020 saw volumes grow significantly with an ADV of 2.7K and an OI of 158K ($2.2B notional).

Source: CME Group

  • Micro E-mini futures: Micro E-mini futures continue to be the most successful product launch in CME Group history. Over 549M contracts have traded since launch in May 2019, and ADV in December 2020 reached 1.7M across the four indices, an increase of 300% vs. December 2019.

Source: CME Group

  • Micro E-mini options: CME Group launched Micro E-mini options on the S&P 500 and Nasdaq-100 indices on August 31, 2020. Nearly 570K contracts have traded since launch with an ADV of 6.7K.

Source: CME Group

  • Bitcoin futures and options: As the price of Bitcoin outperformed through the end of the 2020, CME Bitcoin futures continued to gain momentum. Q4 2020 ADV grew to nearly 10K (+106% vs Q4 2019) with December ADV and open interest at 11.2K and 12K, respectively. Large open interest holders reached a record of 110 the week of December 1, strengthening evidence of institutional interest in the regulated crypto product. Over 37.3K Bitcoin options have traded since their launch in early 2020 for a notional value of $2.2B. Q4 average OI remained at 3.7K, an average daily value of just over $296M. 

Source: CME Group

  • Nasdaq-100 Volatility Index (VOLQ) futures: CME Group 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. Please visit the following for further detail:
  • Nasdaq Veles California Water Index futures: CME Group launched Nasdaq Veles California Water Index (NQH20) futures on December 7, 2020. The contract is a first-of-its-kind regulated risk management tool to manage water supply and demand risk. Through end of December, 94 lots had traded, equivalent to 940-acre feet or 306.3M gallons. Markets have been quoted across the front end of the curve, with the front month expiry typically quoted 5-7 ticks wide throughout the US trading session. Please visit the following for further detail:
  • Ether futures: Based on the success of CME Bitcoin futures and increasing client demand, CME Group plans to launch Ether futures on February 8, 2021, pending regulatory approval. The contract will be cash-settled and based on the regulated CME CF Ether-Dollar Reference Rate. Ether futures will join CME Group’s suite of cryptocurrency risk management tools. Please visit the following for further detail:

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