December Equity Index Product Review

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

• 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)

• 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.

• 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.

• 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.

• 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.  

• 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:
  • AIR Total Return futures details and resources
  • 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. Continuing dividend uncertainty in 2020 saw volumes grow significantly with an ADV of 2.7K and an OI of 158K ($2.2B notional).

• 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.

• 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.

• 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. 

• 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:
  • VOLQ futures landing page
  • VOLQ futures FAQ
• 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:
  • NQH20 futures landing page
  • NQH20 futures FAQ

• 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:
  • Ether futures landing page
  • Ether futures FAQ
  • Ether futures fact card