January Equity Index Product Review

*Through January 31, 2021

• Equity Index futures and options volume averaged 5.6 million contracts per day in January 2020 (31% vs. Jan 20).
• Equity Index open interest averaged 7.3 million contracts per day for the month of January 2020 (-14% vs. Jan 20).

• BTIC on major indices: ADV reached over 50.8K in January 2021 ($7.87B total notional traded), an increase of 11% compared to December 2020.

• Russell 2000: Futures monthly ADV for January was 204K contracts (+30% from Jan-20), with an average open interest of 549K contracts (+11% from Jan-20). View more information on the Russell 2000.

• E-mini S&P 500 ESG futures: Environmental, Social, and Governance (ESG) is an investment theme that has continued to gain 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. After a strong finish to 2020, January ADV was 496, $79.6M notional (+142% vs. Jan-20) and open interest averaged 6.3K, $1B average notional (+69% vs. Jan-20).

• Adjusted Interest Rate (AIR) Total Return futures: CME Group launched the Adjusted Interest Rate (AIR) Total Return futures on September 21, 2020. 2021 is off to a strong start with nearly 22.3K contracts traded in January alone, quickly surpassing the 6K contracts traded since launch in 2020.
  
  Participants have choices on how to transact their total return risk. S&P 500 Total Return futures reached an ADV of nearly 3K ($481M Notional) in 2020, an increase of 44% vs. 2019.
  
  Please visit the following for further details:
  • 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. Dividend uncertainty carried through to January 2021 with ADV volumes growing significantly to 4.1K ($59M notional), an increase of 204% vs. December 2020. OI averaged 166.7K ($2.4B notional).

• Micro E-mini futures: Micro E-mini futures continue to be the most successful product launch in CME Group history. Over 592.7M contracts have traded since launch and ADV in January 2021 reached 2.3M across the four indices, an increase of 231% vs. Jan-20. Micro E-mini Dow and Russell-2000 had record days, trading 413,355 and 327,842 contracts on January 4 and January 29, respectively.

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. Nearly 697K contracts have traded since launch with a January ADV of 6.7K.

• For more information, please visit the following:
  • Press release
  • Micro E-mini options landing page
  • Micro E-mini options FAQ

• Bitcoin futures and options: The price of bitcoin once again outperformed itself in January, and CME Bitcoin futures continued to gain momentum. January ADV reach a record high of 17.5K, an increase of 63% vs. January 2019. Open interest averaged 11.4K throughout January. Over 39.3K Bitcoin options have traded since their launch in early 2020 for a notional value of $2.6B. January average OI was 2.1K, an average daily value of just over $373M. 

• Nasdaq-100 Volatility Index (VOLQ) futures: CME Group launched 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 the Nasdaq Veles California Water Index futures on December 7, 2020. The contract is a first-of-its-kind regulated risk management tool to manage water supply and demand risk. 180 lots traded through the month end, equivalent to 1800-acre feet or 586.5M gallons. Markets have been quoted across the front end of the curve, with the front month expiry typically quoted five to seven 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 launched Ether futures on February 8, 2021. The contract is cash-settled and based on the regulated CME CF Ether-Dollar Reference Rate. Ether futures have joined 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