January Equity Index Product Review

Equity products performance

  Product Code Bloomberg Ticker Jan ADV YTD ADV* Open Interest
Total     5,576,714 5,576,714 7,490,380
S&P 500     3,240,183 3,240,183 5,999,635
Futures     2,597,145 2,597,145 3,105,412
E-mini ES ESA Index 1,549,009 1,549,009 2,670,768
Micro E-mini MES HWA Index 996,582 996,582 91,943
Standard SP SPA Index 2,571 2,571 18,867
BTIC EST STEA Index 41,682 41,682 -
BTIC+ ES1, ES2 ES1BTIC yyyymmdd Index - - -
Dividend Future SDA, SDI ASDA, ISDA Index 4,094 4,094 172,146
Total Return Futures TRI, CTR SRTA, CTIA Index 2,088 2,088 146,393
TACO ESQ TQA Index 624 624 -
TACO+ EQ1 EQ1TACO yyyymmdd Index   - -
E-mini ESG ESG SLBA Index 496 496 5,295
Options     643,038 643,038 2,894,223
E-mini     626,749 626,749 2,808,134
End-Of-Month EW SCA Index 101,021 101,021 294,003
Quarterlies ES ESA Index 88,414 88,414 1,226,324
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 437,314 437,314 1,287,807
Micro E-mini     6,153 6,153 19,610
End-Of-Month EX HWOA Index 1,659 1,659 1,799
Quarterlies MES HWAA Index 3,696 3,696 10,804
Weekly EX1-EX4 HXS1-HXS4 Index 798 798 7,007
Standard     10,137 10,137 66,479
End-Of-Month EV EVA Index 2,996 2,996 6,280
Flex XP, YP   - - 4,000
Quarterlies SP SPA Index 208 208 8,975
Weekly (M, W, F) EV1 - EV4 1DA-4DA 6,933 6,933 47,224
NASDAQ     1,468,214 1,468,214 411,088
Futures     1,448,022 1,448,022 289,203
E-mini NQ NQA Index 533,266 533,266 224,122
Micro E-mini MNQ HWB Index 910,978 910,978 65,081
BTIC NQT QNTA Index 3,778 3,778 -
Options     20,192 20,192 121,885
E-mini     19,642 19,642 120,264
Micro E-mini     550 550 1,621
End-Of-Month MQE HIWA Index 40 40 562
Quarterlies MNQ HWBA Index 346 346 888
Weekly MQ1-MQ4 HWY1-HWY4 Index 164 164 171
DOW JONES     384,031 384,031 117,983
Futures     383,938 383,938 116,863
E-mini YM DMA Index 196,715 196,715 96,713
Micro E-mini MYM HWI Index 185,986 185,986 65,081
BTIC YMT YMTA Index 1,238 1,238 -
Options     93 93 1,120
E-mini     93 93 1,120
Russell 2000     399,279 399,279 627,791
Futures     393,430 393,430 589,910
E-mini RTY RTYA Index 200,352 200,352 563,608
Micro E-mini M2K HWR Index 189,052 189,052 26,302
BTIC RLT RLBA Index 4,026 4,026 -
Options     5,848 5,848 25,948
E-mini     5,848 5,848 25,948
S&P 400 - MIDCAP     14,500 14,500 52,056
Futures     14,500 14,500 52,056
E-mini ME FAA Index 14,500 14,500 52,056
INTERNATIONAL     41,162 41,162 67,738
Futures     41,162 41,162 67,738
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 41,064 41,064 67,294
Ibovespa IBV IBAA Index 23 23 99
TOPIX TPY TPYA Index 75 75 345
SECTORS     11,216 11,216 172,787
Futures     11,216 11,216 172,787
Comm. Srvcs. XAZ XASA Index 92 92 2,391
Cons. Discr. XAY IXYA Index 515 515 5,499
Cons. Staples XAP IXRA Index 992 992 12,332
Energy XAE IXPA Index 1,437 1,437 17,914
Financial XAF IXAA Index 2,790 2,790 41,563
Health Care XAV IXCA Index 595 595 11,669
Industrial XAI IXIA Index 858 858 19,419
Materials XAB IXDA Index 533 533 8,980
Real Estate XAR XARA Index 170 170 4,527
Technology XAK IXTA Index 540 540 8,940
Utilities XAU IXSA Index 868 868 13,353
Dow Jones Real Estate JR DJEA Index 1,772 1,772 25,982
Nasdaq Biotech BQ DBA Index 55 55 218
Russell 1000     479 479 28,227
Futures     479 479 28,227
Russell 1000 RS1 RSYA Index 127 127 8,940
Russell 1000 Growth RSG RGYA Index 122 122 3,680
Russell 1000 Value RSV RVYA Index 229 229 15,607
Bitcoin     17,651 17,651 13,075
Futures & Options     17,651 17,651 13,075
Futures BTC BTCA Curncy 17,549 17,549 10,731
Options BTC BTCA Curncy 102 102 2,344

*Through January 31, 2021

ADV and open interest

  • 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).

Product highlights

  • 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:
  • 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.
  • 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:  
  • 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:
  • 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:

Equity Index Products

Explore CME Group's suite of Equity Index products on U.S. and International Indices, Select Sectors, and Options on Futures.

Learn More

Read More Reports

Review previous months' equity reports over the last year.

View Archived Reports

OpenMarkets: ESG Investments 2021 and beyond

Experts from Swedbank Robur and S&P Dow Jones Indices discussed ESG investment growth and trends during our OpenMarkets Roundtable

Watch the video

Read: Ethereum is on the rise

Look at three key reasons for the growing interest around ether in this rapidly changing cryptocurrency market.

Read the article

Webinar: Breaking down the rapid growth of crypto derivatives

Watch our recent webinar as experts discussed the rising interest in crypto derivatives and participation among institutional investors.

Watch the replay

Read: Ethereum is on the rise

Look at three key reasons for the growing interest around ether in this rapidly changing cryptocurrency market.

Read the article

Trader’s Edge: Introducing Ether futures

Join Dave Lerman, director of education at CME Group, as he discusses the launch of Ether futures, the latest addition to CME’s expanding suite of cryptocurrency products.

Watch the video