February Equity Index Product Review

*Through February 28, 2021

• Equity Index futures and options volume averaged 5.5 million contracts per day in February 2021 (-12% vs. Feb 20)
• Equity Index open interest averaged 7.9 million contracts per day for the month of February 2021 (-14% vs. Feb 21)

• BTIC on major indices: ADV reached over 42.4K in February 2021 ($8.23B total notional traded) a decrease of -17% compared to January 2021.

• Russell 2000: Futures monthly ADV for February was 195K contracts (+1% from Feb-20), with an average open interest of 567K contracts (+16% from Feb-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 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. After a strong finish to 2020, February ADV was 533, $87M notional (+9% vs. Jan-21) and open interest averaged 7K, $1.1B average notional (+12% vs. Jan-21).

• Total Return futures: CME launched Adjusted Interest Rate (AIR) Total Return futures on September 21, 2020. 2021 is off to a strong start, February ADV reached 2.9K, an increase of 152% compared to January 2021. Open interest averaged 41.4K, an increase of over 350% vs. January 2021.
  
  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. February 2021 reached an ADV of 1.8K ($26.8M notional), and OI averaged 172.3K ($2.5B notional).

• Micro E-mini futures: Micro E-mini futures continue to be the most successful product launch in CME Group history. Over 635M contracts have traded since launch and ADV in February 2021 reached 2.24M across the four indices, an increase of 79% vs. Feb-20. Micro E-mini Equity Index futures reached a record volume of 4.44 million contracts on February 26^th, across all four indexes – the S&P 500, Nasdaq-100, Russell 2000, and Dow Jones Industrial Average Indexes. Additionally, Micro E-mini Nasdaq-100 and Micro E-mini Russell-2000 had record days, trading 1.9M and 362,663 contracts on February 25 and February 26, respectively.

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

• Micro E-mini options: CME launched Micro E-mini options on the S&P 500 and Nasdaq-100 indices August 31, 2020. Nearly 823K contracts have traded since launch with a February ADV of 6.6K.

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

• Bitcoin futures and options: Throughout February, the price of bitcoin bounced around while Bitcoin futures continued to gain momentum. February ADV was 13.4K, an increase of 32% vs. February 2020. Open interest averaged 10.7K throughout February. Over 40.6K Bitcoin options have traded since their launch in early 2020 for a notional value of $2.9B. February average OI was 1.5K, an average daily value of just over $357M.

• Nasdaq-100 Volatility Index (VOLQ) futures: CME 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 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. 435 lots traded through the month-end, equivalent to 4,350-acre feet or 1.42B gallons. February 10 was the highest volume day at 53 lots, and open interest reached a high of 62 contracts on Feb 17. Markets have been quoted across the front end of the curve, with the front month expiry typically quoted one to four 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. Over 11.6K contracts have traded since launch with an ADV of 831 and open interest averaging 708. Please visit the following for further details:
  • Ether futures landing page
  • Ether futures FAQ
  • Ether futures fact card