February Equity Index Product Review

Equity products performance

 

Product Code

Bloomberg Ticker

Feb ADV

YTD ADV*

Open Interest

Total

 

 

5,511,204

5,544,426

7,860,440

S&P 500

 

 

3,168,830

3,204,506

6,267,948

Futures

 

 

2,539,157

2,568,151

3,262,301

E-mini

ES

ESA Index

1,543,780

1,546,395

2,759,006

Micro E-mini

MES

HWA Index

953,936

975,259

100,088

Standard

SP

SPA Index

2,397

2,484

31,159

BTIC

EST

STEA Index

32,878

37,280

-  

BTIC+

ES1, ES2

ES1BTIC yyyymmdd Index

0

0

-  

Dividend Future

SDA, SDI

ASDA, ISDA Index

1,830

2,962

174,652

Total Return Futures

TRI, CTR

SRTA, CTIA Index

3,698

2,893

192,101

TACO

ESQ

TQA Index

103

364

-  

TACO+

EQ1

EQ1TACO yyyymmdd Index

 

-  

-  

E-mini ESG

ESG

SLBA Index

533

514

5,295

Options

 

 

629,673

636,356

3,005,647

E-mini

 

 

614,190

620,469

2,905,904

End-Of-Month

EW

SCA Index

101,355

101,188

325,374

Quarterlies

ES

ESA Index

131,169

109,791

1,598,013

Weekly (M, W, F)

EW1 - EW4

1EA-4EA Index

381,666

409,490

982,517

Micro E-mini

 

 

5,964

6,059

25,959

End-Of-Month

EX

HWOA Index

1,712

1,686

3,837

Quarterlies

MES

HWAA Index

3,013

3,355

9,694

Weekly

EX1-EX4

HXS1-HXS4 Index

1,239

1,019

12,428

Standard

 

 

9,518

9,828

73,784

End-Of-Month

EV

EVA Index

3,063

3,030

6,550

Flex

XP, YP

 

-  

-  

4,000

Quarterlies

SP

SPA Index

639

424

16,621

Weekly (M, W, F)

EV1 - EV4

1DA-4DA

5,816

6,374

46,613

NASDAQ

 

 

1,591,118

1,529,666

479,145

Futures

 

 

1,565,069

1,506,546

334,913

E-mini

NQ

NQA Index

565,422

549,344

248,670

Micro E-mini

MNQ

HWB Index

994,717

952,848

86,243

BTIC

NQT

QNTA Index

4,929

4,354

-  

Options

 

 

26,050

23,121

144,232

E-mini

 

 

25,388

22,515

142,464

Micro E-mini

 

 

661

606

1,768

End-Of-Month

MQE

HIWA Index

125

82

803

Quarterlies

MNQ

HWBA Index

329

338

847

Weekly

MQ1-MQ4

HWY1-HWY4 Index

208

186

118

DOW JONES

 

 

314,115

349,073

105,973

Futures

 

 

314,051

348,995

104,651

E-mini

YM

DMA Index

183,083

189,899

85,510

Micro E-mini

MYM

HWI Index

130,211

158,098

86,243

BTIC

YMT

YMTA Index

757

998

-  

Options

 

 

64

79

1,322

E-mini

 

 

64

79

1,322

Russell 2000

 

 

 366,808

383,043

640,505

Futures

 

 

360,686

377,058

599,524

E-mini

RTY

RTYA Index

191,259

195,806

572,241

Micro E-mini

M2K

HWR Index

165,651

177,351

27,283

BTIC

RLT

RLBA Index

3,776

3,901

-  

Options

 

 

6,122

5,985

25,948

E-mini

 

 

6,122

5,985

25,948

S&P 400 - MIDCAP

 

 

9,879

12,189

49,968

Futures

 

 

9,879

12,189

49,968

E-mini

ME

FAA Index

9,879

12,189

49,968

INTERNATIONAL

 

 

35,997

38,579

67,858

Futures

 

 

35,997

38,579

67,858

Nikkei 225

ENY, N1, NK

YMEA, NXA, NHA Index

35,911

38,488

67,469

Ibovespa

IBV

IBAA Index

14

18

44

TOPIX

TPY

TPYA Index

71

73

345

SECTORS

 

 

9,151

10,183

202,235

Futures

 

 

9,151

10,183

202,235

Comm. Srvcs.

XAZ

XASA Index

112

102

2,667

Cons. Discr.

XAY

IXYA Index

544

530

6,605

Cons. Staples

XAP

IXRA Index

793

893

13,346

Energy

XAE

IXPA Index

1,569

1,503

28,465

Financial

XAF

IXAA Index

1,771

2,281

51,582

Health Care

XAV

IXCA Index

465

530

12,567

Industrial

XAI

IXIA Index

615

736

21,154

Materials

XAB

IXDA Index

506

519

9,396

Real Estate

XAR

XARA Index

144

157

3,671

Technology

XAK

IXTA Index

476

508

9,501

Utilities

XAU

IXSA Index

874

871

17,791

Dow Jones Real Estate

JR

DJEA Index

1,256

1,514

25,293

Nasdaq Biotech

BQ

DBA Index

26

40

197

Russell 1000

 

 

926

702

32,037

Futures

 

 

926

702

32,037

Russell 1000

RS1

RSYA Index

236

181

10,256

Russell 1000 Growth

RSG

RGYA Index

143

133

4,421

Russell 1000 Value

RSV

RVYA Index

547

388

17,360

Cryptocurrency

 

 

14,380

16,482

14,771

Futures

 

 

14,380

16,482

14,771

Bitcoin

BTC

BTCA Curncy

13,414

15,481

10,370

Ether

ETH

DCRA Curncy

831

831

877

Options

 

 

67

85

1,762

Bitcoin

BTC

BTCA Curncy

67

85

1,762

*Through February 28, 2021

ADV and open interest

  • 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)

Product highlights

  • 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:
  • 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 26th, 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.
  • 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:
  • 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:
  • 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:

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

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