March Equity Index Product Review

*Through March 31, 2021

• Equity Index futures and options volume averaged 7.0 million contracts per day in March 2021 (-20% vs. Mar 20)
• Equity Index open interest averaged 8.0 million contracts per day for the month of March 2021 (-29% vs. Mar 21)

• Bitcoin futures and options: The price of Bitcoin once again reached new highs in March of over $60K. March ADV was 10.1K, an increase of 35% vs. March 2020. Open interest averaged 9.2K throughout February. Over 41.9K Bitcoin options have traded since their launch in early 2020 for a notional value of $3.3B. March average OI was 1.3K, an average daily value of just over $368M. 

• Micro Bitcoin futures: Based on the success of the Bitcoin futures and strong client demand, CME Group announced plans to launch Micro Bitcoin futures on May 3, pending regulatory approval. The new futures will be 1/10 of a Bitcoin and settled to the CF Bitcoin Reference Rate. To learn more, please visit the following:
  • Micro Bitcoin futures landing page
  • Micro Bitcoin futures FAQ
  • Micro Bitcoin futures fact card

• Ether futures: 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. Nearly 29.2K contracts (equivalent to 1.46M Ether) have traded since launch, with an ADV of 762 and open interest averaging 1.1K. Please visit the following for further detail:
  • Ether futures landing page
  • Ether futures FAQ
  • Ether futures fact card

• 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. 541 lots traded through the month-end, equivalent to 5,410-acre feet or 1.762B gallons. 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:
  • H20 futures landing page
  • H20 futures FAQ

• Micro E-mini futures: Over 701M contracts have traded since launch. ADV in March 2021 reached 2.87M across the four indices, an increase of 28% vs. Feb-21. Micro E-mini Equity Index futures reached a record volume of 5.07 million contracts on March 4, across all four indexes – the S&P 500, Nasdaq-100, Russell 2000, and Dow Jones Industrial Average indexes. Additionally, Micro E-mini S&P 500, Micro E-mini Nasdaq-100, and Micro E-mini Russell-2000 had record days ‒ trading 2.2M, 2.1M and 432K contracts on March 4, 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. Combined contracts traded since launch exceeded 1M in March and a record 1,948 contracts were traded on March 25 for Nasdaq-100. March ADV was 8.7K, an increase of 31% vs. February 2021.

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

• Nasdaq-100 Volatility Index (VOLQ) futures: CME launched the Nasdaq-100 Volatility Index (VOLQ) in Q4-2021. Liquidity in the product has continued to improve, with markets on average 0.60 index points wide and eight contracts up in March. Please visit the following for further detail:
  
  • VOLQ futures landing page
  • VOLQ futures FAQ

• 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. ADV averaged 1K and OI averaged 7.4K in Q1-20 (+28% and 44% vs. Q4-20, respectively). March 16 was a record day for trading at 7,230 contracts ($1.22B notional) and March 17th for OI at 11,841 ($1.99B notional).

• E-mini S&P 500 Select Sector futures: E-mini Select Sector futures ADV in March increased to over 27K (+244% vs. Feb-21) and OI averaging 189K (+16% vs Feb-21). The spike in volume led to a record 137K trades and an OI of 241K on March 15. Additionally, the E-mini Financial and Energy Select Sectors had record trading days of 53,424 and 26,207 on March 12 and 15, respectively.

• BTIC on major indices: ADV reached over 45K in March 2021 ($8.16B total notional traded), an increase of 6% compared to February 2021.

• Total Return futures: CME launched the Adjusted Interest Rate (AIR) Total Return futures on September 21, 2020. 2021 is off to a strong start, March ADV reached 1.7K (-46% vs. Feb-21) and open interest averaged 78K (+101% vs. Feb-21). Participants have choices on how to transact their total return risk. S&P 500 Total Return futures reached an ADV of over 3.8K ($776M Notional) in March, an increase of 718% vs. Feb-21. Please visit the following for further detail:
  • 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. March 2021 reached an ADV of 2.6K ($37.6M notional), and OI averaged 168.6K ($2.5B notional).

• Russell 2000: Futures monthly ADV for February was 261K contracts (+34% from Feb-21), with an average open interest of 544K contracts (-4% from Feb-21). 
  • View more information on the Russell 2000.