March Equity Index Product Review

Equity products performance

 

Product Code

Bloomberg Ticker

Mar ADV

YTD ADV*

Open Interest

Total

 

 

7,030,609

6,072,807

6,863,989

S&P 500

 

 

4,015,099

3,510,140

5,432,589

Futures

 

 

3,411,234

2,886,035

3,066,416

E-mini

ES

ESA Index

2,178,068

1,784,567

2,589,489

Micro E-mini

MES

HWA Index

1,183,763

1,053,875

90,661

Standard

SP

SPA Index

3,874

3,008

20,120

BTIC

EST

STEA Index

35,224

36,505

-  

BTIC+

ES1, ES2

ES1BTIC yyyymmdd Index

2

1

50

Dividend Future

SDA, SDI

ASDA, ISDA Index

2,835

2,914

177,823

Total Return Futures

TRI, CTR

SRTA, CTIA Index

5,619

3,921

182,978

TACO

ESQ

TQA Index

9

230

-  

TACO+

EQ1

EQ1TACO yyyymmdd Index

 

-  

-  

E-mini ESG

ESG

SLBA Index

1,840

1,014

5,295

Options

 

 

603,865

624,105

2,366,173

E-mini

 

 

587,759

608,136

2,289,349

End-Of-Month

EW

SCA Index

74,576

91,154

230,791

Quarterlies

ES

ESA Index

127,906

116,622

832,813

Weekly (M, W, F)

EW1 - EW4

1EA-4EA Index

385,277

400,360

1,225,745

Micro E-mini

 

 

7,278

6,518

26,219

End-Of-Month

EX

HWOA Index

1,298

1,540

4,736

Quarterlies

MES

HWAA Index

4,052

3,618

13,922

Weekly

EX1-EX4

HXS1-HXS4 Index

1,928

1,361

7,561

Standard

 

 

8,828

9,451

50,605

End-Of-Month

EV

EVA Index

918

2,233

6,550

Flex

XP, YP

 

-  

-  

-  

Quarterlies

SP

SPA Index

2,350

1,150

6,206

Weekly (M, W, F)

EV1 - EV4

1DA-4DA

5,560

6,067

37,849

NASDAQ

 

 

2,046,934

1,724,702

422,472

Futures

 

 

2,014,916

1,698,226

293,498

E-mini

NQ

NQA Index

688,110

601,665

223,280

Micro E-mini

MNQ

HWB Index

1,322,505

1,092,227

70,218

BTIC

NQT

QNTA Index

4,301

4,334

-  

Options

 

 

32,018

26,475

128,974

E-mini

 

 

30,612

25,568

125,380

Micro E-mini

 

 

1406

907

3,594

End-Of-Month

MQE

HIWA Index

353

184

606

Quarterlies

MNQ

HWBA Index

845

529

2,405

Weekly

MQ1-MQ4

HWY1-HWY4 Index

209

194

583

DOW JONES

 

 

387,540

363,577

111,490

Futures

 

 

387,437

363,489

110,205

E-mini

YM

DMA Index

225,128

203,182

91,266

Micro E-mini

MYM

HWI Index

161,182

159,261

70,218

BTIC

YMT

YMTA Index

1,127

1,047

-  

Options

 

 

103

88

1,285

E-mini

 

 

103

88

1,285

Russell 2000

 

 

469,638

415,694

541,045

Futures

 

 

463,662

409,712

507,450

E-mini

RTY

RTYA Index

257,294

218,990

482,071

Micro E-mini

M2K

HWR Index

202,059

186,667

25,379

BTIC

RLT

RLBA Index

4,309

4,055

-  

Options

 

 

5,977

5,982

25,948

E-mini

 

 

5,977

5,982

25,948

S&P 400 - MIDCAP

 

 

15,588

13,471

45,417

Futures

 

 

15,588

13,471

45,417

E-mini

ME

FAA Index

15,588

13,471

45,417

INTERNATIONAL

 

 

48,761

24,033

48,176

Futures

 

 

48,761

24,033

48,176

Nikkei 225

ENY, N1, NK

YMEA, NXA, NHA Index

48,683

23,976

47,798

Ibovespa

IBV

IBAA Index

7

11

33

TOPIX

TPY

TPYA Index

71

46

345

SECTORS

 

 

31,041

6,344

202,235

Futures

 

 

31,041

6,344

202,235

Comm. Srvcs.

XAZ

XASA Index

430

64

2,667

Cons. Discr.

XAY

IXYA Index

1,338

330

6,605

Cons. Staples

XAP

IXRA Index

2,632

556

13,346

Energy

XAE

IXPA Index

5,007

936

28,465

Financial

XAF

IXAA Index

7,357

1,421

51,582

Health Care

XAV

IXCA Index

1,803

330

12,567

Industrial

XAI

IXIA Index

2,926

459

21,154

Materials

XAB

IXDA Index

1,002

323

9,396

Real Estate

XAR

XARA Index

469

98

3,671

Technology

XAK

IXTA Index

1,436

316

9,501

Utilities

XAU

IXSA Index

2,687

542

17,791

Dow Jones Real Estate

JR

DJEA Index

3,905

943

25,293

Nasdaq Biotech

BQ

DBA Index

49

25

197

Russell 1000

 

 

4,978

438

47,559

Futures

 

 

4,978

438

47,559

Russell 1000

RS1

RSYA Index

954

113

9,565

Russell 1000 Growth

RSG

RGYA Index

513

83

3,537

Russell 1000 Value

RSV

RVYA Index

3,511

242

34,457

Cryptocurrency

 

 

11,029

14,409

13,006

Futures

 

 

11,029

14,409

13,006

Bitcoin

BTC

BTCA Curncy

10,145

13,469

9,888

Ether

ETH

DCRA Curncy

762

788

1,582

Options

 

 

61

76

768

Bitcoin

BTC

BTCA Curncy

61

76

768

*Through March 31, 2021

ADV and open interest

  • 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)

Product highlights

Cryptocurrencies:

  • 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. 
  • 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:
  • 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:

Equity Index:

  • 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.
  • 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:
  • 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:
  • 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). 

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

Live webinar: Bitcoin for Institutions – The New Normal

On April 27, hear from a panel of experts from CME Group, Grayscale, Genesis, and Fidelity as they discuss the driving factors behind institutional interest and participation in bitcoin.

Register now

Live webinar: Getting started with Micro Bitcoin futures

On April 28, Craig Bewick, Senior Director, Client Development and Sales at CME Group will walk you through the fundamentals behind the new Micro Bitcoin futures contract and discuss the evolution of the crypto derivatives market.

Register now

Trader’s Edge: E-mini Nasdaq-100 Monday and Wednesday Weekly options

Dave Lerman, Director of Education at CME Group, explores contract details and explains how short-dated options can help manage event risk.

Watch the video

Webinar: Micro E-mini futures and options Q1 update

Get an update on recent Micro E-mini futures and options trading, rise in liquidity, impacts of market volatility, and more.

Watch the replay