April Equity Index Product Review

Equity products performance

  Product Code Bloomberg Ticker Apr ADV YTD ADV* Open Interest
Total     4,673,871 5,743,605 7,428,667
S&P 500     2,667,806 3,299,532 5,951,726
Futures     2,154,464 2,698,681 3,316,451
E-mini ES ESA Index 1,329,011 1,667,900 2,710,413
Micro E-mini MES HWA Index 782,890 984,477 143,544
Standard SP SPA Index 3,401 3,109 39,002
BTIC EST STEA Index 31,139 35,131 -
BTIC+ ES1, ES2 ES1BTIC yyyymmdd Index 2 1 -
Dividend Future SDA, SDI ASDA, ISDA Index 4,379 3,289 192,093
Total Return Futures TRI, CTR SRTA, CTIA Index 3,077 3,705 226,104
TACO ESQ TQA Index 77 191 -
TACO+ EQ1 EQ1TACO yyyymmdd Index   - -
E-mini ESG ESG SLBA Index 487 879 5,295
Options     513,342 600,851 2,635,275
E-mini     495,747 579,353 2,541,033
End-Of-Month EW SCA Index 83,011 89,069 332,005
Quarterlies ES ESA Index 65,373 103,497 1,149,402
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 347,363 386,788 1,059,626
Micro E-mini     5,804 6,335 26,499
End-Of-Month EX HWOA Index 1,598 1,555 4,341
Quarterlies MES HWAA Index 3,484 3,583 9,711
Weekly EX1-EX4 HXS1-HXS4 Index 722 1,198 12,447
Standard     11,791 15,162 67,743
End-Of-Month EV EVA Index 2,117 2,204 6,302
Flex XP, YP   - - -
Quarterlies SP SPA Index 277 926 9,681
Weekly (M, W, F) EV1 - EV4 1DA-4DA 9,397 12,032 51,760
NASDAQ     1,406,622 1,643,242 464,488
Futures     1,383,787 1,617,699 350,320
E-mini NQ NQA Index 499,723 575,558 226,957
Micro E-mini MNQ HWB Index 880,482 1,037,999 123,363
BTIC NQT QNTA Index 3,581 4,141 -
Options     22,835 25,543 114,168
E-mini     21,315 24,479 108,864
Micro E-mini     1521 1,065 5,304
End-Of-Month MQE HIWA Index 122 168 1,532
Quarterlies MNQ HWBA Index 1,052 663 3,163
Weekly MQ1-MQ4 HWY1-HWY4 Index 347 233 609
DOW JONES     231,894 329,853 121,934
Futures     231,847 329,776 120,641
E-mini YM DMA Index 138,437 186,601 93,509
Micro E-mini MYM HWI Index 92,461 142,154 123,363
BTIC YMT YMTA Index 949 1,021 -
Options     47 78 1,293
E-mini     47 78 1,293
Russell 2000     308,686 388,289 533,237
Futures     304,167 382,682 502,136
E-mini RTY RTYA Index 167,898 205,905 457,832
Micro E-mini M2K HWR Index 133,709 173,105 44,304
BTIC RLT RLBA Index 2,560 3,672 -
Options     4,519 5,607 25,948
E-mini     4,519 5,607 25,948
S&P 400 - MIDCAP     9,219 12,382 44,662
Futures     9,219 12,382 44,662
E-mini ME FAA Index 9,219 12,382 44,662
INTERNATIONAL     29,085 39,004 55,672
Futures     29,085 39,004 55,672
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 29,013 38,921 55,304
Ibovespa IBV IBAA Index 5 12 23
TOPIX TPY TPYA Index 67 71 345
SECTORS     7,969 15,466 199,365
Futures     7,969 15,466 199,365
Comm. Srvcs. XAZ XASA Index 195 218 3,294
Cons. Discr. XAY IXYA Index 210 674 3,101
Cons. Staples XAP IXRA Index 747 1,343 11,431
Energy XAE IXPA Index 1,178 2,403 22,966
Financial XAF IXAA Index 958 3,366 53,932
Health Care XAV IXCA Index 496 878 14,143
Industrial XAI IXIA Index 342 1,249 23,352
Materials XAB IXDA Index 232 581 6,491
Real Estate XAR XARA Index 449 319 10,027
Technology XAK IXTA Index 356 729 8,282
Utilities XAU IXSA Index 656 1,325 14,433
Dow Jones Real Estate JR DJEA Index 2,146 2,347 27,848
Nasdaq Biotech BQ DBA Index 4 34 65
Russell 1000     698 1,901 43,273
Futures     698 1,901 43,273
Russell 1000 RS1 RSYA Index 73 371 8,964
Russell 1000 Growth RSG RGYA Index 71 223 4,018
Russell 1000 Value RSV RVYA Index 554 1,307 30,291
Cryptocurrency     11,893 13,935 14,310
Futures     11,893 13,935 14,310
Bitcoin BTC BTCA Curncy 9,336 12,411 8,559
Ether ETH DCRA Curncy 2,397 1,371 2,613
Options     80 77 1,569
Bitcoin BTC BTCA Curncy 80 77 1,569

*Through April 30, 2021

ADV and open interest

  • Equity Index futures and options volume averaged 4.7 million contracts per day in April 2021 (-8% vs. Apr 20).
  • Equity Index open interest averaged 7.4 million contracts per day for the month of April 2021 (-8% vs. Mar 21).

Product highlights

Alternative investments:

Cryptocurrencies:

  • Bitcoin futures and options: April ADV was 9.3K, an increase of 58% vs. April 2020 and open interest averaged 9.1K. Over 43.6K Bitcoin options have traded since their launch in early 2020 for a notional value of $3.7B. March average OI was 1.1K, an average daily value of nearly $311M. 
  • 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. More than 80K CME Ether futures contracts have traded since launch (equivalent to 4M ether), with an April ADV of 2,397 and open interest averaging 2,134. 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. 762 lots traded through the month-end, equivalent to 7,620-acre feet or 2.5B gallons. Markets have been quoted across the front end of the curve, with the front month expiry typically quoted 1-4 ticks wide throughout the US trading session. Please visit the following for further detail:

Equity Index:

  • Micro E-mini futures: Micro E-mini futures continue to be the most successful product launch in CME Group history. Nearly 741M contracts have traded since launch and ADV in April 2021 was 1.8M across the four indices, an increase of 3% vs. Apr 20. Global participation remains strong with 25% of volume traded during non-US hours before the cash open from over 190 countries.

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 on August 31, 2020. Combined contracts traded since launch exceeded 1.18M in April, and a record 2,313 contracts were traded on April 7 for Nasdaq-100. March ADV was 7.3K, 5.8K, and 1.5K for Micro E-mini S&P 500 and Micro E-mini Nasdaq-100, respectively.
  • Nasdaq-100 Volatility Index (VOLQ) futures: CME launched the Nasdaq-100 Volatility Index (VOLQ) Futures on October 5, 2020. In April, eight trades occurred from two firms for the April and May expirations. Since launch, trades have occurred in all listed expiries with markets currently quoted across the curve. 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 continues 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 has averaged 879K and OI has averaged 8.1K in 2021 (+59% and 87% vs. 2020, respectively). April 16 was a record day for notional open interest at nearly $2.1B.
  • E-mini S&P Europe 350 ESG futures: Coming May 24, 2021, subject to regulatory review, the E-mini S&P Europe 350 ESG futures will be cash-settled to the S&P Europe 350 ESG index. The index is Pan-European, covering developed markets across over 15 different countries. The four largest individual country weights as of April 8, 2021 are UK 23.58%, France 18.08%, Switzerland 17,16% and Germany 14.90%. The index is based on the same robust ESG index methodology as the one applied to S&P 500 ESG Index, and is right-sized in terms of number of constituents at around 230. Please visit the following for further detail:
  • Total Return futures: CME launched the Adjusted Interest Rate (AIR) Total Return futures on September 21, 2020. April ADV reached 2.2K (22% vs. Mar-21) and open interest averaged 98.3K (+27% vs. Mar-21). Participants have choices on how to transact their total return risk. S&P 500 Total Return futures ADV in 2021 is 1.6K ($325M notional) with open interest averaging 119.3K (23.9M notional). 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. April 2021 reached a record ADV of nearly 4.2K ($61.1M notional), and OI averaged 177K ($2.6B notional). A record 26,046 contracts were traded on April 13.
  • Russell 2000: Futures monthly ADV for April was 162.6K contracts, with an average open interest of 459K contracts. For more information on the Russell 2000, please see: cmegroup.com/Russell2000.

Equity Index Products

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

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Read More Reports

Review previous months' equity reports over the last year.

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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.

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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.

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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.

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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