April Equity Index Product Review

*Through April 30, 2021

• 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).

• 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. 

• Micro Bitcoin futures: Based on the success of the Bitcoin futures and strong client demand, CME launched Micro Bitcoin futures on May 3. The new futures are 1/10 of one bitcoin and settled to the CF Bitcoin Reference Rate. More than 80K contracts traded in the first week. 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. 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:
  • 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. 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:
  • H20 futures landing page
  • H20 futures FAQ

• 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.

• 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) 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:
  
  • 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 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:
  • Landing page
  • FAQ
  • Fact card

• 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:
  • 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. 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.