May Equity Index Product Review

*Through May 31, 2021

• Equity Index futures and options volume averaged 5.6M million contracts per day in May 2021 (+7% vs. May 20).
• Equity Index open interest averaged 8.1 million contracts per day for the month of May 2021 (+10% vs. Apr 21).

• Bitcoin futures and options: May ADV was 11.6K, an increase of 24% vs. April 2021 and open interest averaged 8.6K. Nearly 45.3K Bitcoin options have traded since their launch in early 2020 for a notional value of $4.1B. May average OI was 1.1K, an average daily value of nearly $272M. 

• Micro Bitcoin futures: Based on the success of the Bitcoin futures and strong client demand, CME Group launched Micro Bitcoin futures on May 3. The new futures are 1/10 of a bitcoin and settled to the CF Bitcoin Reference Rate. Day one volume was over 7.4K, landing within the top five futures launches. May ADV reached 30.3K with a record trading day of 94.8K contracts on May 19. Over 606K contracts have traded since launch and open interest averaged 20.9K throughout the month.

• Please visit the following for further detail:
  • 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 197K CME Ether futures contracts have traded since launch (equivalent to 9.9M ether), with a May ADV of 5,895 (equivalent to 204.8K ether), an increase of 146% compared to April 2021. A record 11,980 contracts were traded on May 19. Please visit the following for further detail:
  • Ether futures landing page
  • Ether futures FAQ
  • Ether futures fact card

• Micro E-mini futures: Micro E-mini futures continue to be the most successful product launch in CME Group history. Nearly 786M contracts have traded since launch and ADV in May 2021 was 2.2M across the four indices, an increase of 24% vs. Apr-21. In 2021, global participation remains strong with 21% of volume traded during non-US hours before the cash open and participants from over 180 countries.

For more information on the Micro E-mini futures, please click here.

• Micro E-mini options: CME Group launched Micro E-mini options on the S&P 500 and Nasdaq-100 indices August 31, 2020. Combined contracts traded since launch reached 1.39M in May and a record 5,490 contracts were traded on May 12 for Nasdaq-100. May ADV was a record 10.6K, 8K, and 2.6K for Micro E-mini S&P 500 and Micro E-mini Nasdaq-100, respectively.

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

• Nasdaq-100 Volatility Index (VOLQ) futures: CME Group launched the Nasdaq-100 Volatility Index (VOLQ) futures on October 5, 2020. In May, 22 trades occurred from four firms across three different countries. 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 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. In May, ADV averaged 591 (+21% vs. April 2021) and OI averaged 11.1K (+8% vs. April 2021).

• E-mini S&P Europe 350 ESG futures: Launched May 24, 2021, the new E-mini S&P Europe 350 ESG futures are 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 robust ESG index methodology, same as the one applied to S&P 500 ESG Index and is right-sized in terms of number of constituents at around 230. The first week of trading in ESG futures saw strong liquidity straight from launch, with markets averaging over 50 contracts up within six ticks during London trading hours. Please visit the following for further detail:
  • E-mini S&P Europe 350 futures landing page
  • E-mini S&P Europe 350 futures FAQ
  • E-mini S&P Europe 350 futures fact card

• Total Return futures: May ADV was 508 and open interest averaged 117.7K (25.8M notional). Participants have choices on how to transact their total return risk. S&P 500 Total Return futures ADV in 2021 is 1.3K ($266M notional) with open interest averaging 117.4K (24.2M notional). Please visit the following for further detail:
  • Total Return futures landing page
  • S&P 500 AIR Total Return futures landing page
  • S&P 500 AIR Total Return futures FAQ

• FTSE 100 Adjusted Interest Rate (AIR) Total Return futures: CME Group announced plans to launch AIR Total Return futures on the FTSE 100 Index ‒ coming June 7 ‒ pending regulatory approval. The new futures will give total return exposure with an overnight floating rate built in using SONIA as the financing reference rate. To learn more, please visit the following:
  • FTSE 100 AIR futures landing page
  • FTSE 100 AIR futures FAQ
  • FTSE 100 AIR futures fact card

• 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. May 2021 ADV was 2.6K ($37.9M notional) up 42% vs. May 2020, and OI averaged 194K ($2.9B notional) up 33% vs. May 2020.