June Equity Index Product Review

Equity Products Performance

  Product Code Bloomberg Ticker June ADV YTD ADV* Open Interest
Total     4,543,282 5,524,410 9,216,654
S&P 500     2,685,025 3,186,465 5,926,241
Futures     2,127,080 2,576,580 3,142,475
E-mini ES ESA Index 1,447,640 1,617,226 2,581,871
Micro E-mini MES HWA Index 634,473 913,755 71,959
Standard SP SPA Index 2,257 2,879 13,064
BTIC EST STEA Index 29,531 33,754 -
BTIC+ ES1, ES2 ES1BTIC yyyymmdd Index 9 2 -
Dividend Future SDA, SDI ASDA, ISDA Index 5,122 3,499 224,274
Total Return Futures TRI, CTR SRTA, CTIA Index 4,793 3,394 240,717
TACO ESQ TQA Index 22 144 -
TACO+ EQ1 EQ1TACO yyyymmdd Index   - -
E-mini ESG ESG SLBA Index 1,620 964 5,295
Options     557,945 609,885 2,783,766
E-mini     538,647 588,104 2,698,252
End-Of-Month EW SCA Index 68,479 86,079 358,803
Quarterlies ES ESA Index 118,818 108,455 1,012,253
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 351,351 393,569 1,327,196
Micro E-mini     6,102 6,566 30,439
End-Of-Month EX HWOA Index 1,120 1,545 4,681
Quarterlies MES HWAA Index 3,138 3,696 13,057
Weekly EX1-EX4 HXS1-HXS4 Index 1,844 1,325 12,701
Standard     13,196 15,215 55,075
End-Of-Month EV EVA Index 1,109 2,032 450
Flex XP, YP   - - -
Quarterlies SP SPA Index 1,863 1,040 9,900
Weekly (M, W, F) EV1 - EV4 1DA-4DA 10,225 12,143 44,725
NASDAQ     1,187,350 1,555,362 390,683
Futures     1,161,116 1,528,695 267,009
E-mini NQ NQA Index 480,099 550,604 225,917
Micro E-mini MNQ HWB Index 678,129 974,341 41,092
BTIC NQT QNTA Index 2,888 3,750 -
Options     26,234 26,668 123,674
E-mini     24,503 25,242 118,322
Micro E-mini     1731 1,426 5,352
End-Of-Month MQE HIWA Index 462 260 1,221
Quarterlies MNQ HWBA Index 962 853 3,051
Weekly MQ1-MQ4 HWY1-HWY4 Index 307 313 1,080
DOW JONES     249,155 309,699 127,496
Futures     249,095 309,622 126,880
E-mini YM DMA Index 154,792 178,466 108,278
Micro E-mini MYM HWI Index 92,693 130,070 41,092
BTIC YMT YMTA Index 1,610 1,086 -
Options     60 77 616
E-mini     60 77 616
Russell 2000     301,908 363,394 464,178
Futures     297,823 358,164 439,231
E-mini RTY RTYA Index 197,529 199,367 423,773
Micro E-mini M2K HWR Index 96,933 155,379 15,458
BTIC RLT RLBA Index 3,361 3,418 -
Options     4,085 5,230 25,948
E-mini     4,085 5,230 25,948
S&P 400 - MIDCAP     15,620 12,683 42,730
Futures     15,620 12,683 42,730
E-mini ME FAA Index 15,620 12,683 42,730
INTERNATIONAL     35,476 37,652 57,619
Futures     35,476 37,652 57,619
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 35,428 37,580 57,259
Ibovespa IBV IBAA Index 5 9 15
TOPIX TPY TPYA Index 42 62 345
SECTORS     31,260 17,241 2,137,854
Futures     31,260 17,241 2,137,854
Comm. Srvcs. XAZ XASA Index 249 213 26,403
Cons. Discr. XAY IXYA Index 609 631 78,246
Cons. Staples XAP IXRA Index 4,038 1,722 213,536
Energy XAE IXPA Index 4,224 2,633 326,532
Financial XAF IXAA Index 7,354 3,740 463,805
Health Care XAV IXCA Index 1,600 957 118,656
Industrial XAI IXIA Index 2,385 1,363 169,010
Materials XAB IXDA Index 1,492 720 89,288
Real Estate XAR XARA Index 1,202 469 58,103
Technology XAK IXTA Index 1,188 783 97,035
Utilities XAU IXSA Index 1,766 1,312 162,677
Dow Jones Real Estate JR DJEA Index 5,080 2,658 329,591
Nasdaq Biotech BQ DBA Index 73 40 4,972
Russell 1000     5,442 2,353 44,380
Futures     5,442 2,353 44,380
Russell 1000 RS1 RSYA Index 1,080 468 8,240
Russell 1000 Growth RSG RGYA Index 478 263 3,497
Russell 1000 Value RSV RVYA Index 3,884 1,621 32,643
Cryptocurrency     32,046 39,561 25,473
Futures     32,046 39,561 25,473
Bitcoin BTC BTCA Curncy 8,290 11,551 6,817
Micro Bitcoin MBT BMR Curncy 20,590 25,216 14,280
Ether ETH DCRA Curncy 3,063 2,648 2,852
Options     52 73 762
Bitcoin BTC BTCA Curncy 52 73 762

*Through June 30, 2021

ADV and open interest

  • Equity Index futures and options volume averaged 4.6M million contracts per day in June 2021 (-19% vs. May 21).
  • Equity Index open interest averaged 8.1 million contracts per day for the month of June 2021 (+.2% vs. May 21).

Product highlights

Cryptocurrencies:

  • Bitcoin futures and options: June ADV was 8.3K, an increase of 39% vs. June 2020 and open interest averaged 7.6K. Nearly 46.4K Bitcoin options have traded since their launch in early 2020 for a notional value of $4.3B. June average OI was 1.1K, an average daily value of nearly $202M.  
  • 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. Over 1M contracts traded within the first 39 days. June ADV reached 21K and OI averaged 21.3K.
  • 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 265K CME Ether futures contracts have traded since launch (equivalent to 13.2M ether), with a June ADV of 3K (equivalent to 153.2K ether). A record OI of 3,977 was reached on June 1, 2021. 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. Over 818.8M contracts have traded since launch and ADV in June 2021 was 1.5M across the four indices. 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. Micro E-mini Nasdaq-100 options continue to gain ground against their Micro E-mini S&P 500 option counterpart in terms of volume contribution. Combined contracts traded since launch reached 1.56M in June with an ADV of 6.1K.
  • Nasdaq-100 Volatility Index (VOLQ) futures: CME Group launched the Nasdaq-100 Volatility Index (VOLQ) futures on October 5, 2020. In June, 17 trades occurred between the US, APAC, and EMEA with 41% of volume was transacted during non-US hours. 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 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 June, ADV averaged 1,612 (+173% vs. May 2021) and OI averaged 12.8K (+16% vs. May 2021). A record 12,500 contracts ($2.26B notional) were traded on June 15. Open interest reached a record 18.2K contracts ($3.27B notional) on June 17.
  • 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. Since launch, over 170 futures have traded. Please visit the following for further detail:
  • AIR Total Return futures on Nasdaq-100, Russell 1000, Russell 2000, and DJIA: Coming July 26, 2021, pending regulatory approval. Additionally, the existing minimum block quantity will be cut to 250 from 500 on S&P 500 Nasdaq-100 and DJIA TRFs.
  • 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. June 2021 ADV was 5K ($74M notional), +94% vs. May 2021 and OI averaged 207K ($3.1B notional), +7% vs. May 2021.

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