June Equity Index Product Review

*Through June 30, 2021

• 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).

• 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.

• 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. 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:
  • 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. 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.

• 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 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:
  
  • 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 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:
  • 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: CME Group launched the Adjusted Interest Rate (AIR) Total Return futures on September 21, 2020. June ADV was 1,612 and open interest averaged 126K ($28.1M notional). Record volume and open interest was reached on June 15th with 18.8K contracts traded and open interest of 138.9K. 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: On June 7, CME Group launched AIR Total Return futures on the FTSE 100 Index. 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

• 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.