July Equity Index Product Review

Equity Products Performance

 

Product Code

Bloomberg Ticker

July ADV

YTD ADV*

Open Interest

Total

 

 

4,767,595

5,416,947

8,405,880

S&P 500

 

 

2,727,008

3,119,103

6,808,771

Futures

 

 

2,073,534

2,502,905

3,290,103

E-mini

ES

ESA Index

1,338,916

1,576,919

2,677,856

Micro E-mini

MES

HWA Index

699,527

882,729

92,083

Standard

SP

SPA Index

2,536

2,829

27,722

BTIC

EST

STEA Index

27,165

32,800

-  

BTIC+

ES1, ES2

ES1BTIC yyyymmdd Index

2

2

-  

Dividend Future

SDA, SDI

ASDA, ISDA Index

3,181

3,453

240,372

Total Return Futures

TRI, CTR

SRTA, CTIA Index

1,667

3,144

246,725

TACO

ESQ

TQA Index

103

138

-  

TACO+

EQ1

EQ1TACO yyyymmdd Index

 

-  

-  

E-mini ESG

ESG

SLBA Index

436

891

5,345

Options

 

 

653,475

616,198

3,518,668

E-mini

 

 

634,653

594,846

3,433,407

End-Of-Month

EW

SCA Index

101,860

88,365

500,195

Quarterlies

ES

ESA Index

81,454

104,545

1,371,961

Weekly (M, W, F)

EW1 - EW4

1EA-4EA Index

451,339

401,936

1,561,251

Micro E-mini

 

 

7,788

6,743

39,215

End-Of-Month

EX

HWOA Index

2,167

1,635

4,243

Quarterlies

MES

HWAA Index

4,716

3,844

17,298

Weekly

EX1-EX4

HXS1-HXS4 Index

905

1,264

17,674

Standard

 

 

11,035

14,610

46,046

End-Of-Month

EV

EVA Index

1,134

1,902

400

Flex

XP, YP

 

-  

-  

-  

Quarterlies

SP

SPA Index

938

1,025

14,700

Weekly (M, W, F)

EV1 - EV4

1DA-4DA

8,962

11,683

30,946

NASDAQ

 

 

1,370,738

1,528,624

442,096

Futures

 

 

1,338,558

1,501,158

301,793

E-mini

NQ

NQA Index

500,234

543,309

225,512

Micro E-mini

MNQ

HWB Index

835,625

954,251

76,281

BTIC

NQT

QNTA Index

2,699

3,598

-  

Options

 

 

32,180

27,466

140,303

E-mini

 

 

30,410

25,990

134,572

Micro E-mini

 

 

1770

1,476

5,731

End-Of-Month

MQE

HIWA Index

178

248

1,867

Quarterlies

MNQ

HWBA Index

1,043

880

3,010

Weekly

MQ1-MQ4

HWY1-HWY4 Index

549

347

854

DOW JONES

 

 

267,411

303,574

125,004

Futures

 

 

267,379

303,504

124,349

E-mini

YM

DMA Index

153,490

174,849

106,211

Micro E-mini

MYM

HWI Index

112,893

127,582

76,281

BTIC

YMT

YMTA Index

996

1,073

-  

Options

 

 

31

70

655

E-mini

 

 

31

70

655

Russell 2000

 

 

319,235

356,999

531,063

Futures

 

 

312,402

351,536

490,225

E-mini

RTY

RTYA Index

176,468

196,050

457,689

Micro E-mini

M2K

HWR Index

133,705

152,240

32,536

BTIC

RLT

RLBA Index

2,229

3,246

-  

Options

 

 

6,833

5,462

25,948

E-mini

 

 

6,833

5,462

25,948

S&P 400 - MIDCAP

 

 

10,313

12,340

43,900

Futures

 

 

10,313

12,340

43,900

E-mini

ME

FAA Index

10,313

12,340

43,900

INTERNATIONAL

 

 

33,013

36,980

64,111

Futures

 

 

33,013

36,980

64,111

Nikkei 225

ENY, N1, NK

YMEA, NXA, NHA Index

32,908

36,904

63,895

Ibovespa

IBV

IBAA Index

4

9

23

TOPIX

TPY

TPYA Index

101

68

193

SECTORS

 

 

8,899

15,731

199,960

Futures

 

 

8,899

15,731

199,960

Comm. Srvcs.

XAZ

XASA Index

50

189

1,890

Cons. Discr.

XAY

IXYA Index

316

585

3,174

Cons. Staples

XAP

IXRA Index

1,066

1,627

22,163

Energy

XAE

IXPA Index

1,111

2,413

22,886

Financial

XAF

IXAA Index

1,760

3,454

28,631

Health Care

XAV

IXCA Index

497

890

12,552

Industrial

XAI

IXIA Index

565

1,247

16,611

Materials

XAB

IXDA Index

365

367

9,393

Real Estate

XAR

XARA Index

220

433

9,841

Technology

XAK

IXTA Index

383

725

9,885

Utilities

XAU

IXSA Index

914

1,254

18,243

Dow Jones Real Estate

JR

DJEA Index

1,618

2,507

44,438

Nasdaq Biotech

BQ

DBA Index

35

39

253

FTSE

 

 

6

1

33

Futures

 

 

6

1

33

FTSE China 50

FT5

FCYA Index

6

1

33

Russell 1000

 

 

350

2,063

45,012

Futures

 

 

350

2,063

45,012

Russell 1000

RS1

RSYA Index

123

418

8,933

Russell 1000 Growth

RSG

RGYA Index

66

235

3,403

Russell 1000 Value

RSV

RVYA Index

160

1,410

32,676

Cryptocurrency

 

 

28,131

36,421

37,859

Futures

 

 

28,084

36,352

36,588

Bitcoin

BTC

BTCA Curncy

7,171

 10,917

7,321

Micro Bitcoin

MBT

BMR Curncy

17,565

22,666

25,778

Ether

ETH

DCRA Curncy

3,348

2,769

3,489

Options

 

 

47

69

1,271

Bitcoin

BTC

BTCA Curncy

47

69

1,271

Other US Indices

 

 

2,491

5,111

108,071

Futures

 

 

2,491

5,111

108,071

*Through July 31, 2021

ADV and open interest

  • Equity Index futures and options volume averaged 4.8M million contracts per day in July 2021 (+5% vs. June 21).
  • Equity Index open interest averaged 8.1 million contracts per day for the month of July 2021 (-0.1% vs. June 21).

Product highlights

Cryptocurrencies:

  • Bitcoin futures and options: July ADV was 7.2K, a decrease of 3% vs. July 2020 and open interest averaged 7.5K. Nearly 47.4K Bitcoin options have traded since their launch in early 2020 for a notional value of $4.5B. July average OI was 1.1K, an average daily value of nearly $169M. 
  • Micro Bitcoin futures: On May 3 CME launched Micro Bitcoin futures, over 1.4M contracts have traded since launch. The new futures are 1/10 of a Bitcoin and settled to the CF Bitcoin Reference Rate. July ADV reached 17.6K and OI averaged 18.6K.
  • 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. Over 335K CME Ether futures contracts have traded since launch (equivalent to 16.8M Ether), with a July ADV of 3.3K (equivalent to 168K Ether). Please visit the following for further detail:

Equity Index:

  • Micro E-mini futures: Over 856.2M contracts have traded since launch and ADV in July 2021 was 1.8M across the four indices, +19% vs. June 2021. Micro E-mini Nasdaq-100 futures continue to contribute the greatest ADV among the four products at 836K in July.

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 options counterpart in terms of volume contribution. Combined contracts traded since launch reached 1.76M in July with an ADV of 9.6K, +28% vs. June 2021.
  • 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 contract 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 July, ADV averaged 433 (+139% vs. July 2020) and OI averaged 12.8K (+231% vs. July 2020).
  • 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 the 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 the S&P 500 ESG Index and is right sized in terms of number of constituents at around 230. Since launch, over 230 futures have traded. Please visit the following for further detail:
  • Adjusted Interest Rate (AIR) Total Return futures expansion:

    • 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:
    • Nasdaq-100, Russell 1000, Russell 2000, and DJIA AIR Total Return futures: Launched July 26, 2021, now access US indices total return equity index exposure with an enhanced floating rate. Learn more here: 
    • Minimum block quantity: Reduced to 250 from 500 on S&P 500, Nasdaq-100, and DJIA TRFs ‒ effective July 26, 2021.
  • S&P 500 Dividend futures: Listed in 2015, Dividend futures provide market participants with efficient tools to hedge a view on the US dividend market. July 2021 ADV was 2.9K ($43.5M notional), and OI averaged 224K ($3.3B notional). S&P 500 Quarterly Dividend futures saw a record trade day of 2,352 contracts on July 27. July ADV was 261 with an average OI of 4K.

Equity Index Products

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

Learn More

Read More Reports

Review previous months' equity reports over the last year.

View Archived Reports

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OpenMarkets:  As inflation surges, investors look for hedges

The latest Consumer Price Index (CPI) report showed inflation rising at its fastest pace since August 2008. Read about two options for investors seeking to hedge their exposure against inflation.

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OpenMarkets: The Dow Jones Industrial Average turns 125

The Dow Jones Industrial Average, often viewed as a bellwether of the US economy, marked 125 years in May. Watch a Q&A session featuring Jamie Farmer, Chief Commercial Officer with S&P Dow Jones Indices, as he discusses the evolution of the index.

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OpenMarkets: Why to watch small caps in the rebound

Take a look at the growth in the Russell Indexes and how traders can use Micro E-mini futures to manage risk with Russell 2000 increasing YTD even more than other indexes.

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OpenMarkets: How the long tech rally evolved

As the Nasdaq-100 continues its 17-month rally from March 2020 lows, read about the increasing use of Micro E-mini Nasdaq-100 futures as a hedge.

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Meet Micro E-mini options: over 1.75M contracts traded

The introduction of Micro E-mini S&P 500 and Nasdaq-100 options in August 2020 expanded choices for managing risk around significant market events with greater granularity.

Learn more