July Equity Index Product Review

*Through July 31, 2021

• 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).

• 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.

• 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. 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:
  • Ether futures landing page
  • Ether futures FAQ
  • Ether futures fact card

• 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.

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

• AIR Total Return futures: CME Group launched the Adjusted Interest Rate (AIR) Total Return futures on September 21, 2020. July ADV was 1,620 and open interest averaged 127K ($29.3M notional). Please visit the following for further detail:
  • AIR Total Return futures landing page
  • AIR Total Return futures FAQ

• 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:
    • FTSE 100 AIR futures landing page
    • FTSE 100 AIR futures FAQ
    • FTSE 100 AIR futures fact card
  • 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: 
    • US AIR futures landing page
  • 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.