August Equity Index Product Review

Equity Products Performance

  Product Code Bloomberg Ticker Aug ADV YTD ADV* Open Interest
Total     4,198,902 5,252,290 8,870,190
S&P 500     2,359,422 3,019,025 7,164,909
Futures     1,759,831 2,405,014 3,456,036
E-mini ES ESA Index 1,116,252 1,516,232 2,776,075
Micro E-mini MES HWA Index 615,800 847,565 134,292
Standard SP SPA Index 1,832 2,698 46,458
BTIC EST STEA Index 22,627 31,460 -
BTIC+ ES1, ES2 ES1BTIC yyyymmdd Index - 2 -
Dividend Future SDA, SDI ASDA, ISDA Index 1,360 3,177 245,241
Total Return Futures TRI, CTR SRTA, CTIA Index 1,515 2,930 248,625
TACO ESQ TQA Index 162 141 -
TACO+ EQ1 EQ1TACO yyyymmdd Index   - -
E-mini ESG ESG SLBA Index 283 810 5,345
Options     599,590 614,010 3,708,873
E-mini     582,694 593,245 3,622,937
End-Of-Month EW SCA Index 60,407 84,682 561,491
Quarterlies ES ESA Index 95,884 103,404 1,795,732
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 426,404 405,159 1,265,714
Micro E-mini     6,613 6,726 40,285
End-Of-Month EX HWOA Index 1,199 1,577 4,555
Quarterlies MES HWAA Index 4,193 3,890 15,570
Weekly EX1-EX4 HXS1-HXS4 Index 1,221 1,258 20,160
Standard     10,284 14,040 45,651
End-Of-Month EV EVA Index 531 1,721 -
Flex XP, YP   - - -
Quarterlies SP SPA Index 649 976 18,350
Weekly (M, W, F) EV1 - EV4 1DA-4DA 9,104 11,343 27,301
NASDAQ     1,233,270 1,491,697 513,689
Futures     1,203,706 1,461,973 348,506
E-mini NQ NQA Index 473,871 534,161 230,598
Micro E-mini MNQ HWB Index 727,305 924,354 117,908
BTIC NQT QNTA Index 2,530 3,457 -
Options     29,564 29,725 165,183
E-mini     27,944 28,230 159,287
Micro E-mini     1620 1,495 5,896
End-Of-Month MQE HIWA Index 302 255 2,862
Quarterlies MNQ HWBA Index 1,006 897 2,047
Weekly MQ1-MQ4 HWY1-HWY4 Index 312 343 987
DOW JONES     233,896 294,395 134,116
Futures     233,844 294,328 133,112
E-mini YM DMA Index 134,616 169,549 109,275
Micro E-mini MYM HWI Index 98,670 123,774 117,908
BTIC YMT YMTA Index 558 1,005 -
Options     52 68 1,004
E-mini     52 68 1,004
Russell 2000     299,280 349,395 546,336
Futures     292,660 343,780 502,956
E-mini RTY RTYA Index 165,013 191,961 460,565
Micro E-mini M2K HWR Index 125,310 148,693 42,391
BTIC RLT RLBA Index 2,337 3,126 -
Options     6,620 5,615 25,948
E-mini     6,620 5,615 25,948
S&P 400 - MIDCAP     8,751 11,867 43,452
Futures     8,751 11,867 43,452
E-mini ME FAA Index 8,751 11,867 43,452
INTERNATIONAL     27,352 32,108 79,067
Futures     27,352 32,108 79,067
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 27,158 32,042 78,721
Ibovespa IBV IBAA Index 18 7 30
TOPIX TPY TPYA Index 176 59 316
SECTORS     10,340 13,658 199,960
Futures     10,340 13,658 199,960
Comm. Srvcs. XAZ XASA Index 57 164 1,890
Cons. Discr. XAY IXYA Index 427 508 3,174
Cons. Staples XAP IXRA Index 1,259 1,413 22,163
Energy XAE IXPA Index 1,296 2,095 22,886
Financial XAF IXAA Index 1,037 2,999 28,631
Health Care XAV IXCA Index 1,155 773 12,552
Industrial XAI IXIA Index 745 1,083 16,611
Materials XAB IXDA Index 427 318 9,393
Real Estate XAR XARA Index 413 376 9,841
Technology XAK IXTA Index 356 629 9,885
Utilities XAU IXSA Index 1,482 1,089 18,243
Dow Jones Real Estate JR DJEA Index 1,669 2,177 44,438
Nasdaq Biotech BQ DBA Index 18 34 253
FTSE     10 2 21
Futures     10 2 21
FTSE China 50 FT5 FCYA Index 10 2 21
Russell 1000     557 1,791 49,921
Futures     557 1,791 49,921
Russell 1000 RS1 RSYA Index 338 363 14,528
Russell 1000 Growth RSG RGYA Index 65 204 3,234
Russell 1000 Value RSV RVYA Index 155 1,224 32,159
Cryptocurrency     24,273 33,682 25,744
Futures     24,226 33,616 25,028
Bitcoin BTC BTCA Curncy 6,462 10,330 6,362
Micro Bitcoin MBT BMRA Curncy 13,436 20,277 14,637
Ether ETH DCRA Curncy 4,328 3,009 4,029
Options     47 66 716
Bitcoin BTC BTCA Curncy 47 66 716
Other US Indices     1,752 4,669 112,975
Futures     2,491 5,111 108,071

*Through August 31, 2021

ADV and open interest

  • Equity Index futures and options volume averaged 4.2M million contracts per day in August 2021 (+2% vs. August 20).
  • Equity Index open interest averaged 8.9 million contracts per day for the month of August 2021 (10% vs. July 21).

Product highlights

Alternative investment:

Cryptocurrencies:

  • Bitcoin futures and options: August ADV was 6.5K, a decrease of 10% vs. July 2021 and open interest averaged 7.1K. Over 48.4K Bitcoin options have traded since their launch in early 2020 for a notional value of $4.7B. August average OI was 826, an average daily value of nearly $189M (+12% vs. July-2021).
  • Micro Bitcoin futures: On May 3, CME Group launched Micro Bitcoin futures, over 1.7M contracts have traded since launch. The new futures are 1/10 of a Bitcoin and settled to the CF Bitcoin Reference Rate. August ADV was 13.4K and OI averaged 20.6K (+11% vs. July 2021). 
  • 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 455K CME Ether futures contracts have traded since launch (equivalent to 22.8M Ether), with an ADV of 4.3K (equivalent to 216K Ether) in August.

    Please visit the following for further detail: 

Equity Index:

  • Micro E-mini futures: Over 890.7M contracts have traded since launch. ADV in August 2021 was 1.6M across the four indices, +7% vs. August 2020. Micro E-mini Nasdaq-100 futures continue to contribute the greatest ADV among the four products at 727K in August.

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. Over a year later, the combined contracts traded since launch reached 1.94M in August with an ADV of 8.2K. 

For more information, please visit the following:

  • E-mini S&P 500 ESG futures: Environmental, Social, and Governance (ESG) is an investment theme that has gained 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. Q3-21 ADV is averaging 388 and OI is averaging 13K (+14% vs. Q2-21). 
  • 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 in more than 15 different countries. The four largest individual country weights (as of April 8, 2021) are the UK at 23.58%, France at 18.08%, Switzerland at 17.16%, and Germany at 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 233 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 contract 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.

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