September Equity Index Product Review

Equity Products Performance

  Product Code Bloomberg Ticker Sep ADV YTD ADV* Open Interest
Total    

6,374,654

5,382,570

8,347,555

S&P 500    

3,834,782

3,110,152

6,758,036

Futures    

2,924,819

2,463,083

3,063,504

E-mini ES ESA Index

1,964,369

1,566,290

2,457,062

Micro E-mini MES HWA Index

913,371

854,916

106,218

Standard SP SPA Index

1,135

2,523

380

BTIC EST STEA Index

35,190

31,876

-

BTIC+ ES1, ES2 ES1BTIC yyyymmdd Index -

2

-
Dividend Future SDA, SDI ASDA, ISDA Index

2,349

3,085

250,317

Total Return Futures TRI, CTR SRTA, CTIA Index

5,926

3,264

243,867

TACO ESQ TQA Index

58

132

-

TACO+ EQ1 EQ1TACO yyyymmdd Index   - -
E-mini ESG ESG SLBA Index

2,420

995

5,660

Options    

909,963

647,069

3,694,532

E-mini    

894,438

626,889

3,652,107

End-Of-Month EW SCA Index

119,219

88,539

525,996

Quarterlies ES ESA Index

163,543

110,121

1,036,821

Weekly (M, W, F) EW1 - EW4 1EA-4EA Index

611,676

428,228

2,089,290

Micro E-mini    

9,684

7,056

42,425

End-Of-Month EX HWOA Index

2,338

1,662

7,203

Quarterlies MES HWAA Index

5,188

4,035

23,935

Weekly EX1-EX4 HXS1-HXS4 Index

2,158

1,359

11,287

Standard    

5,841

13,124

-

End-Of-Month EV EVA Index -

1,529

-
Flex XP, YP   - - -
Quarterlies SP SPA Index

1,418

1,025

-

Weekly (M, W, F) EV1 - EV4 1DA-4DA

4,423

10,570

-

NASDAQ    

1,580,592

1,501,735

437,168

Futures    

1,550,236

1,471,832

284,392

E-mini NQ NQA Index

631,374

545,020

226,349

Micro E-mini MNQ HWB Index

915,375

923,351

58,043

BTIC NQT QNTA Index

3,487

3,461

-

Options    

30,356

29,904

152,776

E-mini    

28,395

28,357

146,082

Micro E-mini    

1961

1,547

6,694

End-Of-Month MQE HIWA Index

468

279

1,333

Quarterlies MNQ HWBA Index

1,078

917

4,153

Weekly MQ1-MQ4 HWY1-HWY4 Index

414

351

1,208

DOW JONES    

374,747

303,371

116,203

Futures    

374,627

303,297

115,139

E-mini YM DMA Index

213,961

174,510

98,210

Micro E-mini MYM HWI Index

159,352

127,748

58,043

BTIC YMT YMTA Index

1,315

1,040

-

Options    

120

73

1,064

E-mini    

120

73

1,064

Russell 2000    

427,900

358,164

508,529

Futures    

421,599

352,473

461,247

E-mini RTY RTYA Index

248,603

198,288

440,120

Micro E-mini M2K HWR Index

169,825

151,053

21,127

BTIC RLT RLBA Index

3,172

3,131

-
Options    

6,300

5,692

25,948

E-mini    

6,300

5,692

25,948

S&P 400 - MIDCAP    

17,994

12,551

41,715

Futures    

17,994

12,551

41,715

E-mini ME FAA Index

17,994

12,551

41,715

INTERNATIONAL    

55,156

37,884

72,563

Futures    

55,156

37,884

72,563

Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index

54,960

37,780

72,332

Ibovespa IBV IBAA Index

10

10

64

TOPIX TPY TPYA Index

186

94

167

SECTORS    

32,908

17,252

225,542

Futures    

32,908

17,252

225,542

Comm. Srvcs. XAZ XASA Index

409

198

3,294

Cons. Discr. XAY IXYA Index

760

586

3,486

Cons. Staples XAP IXRA Index

3,635

1,808

25,482

Energy XAE IXPA Index

4,870

2,557

31,410

Financial XAF IXAA Index

3,745

3,203

26,229

Health Care XAV IXCA Index

3,371

1,198

25,152

Industrial XAI IXIA Index

2,096

1,283

14,145

Materials XAB IXDA Index

1,088

687

6,883

Real Estate XAR XARA Index

677

458

6,045

Technology XAK IXTA Index

1,609

780

12,355

Utilities XAU IXSA Index

3,848

1,571

27,036

Dow Jones Real Estate JR DJEA Index

6,756

2,884

43,772

Nasdaq Biotech BQ DBA Index

43

37

253

FTSE    

8

3

41

Futures    

8

3

41

FTSE China 50 FT5 FCYA Index

8

3

41

Russell 1000    

5,891

2,314

47,396

Futures    

5,891

2,314

47,396

Russell 1000 RS1 RSYA Index

1,700

552

13,512

Russell 1000 Growth RSG RGYA Index

558

251

3,195

Russell 1000 Value RSV RVYA Index

3,632

1,511

30,689

Cryptocurrency    

34,567

33,867

39,538

Futures    

34,495

33,800

38,727

Bitcoin BTC BTCA Curncy

7,610

10,026

7,276

Micro Bitcoin MBT BMRA Curncy

20,669

20,354

27,063

Ether ETH DCRA Curncy

6,216

3,420

4,388

Options    

72

67

811

Bitcoin BTC BTCA Curncy

72

67

811

Other US Indices    

10,109

5,276

100,824

Futures    

2,491

5,111

108,071

*Through September 30, 2021

ADV and open interest

  • Equity Index futures and options volume averaged 6.3 million contracts per day in September 2021 (+52% vs. Aug-21).
  • Equity Index open interest averaged 9 million contracts per day for the month of September 2021 (+1% vs. Aug-21).

Product highlights

Alternative investment:

Cryptocurrencies:

  • Bitcoin futures and options: September ADV was 7.6K, an increase of 18% vs. Aug-2021, and open interest averaged 7.1K. Nearly 50K Bitcoin options have traded since their launch in early 2020 for a notional value of $5.1B. September average OI was 1K, an average daily value of nearly $242M (+28% vs. Aug-2021). 
  • Micro Bitcoin futures: On May 3, CME Group launched Micro Bitcoin futures and nearly 2.2M contracts have traded since launch. The futures are 1/10 of a Bitcoin and settled to the CF Bitcoin Reference Rate. September ADV was 20.7K (+54% vs Aug-21) and OI averaged 26.2K (+27% vs. Aug-21).
  • 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 561K CME Ether futures contracts have traded since launch (equivalent to 28M Ether), with an ADV of 6.2K (equivalent to 311K Ether) in September (+44% vs Aug-21).

    Please visit the following for further detail: 

Equity Index:

  • Micro E-mini futures: Over 936M contracts have traded since launch. ADV in September was 2.2M across the four indices, +38% vs. Aug-21. Micro E-mini Nasdaq-100 futures continue to contribute the greatest ADV among the four products at 915K in September.

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, combined contracts traded since launch reached nearly 2.2M in September with an ADV of 11.6K (+41% vs Aug-21). 
  • 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. September was a record ADV and average OI month at 2,369 and 16.5K, respectively. September 14 had a record 18K trades and OI of 22K. 
  • 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 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 S&P 500 ESG index, and is right sized in terms of number of constituents at around 230. Since launch, nearly 1.3K futures have traded.

    Please visit the following for further detail:
  • Total Return Futures: CME launched the Adjusted Interest Rate (AIR) Total Return Futures on September 21, 2020. A record OI of 140,766 occurred on September 9, and ADV was a record 3,337 for Sep (+183% vs. Aug-21) with OI averaging 137,443 (+5% vs. Aug-21)..

    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, 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.
  • E-mini S&P 500 Select Sector futures: E-mini S&P 500 Select Sector futures reached a record trading day on September 13 at 176.8K, while OI reached 266.9K on September 14. September ADV was 26K (+202% vs. Aug-21) with OI averaging 203K.

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

Article: For crypto traders, a signal to watch and a new way to trade

Bitcoin and ether volatility have raised awareness of basis, the difference between spot and futures market prices. Read more about cryptocurrency basis and see how it can provide investors an indication of turning points in the market.

Read the article

Q&A: Exchange leaders discuss China’s evolving markets

Leaders from CME Group, FTSE Russell and Singapore Exchange discuss the changing nature of managing risks across borders.

Access the interview

Research: Impact of fiscal, monetary policy on equities and economy

As the Fed prepares to wind down asset purchases, here's a look at how monetary and fiscal policies impact equities and the economy. 

Read the article

E-mini S&P 500 (ES) Options

Equity block trading continues to gain momentum with over 1.5M ES options have traded via blocks since June with September ADV reaching a new record of 49.3K contracts. 

More on equity options blocks

Sign up for ES options block alerts