September Equity Index Product Review

*Through September 30, 2021

• 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).

• 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).

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

• 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). 

• 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 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:
  • 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 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:
  • 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, 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.

• 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.