October Equity Index Product Review

Equity Products Performance

 

Product Code

Bloomberg Ticker

Oct ADV

YTD ADV*

Open Interest

Total

   

5,360,713

5,380,928

8,786,755

S&P 500

   

3,109,260

3,110,062

7,018,792

Futures

   

2,238,190

2,440,486

3,064,622

E-mini

ES

ESA Index

1,355,345

1,545,095

2,432,923

Micro E-mini

MES

HWA Index

848,835

854,305

121,402

Standard

SP

SPA Index

18

2,272

380

BTIC

EST

STEA Index

28,543

31,541

-

BTIC+

ES1, ES2

ES1BTIC yyyymmdd Index

 -

2

-

Dividend futures

SDA, SDI

ASDA, ISDA Index

3,219

3,098

251,335

Total Return futures

TRI, CTR

SRTA, CTIA Index

1,543

3,091

252,916

TACO

ESQ

TQA Index

83

127

-

TACO+

EQ1

EQ1TACO yyyymmdd Index

 

-

-

E-mini ESG

ESG

SLBA Index

604

955

5,666

Options

   

871,069

669,576

3,954,170

E-mini

   

860,093

650,321

3,908,980

End-of-month

EW

SCA Index

155,569

95,274

555,526

Quarterlies

ES

ESA Index

89,539

108,053

1,335,377

Weekly (M, W, F)

EW1 - EW4

1EA-4EA Index

614,985

446,993

2,018,077

Micro E-mini

   

10,976

7,450

45,190

End-of-month

EX

HWOA Index

3,418

1,839

9,859

Quarterlies

MES

HWAA Index

6,429

4,276

17,879

Weekly

EX1-EX4

HXS1-HXS4 Index

1,128

1,336

17,452

Standard

   

-

11,805

-

End-of-month

EV

EVA Index

-

1,375

-

Flex

XP, YP

 

-

-

-

Quarterlies

SP

SPA Index

-

922

-

Weekly (M, W, F)

EV1 - EV4

1DA-4DA

-

9,508

-

NASDAQ

   

1,499,644

1,501,644

509,924

Futures

   

1,465,754

1,471,221

339,214

E-mini

NQ

NQA Index

529,550

543,466

255,936

Micro E-mini

MNQ

HWB Index

932,688

924,289

83,278

BTIC

NQT

QNTA Index

3,516

3,466

-

Options

   

33,890

30,423

170,710

E-mini

   

31,871

28,829

164,960

Micro E-mini

   

2018

1,594

5,750

End-Of-Month

MQE

HIWA Index

169

268

2,102

Quarterlies

MNQ

HWBA Index

1,377

963

2,725

Weekly

MQ1-MQ4

HWY1-HWY4 Index

472

363

923

DOW JONES

   

319,594

305,001

140,822

Futures

   

319,441

304,919

138,783

E-mini

YM

DMA Index

173,272

174,385

110,881

Micro E-mini

MYM

HWI Index

145,550

129,537

83,278

BTIC

YMT

YMTA Index

619

998

-

Options

   

153

81

2,039

E-mini

   

153

81

2,039

Russell 2000

   

315,725

353,900

541,332

Futures

   

309,922

348,197

491,207

E-mini

RTY

RTYA Index

166,996

195,144

459,646

Micro E-mini

M2K

HWR Index

139,996

149,942

31,561

BTIC

RLT

RLBA Index

2,930

3,111

-

Options

   

5,803

5,703

25,948

E-mini

   

5,803

5,703

25,948

S&P 400 - MIDCAP

   

12,034

12,499

40,361

Futures

   

12,034

12,499

40,361

E-mini

ME

FAA Index

12,034

12,499

40,361

INTERNATIONAL

   

45,947

38,694

70,532

Futures

   

45,947

38,694

70,532

Nikkei 225

ENY, N1, NK

YMEA, NXA, NHA Index

45,658

38,572

70,290

Ibovespa

IBV

IBAA Index

18

11

56

TOPIX

TPY

TPYA Index

270

111

186

SECTORS

   

10,615

16,552

229,521

Futures

   

10,615

16,552

229,521

Comm. Srvcs.

XAZ

XASA Index

95

188

3,783

Cons. Discr.

XAY

IXYA Index

465

574

4,592

Cons. Staples

XAP

IXRA Index

1,223

1,750

23,899

Energy

XAE

IXPA Index

1,400

2,440

31,429

Financial

XAF

IXAA Index

1,365

3,019

35,052

Health Care

XAV

IXCA Index

1,336

1,212

21,530

Industrial

XAI

IXIA Index

358

1,190

14,112

Materials

XAB

IXDA Index

444

663

10,408

Real Estate

XAR

XARA Index

192

431

6,535

Technology

XAK

IXTA Index

438

746

12,080

Utilities

XAU

IXSA Index

1,362

1,550

23,522

Dow Jones Real Estate

JR

DJEA Index

1,933

2,788

42,300

Nasdaq Biotech

BQ

DBA Index

4

1

279

FTSE

   

7

3

12

Futures

   

7

3

12

FTSE China 50

FT5

FCYA Index

7

3

12

Russell 1000

   

1,012

2,183

44,437

Futures

   

1,012

2,183

44,437

Russell 1000

RS1

RSYA Index

265

523

14,160

Russell 1000 Growth

RSG

RGYA Index

127

239

3,376

Russell 1000 Value

RSV

RVYA Index

620

1,422

26,901

Cryptocurrency

   

45,418

35,497

84,483

Futures

   

45,350

35,430

82,890

Bitcoin

BTC

BTCA Curncy

12,713

10,296

15,207

Micro Bitcoin

MBT

BMRA Curncy

27,177

21,483

62,422

Ether

ETH

DCRA Curncy

5,460

3,651

5,261

Options

   

68

67

1,593

Bitcoin

BTC

BTCA Curncy

68

67

1,593

Other US Indices

   

1,457

4,892

106,539

Futures

   

2,491

5,111

108,071

*Through October 31, 2021

ADV and open interest

  • Equity Index futures and options volume averaged 5.4 million contracts per day in October 2021 (-1% vs. Sep 21)
  • Equity Index open interest averaged 8.8 million contracts per day for the month of October 2021 (-2% vs. Sep 21)

Source: CME Group

Product highlights

Alternative investment:

Cryptocurrencies:

  • Bitcoin futures and options: October ADV was 12.7K, an increase of 67% vs. Sep 2021, and open interest averaged 12.7K. OI reached a record 17,433 on October 25, equivalent to nearly 87.2K bitcoin. Nearly 51.4K Bitcoin options have traded since their launch in early 2020 for a notional value of $5.5B. October average OI was 1.2K (+8% vs. Sep-21), an average daily value of nearly $344M (+42% vs. Sep 2021). 

Source: CME Group

  • Micro Bitcoin futures: On May 3, CME Group launched Micro Bitcoin futures; over 2.7M contracts have traded since launch. The futures are 1/10 of a bitcoin and settled to the CF Bitcoin Reference Rate. October ADV was 27.2K (+31% vs Sep 21) and OI averaged 53.8K (+105% vs. Sep 21). Record open interest occurred on October 26 at 65,656 contracts.

Source: CME Group

  • 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 676K Ether futures contracts have traded since launch (equivalent to 33.8M ether), with an ADV of 5.5K (equivalent to 273K ether) in October.

    Please visit the following for further detail: 

Source: CME Group

Equity Index:

  • Micro E-mini futures: Over 979M contracts have traded since launch. ADV in October was 2.1M across the four indices (+1% vs. Oct 20). Micro E-mini Nasdaq-100 futures continue to contribute the greatest ADV among the four products at 933K in September.

Source: CME Group

View more information on Micro E-mini futures.

  • 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 option counterpart in terms of volume contribution. Over a year later, combined contracts traded since launch reached nearly 2.5M in October with an ADV of 13K (+12% vs Sep 21).

Source: CME Group

  • 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. S&P 500 ESG futures contracts allow market participants to gain price exposure to an index that closely tracks the performance of the S&P 500, while adhering to ESG principles. October ADV was 602, with open interest averaging 14.8K.

Source: CME Group

  • E-mini S&P Europe 350 ESG futures: Launched May 24, 2021, 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 UK 23.58%, France 18.08%, Switzerland 17,16% and Germany 14.90%. The index is based on same robust ESG index methodology 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, over 1.3K futures have traded.

    Please visit the following for further detail:
  • Total Return Futures: CME Group launched the Adjusted Interest Rate (AIR) Total Return futures on September 21, 2020. A record OI of 146,063 occurred on October 29. October ADV was 1,414 and OI averaged 141,875 (+3% vs. Sep 21).

    Please visit the following for further detail:

Source: CME Group

  • 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, US Indices total return equity index exposure with an enhanced floating rate are now accessible.

      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 Index futures: Quarterly and annual S&P 500 Dividend Index futures provide efficient tools to hedge or express a view on the U.S. dividend market. S&P 500 Annual Dividend Index futures reached a record OI on October15 at 245,414. October ADV was 3K (+32% vs. Sep-21) and OI averaged 241.7K (+1% vs. Sep 21).

Source: CME Group

Equity Index Products

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

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