November Equity Index Product Review

Equity Products Performance

 

Product Code

Bloomberg Ticker

Nov ADV

YTD ADV*

Open Interest

Total

 

 

5,608,669

5,402,171

9,351,201

S&P 500

 

 

3,190,071

3,117,366

7,516,822

Futures

 

 

2,270,568

2,424,971

3,220,277

E-mini

ES

ESA Index

1,375,235

1,529,586

2,517,008

Micro E-mini

MES

HWA Index

862,099

855,016

190,838

Standard

SP

SPA Index

-

2,064

380

BTIC

EST

STEA Index

29,383

31,344

-

BTIC+

ES1, ES2

ES1BTIC yyyymmdd Index

-

2

-

Dividend Future

SDA, SDI

ASDA, ISDA Index

2,150

3,012

249,576

Total Return Futures

TRI, CTR

SRTA, CTIA Index

969

2,898

256,815

TACO

ESQ

TQA Index

35

118

-

TACO+

EQ1

EQ1TACO yyyymmdd Index

 

-

-

E-mini ESG

ESG

SLBA Index

698

931

5,660

Options

 

 

919,503

692,395

4,296,545

E-mini

 

 

907,716

673,822

4,224,088

End-Of-Month

EW

SCA Index

124,921

97,981

512,256

Quarterlies

ES

ESA Index

175,451

114,207

1,930,790

Weekly (M, W, F)

EW1 - EW4

1EA-4EA Index

607,345

461,634

1,781,042

Micro E-mini

 

 

11,786

7,846

72,457

End-Of-Month

EX

HWOA Index

2,803

1,927

22,535

Quarterlies

MES

HWAA Index

7,005

4,525

21,276

Weekly

EX1-EX4

HXS1-HXS4 Index

1,978

1,394

28,646

Standard

 

 

-

10,727

-

End-Of-Month

EV

EVA Index

-

1,250

-

Flex

XP, YP

 

-

-

-

Quarterlies

SP

SPA Index

-

838

-

Weekly (M, W, F)

EV1 - EV4

1DA-4DA

-

8,640

-

NASDAQ

 

 

1,611,601

1,511,800

564,780

Futures

 

 

1,578,733

1,481,037

390,458

E-mini

NQ

NQA Index

559,880

544,964

259,426

Micro E-mini

MNQ

HWB Index

1,015,440

932,611

131,032

BTIC

NQT

QNTA Index

3,413

3,461

-

Options

 

 

32,868

30,763

174,322

E-mini

 

 

30,651

29,112

167,174

Micro E-mini

 

 

2218

1,651

7,148

End-Of-Month

MQE

HIWA Index

390

279

3,297

Quarterlies

MNQ

HWBA Index

1,402

1,003

2,477

Weekly

MQ1-MQ4

HWY1-HWY4 Index

426

369

1,374

DOW JONES

 

 

307,586

305,237

138,754

Futures

 

 

307,263

305,133

135,807

E-mini

YM

DMA Index

167,275

173,736

101,659

Micro E-mini

MYM

HWI Index

139,306

130,429

131,032

BTIC

YMT

YMTA Index

682

969

-

Options

 

 

323

103

2,947

E-mini

 

 

323

103

2,947

Russell 2000

 

 

394,481

357,605

586,691

Futures

 

 

385,546

351,607

521,211

E-mini

RTY

RTYA Index

203,792

195,934

469,805

Micro E-mini

M2K

HWR Index

178,030

152,507

51,406

BTIC

RLT

RLBA Index

3,725

3,167

-

Options

 

 

8,936

5,998

25,948

E-mini

 

 

8,936

5,998

25,948

S&P 400 - MIDCAP

 

 

13,574

12,598

40,778

Futures

 

 

13,574

12,598

40,778

E-mini

ME

FAA Index

13,574

12,598

40,778

INTERNATIONAL

 

 

36,059

38,453

70,128

Futures

 

 

36,059

38,453

70,128

Nikkei 225

ENY, N1, NK

YMEA, NXA, NHA Index

35,854

38,324

69,851

Ibovespa

IBV

IBAA Index

13

11

32

TOPIX

TPY

TPYA Index

192

119

245

SECTORS

 

 

9,307

15,890

236,798

Futures

 

 

9,307

15,890

236,798

Comm. Srvcs.

XAZ

XASA Index

91

179

3,853

Cons. Discr.

XAY

IXYA Index

641

580

3,396

Cons. Staples

XAP

IXRA Index

563

1,641

24,864

Energy

XAE

IXPA Index

1,891

2,390

31,935

Financial

XAF

IXAA Index

1,592

2,888

32,949

Health Care

XAV

IXCA Index

739

1,169

24,928

Industrial

XAI

IXIA Index

368

1,115

14,897

Materials

XAB

IXDA Index

513

649

15,498

Real Estate

XAR

XARA Index

111

402

6,401

Technology

XAK

IXTA Index

538

727

13,818

Utilities

XAU

IXSA Index

972

1,497

23,821

Dow Jones Real Estate

JR

DJEA Index

1,286

2,651

40,165

Nasdaq Biotech

BQ

DBA Index

3

1

273

FTSE

 

 

4

3

3

Futures

 

 

4

3

3

FTSE China 50

FT5

FCYA Index

4

3

3

Russell 1000

 

 

1,171

2,091

47,432

Futures

 

 

1,171

2,091

47,432

Russell 1000

RS1

RSYA Index

321

505

17,133

Russell 1000 Growth

RSG

RGYA Index

147

230

3,234

Russell 1000 Value

RSV

RVYA Index

703

1,356

27,065

Cryptocurrency

 

 

43,216

36,535

36,077

Futures

 

 

43,138

36,467

35,106

Bitcoin

BTC

BTCA Curncy

9,699

10,241

13,251

Micro Bitcoin

MBT

BMRA Curncy

27,614

22,353

16,792

Ether

ETH

DCRA Curncy

5,826

3,873

5,063

Options

 

 

78

68

971

Bitcoin

BTC

BTCA Curncy

78

68

971

Other US Indices

 

 

1,599

4,592

112,938

Futures

 

 

2,491

5,111

108,071

*Through November 30, 2021

ADV and open interest

  • Equity Index futures and options volume averaged 5.6 million contracts per day in November 2021 (+4% vs. Oct-21).
  • Equity Index open interest averaged 9.4 million contracts per day for the month of November 2021 (+7%% vs. Oct-21).

Source: CME Group

Product highlights

Alternative investment:

Cryptocurrencies:

  • Bitcoin futures and options: November ADV was 9.7K and open interest averaged 14K (+11% vs. Oct-21). Over 53.1K Bitcoin options have traded since their launch in early 2020 for a notional value of $6B. November average OI was 1.1K, an average daily value of nearly $326M. 

Source: CME Group

  • Micro Bitcoin futures: On May 3, CME Group launched Micro Bitcoin futures, over 3.3M contracts have traded since launch. The futures are 1/10 of a bitcoin and settled to the CF Bitcoin Reference Rate. November ADV was 27.6K (+2% vs Oct-21) and OI averaged 31.1K.

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 798K CME Ether futures contracts have traded since launch (equivalent to 39.9M Ether), with an ADV of 5.8K (equivalent to 291K Ether) in November (+7% vs. Oct-21), and OI averaged 5.3K (+8% vs. Oct-21).

    Please visit the following for further detail: 

Source: CME Group

Equity Index:

  • Micro E-mini futures: Over 1.03B Micro E-mini Equity Index futures contracts have traded since launch. ADV in November was 2.2M across the four indices, (+2% vs. Oct-21). Micro E-mini Nasdaq-100 futures continue to contribute the greatest ADV among the four products at 997K in November.

Source: CME Group

For more information on 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 in August 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 2.8M in November with an ADV of 14K (+8% vs Oct-21). A record 25,637 contracts were traded on November 26, surpassing the previous record of 24,116 in September 2020.

Source: CME Group

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 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 contracts 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. November ADV was 697, with open interest averaging 14K.

Source: CME Group

  • 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 1.4K futures have traded.

    Please visit the following for further detail:
  • Total Return futures: CME Group launched S&P 500 Adjusted Interest Rate (AIR) Total Return futures on September 21, 2020. November ADV was 874 and OI averaged 147,537 (+4% vs. Oct-21). Another new record OI occurred on November 29 with 149,962 contracts.

    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, now access US indices total return equity index exposure with an enhanced floating rate.

    Learn more here:
  • E-mini Nasdaq-100 options: E-mini Nasdaq-100 options remain a cost-effective way to gain exposure to the Nasdaq-100 Index. Options on E-mini Nasdaq-100 futures November ADV was 30.6K, an increase of 98% vs. Nov-20. The recently launched E-mini Nasdaq-100 Monday and Wednesday Weekly options continue to see increased volumes as participants seek out more precise management of Nasdaq-100 exposure. November ADV was 8.6K (+12% vs. Oct-21). A record 27,425 contracts traded on November 22 between the Monday and Wednesday options.

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.

Learn More

Read More Reports

Review previous months' equity reports over the last year.

View Archived Reports

CoinDesk event: What's next for crypto derivatives?

Tune in to an engaging discussion hosted by CoinDesk with experts from CME Group, Typhon Capital, Galaxy Digital, and Goldman Sachs discussing the latest challenges and opportunities in the crypto derivatives market.

Watch the replay

Article: As factors driving ether increases, a new tool emerges

Micro Ether futures launched in December as a cost-efficient method to assist with managing ether market volatility. Find out what this mean for active retail traders.

Read now

Webinar: Introducing Micro Ether futures

Learn everything you need to know to get started with Micro Ether futures, the newest addition to CME Group's suite of crypto products, including contract fundamentals, recent ether price action, trading examples, and more.

Watch the replay

Article: Answering the liquidity question

Explore what real liquidity look like in the E-mini S&P 500 ESG futures and see why investors are adopting the ESG investment tool around the world.

Read now

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