November Equity Index Product Review

*Through November 30, 2021

• 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).

• 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. 

• 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.

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

• Micro Ether futures: CME announced the launch of Micro Ether futures coming December 6^th, pending regulatory review. Sized at 1/10 of one ether, the contract provides an efficient, cost-effective way to manage exposure to one of the largest cryptocurrencies by market capitalization. Enjoy the same features of the larger Ether futures (ETH) at a fraction of the size, settled to the regulated CME CF Ether-Dollar Reference Rate.
  
  Please visit the following for further detail: 
  • Micro Ether futures landing page
  • Micro Ether futures FAQ
  • Micro Ether futures fact card

• 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.

• 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.

• 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.

• 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:
  • 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 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:
  • 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.
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  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, 2021, now access US indices total return equity index exposure with an enhanced floating rate.
  
  Learn more here:
  • US AIR futures landing page

• 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.