December 2021 Equity Index Product Review

* Through December 31, 2021

• Equity Index futures and options volume averaged 6.8 million contracts per day in December 2021 (+45% vs. Dec-20).
• Equity Index open interest averaged 9.4 million contracts per day for the month of December 2021 (19%% vs. Dec-20).

• Bitcoin futures and options: Futures December ADV was 7.9K and open interest averaged 13K. LOIH averaged 88 in December indicating continued institutional interest. Nearly 55K Bitcoin options have traded since their launch in early 2020 for a notional value of $6.5B. December average OI was 1.9K (+30% vs. Nov-21), an average daily value of nearly $344M.

• Micro Bitcoin futures: On May 3 CME Group launched Micro Bitcoin futures, over 3.7M contracts have traded since launch. The futures are 1/10 of a Bitcoin and settled to the CF Bitcoin Reference Rate. December ADV was 19.1K and OI averaged 38.9K (+25% vs Nov-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 889K CME Ether futures contracts have traded since launch (equivalent to 44.4M Ether), with an ADV of 4.1K in December and OI averaged 4.7K.
  
  Please visit the following for further detail: 
  • Ether futures landing page
  • Ether futures FAQ
  • Ether futures fact card

• Micro Ether futures: Launched December 6, over 208.8K contracts have traded since launch. ADV in December was 11K and OI averaged 12.1K. A record 32,406 contracts were traded on December 15. 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 1.08B Micro E-mini Equity Index futures contracts have traded since launch. ADV in December was 2.5M across the four indices, (+14% vs. Nov-21). Micro E-mini Nasdaq-100 futures remain the greatest contribution to ADV among the four products at 1.1M in December.

• 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 3.1M in December with a record ADV of 15.3K (+9% vs Nov-21). A record 26,412 contracts were traded on December 16.

• 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 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. December ADV was a record 2.4K, with open interest averaging 14.3K.

• 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 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, approximately 230. Since launch, nearly 2.2K 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 the S&P 500 Adjusted Interest Rate (AIR) Total Return futures in September 2020. December ADV was a record 3,682 and OI averaged 152.3K (+3% vs. Nov-21). Record volume and OI of 20,304 and 171,164 occurred on December 13 and 17, respectively.
  
  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: In June 2021 CME Group launched AIR Total Return futures on the FTSE 100 Index. The contract offers 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 in June 2021, market participants can 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 December ADV was 31.3K, an increase of 163% vs. Dec-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 ‒ with December ADV reaching 8.6K.

• E-mini Nasdaq-100 options: Effective as of December 2021, CME Group has adjusted the contract specifications and fees for Bloomberg Commodity Index futures. Fees were lowered, while the minimum price increment and daily settlement were changed to allow participants to more seamlessly access our markets.
  
  Click here for more information.