December 2021 Equity Index Product Review

Equity Products Performance

  Product Code Bloomberg Ticker Dec ADV YTD ADV* Open Interest
Total     6,808,499 5,524,895 8,008,845
S&P 500     4,039,223 3,197,847 6,494,396
Futures     3,037,476 2,478,445 2,837,220
E-mini ES ESA Index 1,984,076 1,569,263 2,302,555
Micro E-mini MES HWA Index 997,678 867,471 96,009
Standard SP SPA Index - 1,884 -
BTIC EST STEA Index 43,226 32,381 -
BTIC+ ES1, ES2 ES1BTIC yyyymmdd Index 30 4 350
Dividend Future SDA, SDI ASDA, ISDA Index 3,754 3,077 199,158
Total Return Futures TRI, CTR SRTA, CTIA Index 6,235 3,189 226,373
TACO ESQ TQA Index 21 110 -
TACO+ EQ1 EQ1TACO yyyymmdd Index   - -
E-mini ESG ESG SLBA Index 2,456 1,066 12,775
Options     1,001,747 719,402 3,657,176
E-mini     989,284 701,362 3,607,585
End-Of-Month EW SCA Index 134,261 101,149 361,292
Quarterlies ES ESA Index 184,840 120,373 950,468
Weekly (M, W, F) EW1 - EW4 1EA-4EA Index 670,183 479,840 2,295,825
Micro E-mini     12,464 8,249 49,591
End-Of-Month EX HWOA Index 2,883 2,010 6,882
Quarterlies MES HWAA Index 6,330 4,683 25,041
Weekly EX1-EX4 HXS1-HXS4 Index 3,250 1,556 17,668
Standard     - 9,791 -
End-Of-Month EV EVA Index - 1,141 -
Flex XP, YP   - - -
Quarterlies SP SPA Index - 765 -
Weekly (M, W, F) EV1 - EV4 1DA-4DA - 7,885 -
NASDAQ     1,801,613 1,537,187 372,128
Futures     1,767,423 1,506,039 266,031
E-mini NQ NQA Index 644,524 553,656 208,815
Micro E-mini MNQ HWB Index 1,118,861 948,871 57,216
BTIC NQT QNTA Index 4,039 3,512 -
Options     34,190 31,147 106,097
E-mini     31,331 29,391 99,841
Micro E-mini     2859 1,757 6,256
End-Of-Month MQE HIWA Index 753 321 1,357
Quarterlies MNQ HWBA Index 1,481 1,045 4,166
Weekly MQ1-MQ4 HWY1-HWY4 Index 625 391 733
DOW JONES     350,713 309,207 114,793
Futures     350,551 309,098 113,900
E-mini YM DMA Index 190,978 175,241 98,938
Micro E-mini MYM HWI Index 158,616 132,889 57,216
BTIC YMT YMTA Index 958 968 -
Options     162 109 893
E-mini     162 109 893
Russell 2000     478,962 368,200 533,072
Futures     470,963 362,027 485,802
E-mini RTY RTYA Index 282,158 203,461 466,961
Micro E-mini M2K HWR Index 185,180 155,359 18,841
BTIC RLT RLBA Index 3,626 3,207 -
Options     7,998 6,173 25,948
E-mini     7,998 6,173 25,948
S&P 400 - MIDCAP     19,611 13,210 37,703
Futures     19,611 13,210 37,703
E-mini ME FAA Index 19,611 13,210 37,703
INTERNATIONAL     40,899 38,667 57,178
Futures     40,899 38,667 57,178
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 40,720 38,533 57,101
Ibovespa IBV IBAA Index 3 10 16
TOPIX TPY TPYA Index 177 124 61
SECTORS     29,501 17,077 188,134
Futures     29,501 17,077 188,134
Comm. Srvcs. XAZ XASA Index 305 190 2,005
Cons. Discr. XAY IXYA Index 789 599 3,988
Cons. Staples XAP IXRA Index 2,053 1,677 11,930
Energy XAE IXPA Index 4,151 2,544 26,871
Financial XAF IXAA Index 3,582 2,949 25,984
Health Care XAV IXCA Index 2,789 1,310 19,813
Industrial XAI IXIA Index 1,870 1,181 7,668
Materials XAB IXDA Index 1,537 727 9,169
Real Estate XAR XARA Index 715 429 7,627
Technology XAK IXTA Index 1,825 823 12,665
Utilities XAU IXSA Index 2,395 1,575 13,849
Dow Jones Real Estate JR DJEA Index 7,482 3,073 46,534
Nasdaq Biotech BQ DBA Index 9 0 31
FTSE     6 4 20
Futures     6 4 20
FTSE China 50 FT5 FCYA Index 6 4 20
Russell 1000     5,284 2,370 42,533
Futures     5,284 2,370 42,533
Russell 1000 RS1 RSYA Index 2,271 659 16,107
Russell 1000 Growth RSG RGYA Index 620 264 3,830
Russell 1000 Value RSV RVYA Index 2,393 1,446 22,596
Cryptocurrency     31,162 35,930 60,064
Futures     31,074 35,860 58,097
Bitcoin BTC BTCA Curncy 7,874 10,035 12,177
Micro Bitcoin MBT BMRA Curncy 19,070 21,928 41,713
Ether ETH DCRA Curncy 4,130 3,898 4,207
Options     88 70 1,967
Bitcoin BTC BTCA Curncy 88 70 1,967
Other US Indices     11,526 5,197 108,824
Futures     2,491 5,111 108,071

* Through December 31, 2021

ADV and open interest

  • 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).

Product highlights

Alternative investment:

Cryptocurrencies:

  • 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: 

Equity Index:

  • 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.

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 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.

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 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:
  • 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:
  • 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:
    • 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:
  • 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.

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