January Equity Index Product Review

Equity Products Performance

 

Product Code

Bloomberg Ticker

Jan ADV

YTD ADV*

Open Interest

Total

 

 

8,710,183

8,710,179

9,070,704

S&P 500

 

 

4,862,613

4,862,613

7,266,143

Futures

 

 

3,571,067

3,571,067

2,979,806

E-mini

ES

ESA Index

2,054,476

2,054,476

2,330,363

Micro E-mini

MES

HWA Index

1,462,837

1,462,837

165,455

BTIC

EST

STEA Index

42,300

42,300

-

BTIC+

ES1, ES2

ES1BTIC yyyymmdd Index

3

3

50

Dividend Future

SDA, SDI

ASDA, ISDA Index

3,807

3,807

216,900

Total Return Futures

TRI, CTR

SRTA, CTIA Index

5,068

5,068

254,692

TACO

ESQ

TQA Index

367

367

-

TACO+

EQ1

EQ1TACO yyyymmdd Index

 

-

-

E-mini ESG

ESG

SLBA Index

2,210

2,210

12,346

Options

 

 

1,291,547

1,291,547

4,286,337

E-mini

 

 

1,276,414

1,276,414

4,222,790

End-Of-Month

EW

SCA Index

154,504

154,504

408,589

Quarterlies

ES

ESA Index

145,771

145,771

1,538,135

Weekly (M, W, F)

EW1 - EW4

1EA-4EA Index

976,138

976,138

2,276,066

Micro E-mini

 

 

15,133

15,133

63,547

End-Of-Month

EX

HWOA Index

3,217

3,217

12,300

Quarterlies

MES

HWAA Index

9,787

9,787

23,264

Weekly

EX1-EX4

HXS1-HXS4 Index

2,129

2,129

27,983

NASDAQ

 

 

2,640,843

2,640,843

544,463

Futures

 

 

2,591,917

2,591,917

384,853

E-mini

NQ

NQA Index

813,771

813,771

244,288

Micro E-mini

MNQ

HWB Index

1,773,105

1,773,105

140,565

BTIC

NQT

QNTA Index

5,042

5,042

-

Options

 

 

48,926

48,926

159,610

E-mini

 

 

45,028

45,028

151,748

Micro E-mini

 

 

3898

3,898

7,862

End-Of-Month

MQE

HIWA Index

404

404

2,971

Quarterlies

MNQ

HWBA Index

2,871

2,871

4,137

Weekly

MQ1-MQ4

HWY1-HWY4 Index

624

624

754

DOW JONES

 

 

542,347

542,347

118,345

Futures

 

 

542,235

542,235

117,092

E-mini

YM

DMA Index

270,576

270,576

87,921

Micro E-mini

MYM

HWI Index

270,420

270,420

140,565

BTIC

YMT

YMTA Index

1,239

1,239

-

Options

 

 

112

112

1,253

E-mini

 

 

112

112

1,253

Russell 2000

 

 

539,641

539,641

583,851

Futures

 

 

529,711

529,711

522,310

E-mini

RTY

RTYA Index

291,432

291,432

490,750

Micro E-mini

M2K

HWR Index

233,529

233,529

31,560

BTIC

RLT

RLBA Index

4,749

4,749

-

Options

 

 

9,930

9,930

25,948

E-mini

 

 

9,930

9,930

25,948

S&P 400 - MIDCAP

 

 

19,191

19,191

46,063

Futures

 

 

19,191

19,191

46,063

E-mini

ME

FAA Index

19,191

19,191

46,063

INTERNATIONAL

 

 

50,239

50,239

68,343

Futures

 

 

50,239

50,239

68,343

Nikkei 225

ENY, N1, NK

YMEA, NXA, NHA Index

50,041

50,041

68,155

Ibovespa

IBV

IBAA Index

2

2

18

TOPIX

TPY

TPYA Index

197

197

170

SECTORS

 

 

14,545

14,541

222,038

Futures

 

 

14,545

14,541

222,038

Comm. Srvcs.

XAZ

XASA Index

126

126

1,530

Cons. Discr.

XAY

IXYA Index

694

694

4,845

Cons. Staples

XAP

IXRA Index

1,198

1,198

19,846

Energy

XAE

IXPA Index

1,979

1,979

34,222

Financial

XAF

IXAA Index

1,354

1,354

27,794

Health Care

XAV

IXCA Index

957

957

20,692

Industrial

XAI

IXIA Index

1,573

1,573

19,024

Materials

XAB

IXDA Index

785

785

15,353

Real Estate

XAR

XARA Index

451

451

9,012

Technology

XAK

IXTA Index

1,914

1,914

12,137

Utilities

XAU

IXSA Index

1,374

1,374

15,228

Dow Jones Real Estate

JR

DJEA Index

2,131

2,131

42,295

Nasdaq Biotech

BQ

DBA Index

7

3

60

FTSE

 

 

7

7

4

Futures

 

 

7

7

4

FTSE China 50

FT5

FCYA Index

7

7

4

Russell 1000

 

 

1,154

1,154

47,727

Futures

 

 

1,154

1,154

47,727

Russell 1000

RS1

RSYA Index

172

172

16,388

Russell 1000 Growth

RSG

RGYA Index

364

364

4,129

Russell 1000 Value

RSV

RVYA Index

618

618

27,210

Cryptocurrency

 

 

36,480

36,480

50,828

Futures

 

 

36,365

36,365

49,398

Bitcoin

BTC

BTCA Curncy

9,444

9,444

11,619

Micro Bitcoin

MBT

BMRA Curncy

20,911

20,911

33,561

Ether

ETH

DCRA Curncy

6,010

6,010

4,218

MicroEther

ETH

MERA Curncy

21,598

21,598

92,070

Options

 

 

115

115

1,430

Bitcoin

BTC

BTCA Curncy

115

115

1,430

Other US Indices

 

 

3,123

3,123

122,899

Futures

 

 

2,491

5,111

108,071

*Through January 31, 2022

ADV and open interest

  • Equity Index futures and options volume averaged 8.7 million contracts per day in January 2021 (+56% vs. Jan-21).
  • Equity Index open interest averaged 9.1 million contracts per day for the month of January 2021 (+25% vs. Jan-21).

Product highlights

Alternative investment:

Cryptocurrencies:

  • Bitcoin futures and options: Futures January ADV was 9.4K and open interest averaged 11K. LOIH averaged 82 in January indicating continued institutional interest. Nearly 57K Bitcoin options have traded since their launch in early 2020 for a notional value of nearly $7B. January average OI was 1.6K (+16% vs. Dec-21), an average daily value of nearly $328M. 
  • Micro Bitcoin futures: On May 3, CME Group launched Micro Bitcoin futures, over 4.1M contracts have traded since launch. The futures are 1/10 of a Bitcoin and settled to the CF Bitcoin Reference Rate. January ADV was 20.9K (+10% vs. Dec-21) and OI averaged 30K.
  • 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. Over 1M CME Ether futures contracts have traded since launch (equivalent to 50.6M Ether). A record 15,247 contracts were traded on January 24, with an ADV of 6K (+46% vs. Dec-21), and open interest averaging 4K for the month of January.

Equity index:

  • Micro E-mini futures: Over 1.15B Micro E-mini Equity Index futures contracts have traded since launch. January was a record-setting month across the four indices. ADV for the month reached an all-time high of 3.7M (+52% vs. Dec-21) with a record trading day on January 24 with 6,571,375 contracts traded. The following individual records were set:
    • 3,044,472 Micro E-mini Nasdaq-100 futures contracts
    • 2,518,822 Micro E-mini S&P 500 futures contracts
    • 536,616 Micro E-mini Dow Jones Industrial Average futures contracts
    • 471,465 Micro E-mini Russell 2000 futures contracts

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 options counterpart in terms of volume contribution. Over a year later, combined contracts traded since launch reached nearly 3.8M in January with a record ADV of 32.5K (+86% vs Dec-21).

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 as 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. January ADV was 2.2K, with open interest averaging 12.4K.
  • 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, over 2.3K 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 on September 21, 2020. January ADV was a record 4,950 (+34% vs. Dec-21) and OI averaged 152.8K. On January 27, a record 29,500 contracts traded and OI reached 174,757.

    Please visit the following for further detail:
  • 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:
  • Nasdaq-100 Volatility Index futures: On January 10, VOLQ futures underwent a multiplier change reduction from $1,000 to $100, allowing market participants to hedge risk and express a view around Nasdaq-100 at-the-money volatility with more precision. Since the multiplier change implementation, nearly 7.2K contracts have traded and open interest has average 42 contracts. On January 27, a record 1,904 trades were place and open interest reached 140. Learn more here.
  • Nikkei futures: Nikkei 225 futures ADV reached 50K in January (+23% vs Dec-21) and average OI was 62.2K for the month. Nikkei 225 futures can be transacted through MOS (Mutual Offset System). In 2021 about 75% of volume was traded outside of Tokyo cash hours and more than 60% of ADV was traded before the U.S. market open (during non-U.S. hours).
  • Bloomberg Commodity Index: Effective in December, CME Group adjusted the contract specifications and fees for our Bloomberg Commodity Index futures. Fees were lowered, while the minimum price increment and daily settlement were changed to allow participants to access our markets more seamlessly. Click here for more information.

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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Participation in ES options blocks continues to grow, allowing market participants to execute large trades with greater efficiency. Over 6M ES options blocks have traded since launch.

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