January Equity Index Product Review

*Through January 31, 2022

• 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).

• 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.

• Micro Ether futures: Launched December 6, over 641K contracts have traded since launch. ADV in January was 21K (+97% vs. Dec-21) and OI averaged 15.9K (+319% vs. Dec-21). A record 51,450 contracts were traded on January 24, and OI reached 92,070 on January 31. 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.
  • Micro Ether futures landing page
  • Micro Ether futures FAQ
  • Micro Ether futures fact card

• 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

• 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).

• 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:
  • 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 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:
  • 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.
  • 
    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

• 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.