March 2022 Equity Index Product Review

Equity products performance

 

Product Code

Bloomberg Ticker

Mar ADV

YTD ADV*

Open Interest

Total

 

 

7,156,677 

7,934,765 

8,581,117 

S&P 500

 

 

4,162,665

4,488,849

6,971,573

Futures

 

 

3,158,054

3,341,583

2,744,010

E-mini

ES

ESA Index

1,841,734

1,921,449

2,129,462

Micro E-mini

MES

HWA Index

1,259,507

1,366,489

100,810

BTIC

EST

STEA Index

41,537

41,181

-  

BTIC+

ES1, ES2

ES1BTIC yyyymmdd Index

15

12

200

Dividend Future

SDA, SDI

ASDA, ISDA Index

6,117

5,062

217,445

Total Return Futures

TRI, CTR

SRTA, CTIA Index

6,679

4,940

282,683

TACO

ESQ

TQA Index

26

236

-  

TACO+

EQ1

EQ1TACO yyyymmdd Index

 

-  

-  

E-mini ESG

ESG

SLBA Index

2,441

2,213

13,410

Options

 

 

1,004,610

1,147,267

4,227,563

E-mini

 

 

993,997

1,133,454

4,179,336

End-Of-Month

EW

SCA Index

104,715

130,076

422,569

Quarterlies

ES

ESA Index

203,314

176,691

1,273,920

Weekly (M, W, F)

EW1 - EW4

1EA-4EA Index

685,968

826,688

2,482,847

Micro E-mini

 

 

10,614

13,813

48,227

End-Of-Month

EX

HWOA Index

2,172

2,781

8,564

Quarterlies

MES

HWAA Index

5,506

8,350

18,426

Weekly

EX1-EX4

HXS1-HXS4 Index

2,936

2,682

21,237

NASDAQ

 

 

2,056,133

2,380,433

491,695

Futures

 

 

2,018,161

2,337,497

314,852

E-mini

NQ

NQA Index

657,188

729,806

226,561

Micro E-mini

MNQ

HWB Index

1,357,364

1,603,701

88,291

BTIC

NQT

QNTA Index

3,609

3,991

-  

Options

 

 

37,971

42,936

176,843

E-mini

 

 

35,429

39,710

170,529

Micro E-mini

 

 

2542

3,226

6,314

End-Of-Month

MQE

HIWA Index

630

574

1,475

Quarterlies

MNQ

HWBA Index

1,483

2,137

4,046

Weekly

MQ1-MQ4

HWY1-HWY4 Index

429

515

793

DOW JONES

 

 

387,462

475,543

80,192

Futures

 

 

387,303

475,420

78,453

E-mini

YM

DMA Index

200,446

240,240

66,316

Micro E-mini

MYM

HWI Index

186,016

234,155

88,291

BTIC

YMT

YMTA Index

841

1,025

-  

Options

 

 

160

123

1,739

E-mini

 

 

160

123

1,739

Russell 2000

 

 

391,766

451,561

544,765

Futures

 

 

385,240

443,301

496,702

E-mini

RTY

RTYA Index

258,274

262,022

479,422

Micro E-mini

M2K

HWR Index

122,311

176,777

17,280

BTIC

RLT

RLBA Index

4,654

4,501

-  

Options

 

 

6,527

8,259

25,948

E-mini

 

 

6,527

8,259

25,948

S&P 400 - MIDCAP

 

 

21,039

18,460

46,321

Futures

 

 

21,039

18,460

46,321

E-mini

ME

FAA Index

21,039

18,460

46,321

INTERNATIONAL

 

 

54,644

52,422

52,612

Futures

 

 

54,644

52,422

52,612

Nikkei 225

ENY, N1, NK

YMEA, NXA, NHA Index

54,442

52,220

52,429

Ibovespa

IBV

IBAA Index

2

2

28

TOPIX

TPY

TPYA Index

201

200

155

SECTORS

 

 

31,345

19,651

201,008

Futures

 

 

31,345

19,651

201,008

Comm. Srvcs.

XAZ

XASA Index

299

187

1,666

Cons. Discr.

XAY

IXYA Index

950

686

5,082

Cons. Staples

XAP

IXRA Index

1,748

1,306

10,953

Energy

XAE

IXPA Index

6,603

3,750

37,307

Financial

XAF

IXAA Index

4,257

2,362

29,028

Health Care

XAV

IXCA Index

2,501

1,434

20,762

Industrial

XAI

IXIA Index

2,086

1,518

15,258

Materials

XAB

IXDA Index

1,074

925

7,825

Real Estate

XAR

XARA Index

785

494

7,280

Technology

XAK

IXTA Index

1,716

1,549

12,060

Utilities

XAU

IXSA Index

3,093

1,967

13,956

Dow Jones Real Estate

JR

DJEA Index

6,225

3,470

39,719

Nasdaq Biotech

BQ

DBA Index

9

2

112

FTSE

 

 

82

55

3

Futures

 

 

82

55

3

FTSE China 50

FT5

FCYA Index

82

55

3

Russell 1000

 

 

4,860

2,520

42,357

Futures

 

 

4,860

2,520

42,357

Russell 1000

RS1

RSYA Index

1,233

552

12,291

Russell 1000 Growth

RSG

RGYA Index

830

582

4,793

Russell 1000 Value

RSV

RVYA Index

2,797

1,386

25,273

Cryptocurrency

 

 

34,254

38,937

31,997

Futures

 

 

29,103

33,781

30,606

Bitcoin

BTC

BTCA Curncy

7,962

8,806

11,898

Micro Bitcoin

MBT

BMRA Curncy

17,142

19,800

15,381

Ether

ETH

DCRA Curncy

3,999

5,175

3,327

MicroEther

ETH

MERA Curncy

16,231

19,078

26,100

Options

 

 

5,151

5,157

1,391

Bitcoin

BTC

BTCA Curncy

97

103

1,391

Other US Indices

 

 

12,426

6,334

118,594

Futures

 

 

2,491

5,111

108,071

 *Through March 31, 2022

ADV and open interest

  • Equity Index futures and options volume averaged 7.2 million contracts per day in March 2022 (+2% vs. Mar. 21).
  • Equity Index open interest averaged 9.5 million contracts per day for the month of March 2022 (+19% vs. Mar. 21).

Source: CME Group

Product highlights

Alternative investments/Cryptocurrencies

Source: CME Group

Bitcoin futures and options: Futures March ADV was 8K and open interest averaged 10.8K. LOIH averaged 81 YTD, indicating continued institutional interest. Over 61.3K Bitcoin options have traded since their launch in early 2020, for a notional value of nearly $7.8B. March average OI was 1.7K, an average daily value of nearly $350M.

Micro Bitcoin futures: Launched May 3, 2021, Micro Bitcoin futures have traded nearly 5M contracts. The futures are 1/10 of a Bitcoin and settled to the CF Bitcoin Reference Rate. March ADV was 17.1K and OI averaged 18.8K (+22% vs. Feb. 21).

Micro Bitcoin and Micro Ether options: CME Group introduced options on Micro Bitcoin futures and options on Micro Ether futures on March 28. The new options are right-sized at 1/10 of their respective tokens. Over 20.2K contracts traded in the first week across the various expiries with trades submitted from EMEA, APAC, and North America.

Learn more here:

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 1.2M Ether futures contracts have traded since launch (equivalent to 56.4M Ether). March ADV was 4K and open interest averaged 3.4K.

Micro Ether futures: Launched December 6, over 1.4M contracts have traded since launch. ADV in March was 16.2K and OI averaged 23.3K. 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 CME CF Ether-Dollar Reference Rate.

Equity Index:

Micro E-mini futures: Nearly 1.3B Micro E-mini Equity Index futures contracts have traded since launch. March ADV was 2.9M across the four indices. Micro E-mini Nasdaq-100 futures has maintained its leading share of ADV at 1.36M in March, followed by Micro E-mini S&P 500 futures at 1.26M.

Source: CME Group

For more information on Micro E-mini futures here.

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. Since launch, a combined 4M contracts have traded, with a March ADV of 13.2K.

Source: CME Group

For more information on Micro E-mini options, visit:

E-mini S&P 500 ESG futures: The Environmental, Social, and Governance (ESG) investment theme continues to gain attention and implementation as the need for capitally efficient ESG solutions has grown. The S&P 500 ESG futures contracts allow market participants to gain price exposure to an index that closely tracks the performance of the S&P 500, while adhering to ESG principles. E-mini S&P 500 ESG futures continue to experience significant growth, with over 5% of volume trading during non-U.S. hours. March ADV was 2.4K, with open interest averaging 13K (+16% vs. Feb. 22).

Source: CME Group

E-mini S&P Europe 350 ESG futures: Launched May 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 UK 23.58%, France 18.08%, Switzerland 17,16% and Germany 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 3.1K futures have traded.

Visit the following for more details:

Total Return futures: CME Group launched the S&P 500 Adjusted Interest Rate (AIR) Total Return futures in September 2020. March ADV was 4.2K (+54% vs. Feb-22) and OI averaged a record 192K (+8% vs. Feb. 22). On March 31, the contracts reached a record OI of 200,514.

Visit the following for further detail:

Source: CME Group

Adjusted Interest Rate (AIR) Total Return futures Expansion:

  • FTSE 100 Adjusted Interest Rate (AIR) total Return futures: On June 7th CME 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 26th, 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, the VOLQ futures multiplier was reduced 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 mutliplier change was implemented, nearly 12.2K contracts have traded. Open interest averaged 50 contracts in March. Learn more here.

Source: CME Group

Nikkei futures: Nikkei 225 futures ADV reached 54.4K in March (+5% vs. Feb. 22), and average OI was 63K for the month. Nikkei 225 futures can be transacted through the 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-US hours).

Source: CME Group

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 seamlessly access our markets. Learn more here.

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