September Equity Index Product Review

Data through September 30, 2022

• Equity Index futures and options volume averaged a record 9.4M contracts per day in September 2022 (+47% vs. Sep-21)
• Equity Index open interest averaged 10.2M contracts per day for the month of September 2022 (+13% vs. Sep-21)

Bitcoin futures and options: Futures ADV in September was 13.3K (+37% vs. Aug-22) and open interest averaged 14.0K (+5% vs. Aug-22). LOIH averaged 95 for the month indicating continued institutional interest. Over 78.7K Bitcoin options have traded since their launch in early 2020 for a notional value of nearly $10B. September average OI was 4.1K, an average daily value of nearly $397M.

Micro Bitcoin futures: Since its launch in May 2021, Micro Bitcoin futures have traded over 6.7M contracts. The futures are 1/10 of a bitcoin and settled to the CF Bitcoin Reference Rate. September ADV was 11.2K (+27% vs. Aug-22) and OI averaged 21.9K (+4% vs. Aug-22).

Micro Bitcoin and Micro Ether options: CME Group introduced options on Micro Bitcoin futures and on Micro Ether futures starting March 28. The new options are right-sized at 1/10 of their respective tokens. Over 345K contracts traded since launch across the various expiries with trades submitted from EMEA, APAC, and North America.

Learn more:

• Landing page
• Fact card
• FAQ

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 2.1M CME Group Ether futures contracts have traded since launch (equivalent to 104M ether). September ADV was 7.8K (26% vs. Aug-22) and open interest averaged 4.5K (+13% vs. Aug-22).

Launched September 12, Ether options offer another way to efficiently manage ether exposure at a 50x multiplier.

Learn more about Ether futures and options here:

• Landing page
• Fact card
• FAQ

Micro Ether futures: Launched December 2021, over 4.1M contracts have traded since launch. ADV in September was 23.7K (+35% vs. Aug-22) and OI averaged a record 52.5K (+9% vs. Jul-22). 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.

Bitcoin Euro and Ether Euro futures: CME Group launch Bitcoin Euro and Ether Euro futures on August 29. The new contracts are designed to match that of their U.S.-denominated counterparts at five bitcoin or 50 ether per contract. The contracts will settle to the respective CME CF Bitcoin-Euro Reference Rate (BTCEUR_RR) and CME CF Ether-Euro Reference Rate (ETHEUR_RR).

Learn more:

• Landing page
• Bitcoin Euro
• Ether Euro
• Cryptocurrency futures FAQ
• Fact card

Micro E-mini futures: Nearly 1.7B Micro E-mini Equity Index futures contracts have traded since launch. September ADV was 3.5M across the four indices. Micro E-mini S&P 500 futures had a record monthly ADV of 1.67M in September.

For more information on Micro E-mini futures, please visit our website here.

Micro E-mini options: CME Group launched Micro E-mini options on the S&P 500 and Nasdaq-100 Indices in 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 5.1M contracts have traded, with a September ADV of 14.1K (+30% vs. Aug-22).

For more information, please visit the following:

• Landing page
• FAQ

E-mini Sector Index futures: Launched August 8, six new Sector Index futures are now available to trade:

• E-mini S&P Regional Banks Select Industry futures
• E-mini S&P Insurance Select Industry futures
• E-mini S&P Biotechnology Select Industry futures
• E-mini S&P Oil & Gas Exploration and Production Select Industry futures
• E-mini S&P Retail Select Industry futures
• E-mini PHLX Semiconductor Sector Index futures

Over 16K contracts have traded since launch. The new futures will be additive to the Sector Index suite available at CME Group offering low-cost index access, capital efficiency, short sector exposure, and much more.

Learn more:

• Landing page
• FAQ
• SER

Equity Sector Index futures September ADV was 33.8K (+262% vs. Aug-22) and OI averaged 224K (+8% vs. Aug-22).

E-mini S&P 500 Tuesday and Thursday options: CME Group launched E-mini S&P 500 Tuesday and Thursday options April 25. The new options offer more opportunities to manage short-term equity exposure with more choices to trade throughout the week. The contracts complement the existing suite of Quarterly, End-of-Month, and Monday, Wednesday, and Friday weekly options. These options settle into liquid E-mini S&P 500 futures, which have averaged nearly 4.2M contracts daily in September. September ADV was 251K between both contracts with over 17.5M contracts traded since launch. Learn more here.

E-mini Nasdaq-100 Tuesday and Thursday options contracts launched on October 3.

Additional detail is available on the following pages:

• Landing page
• FAQ

S&P 500 Dividend futures: Equity Index Dividend futures provide an efficient tool to hedge or express a view on the U.S. dividend market, regardless of the price movement of the benchmark indices. Quarterly and annual contracts are available on the S&P 500 Index. September ADV was 3.8K and open interest averaged 244K. Annual contracts are available on the Nasdaq-100 and Russell 2000 Indices as of April 11, over 12.7K contracts have traded since launch.

Learn more here:

• Landing page
• FAQ
• SER

E-mini S&P 500 options blocks: Participation in ES options blocks continues to grow, allowing market participants to execute large trades with greater efficiency. Over 20M ES options blocks have traded, with September ADV at 87K contracts. NQ options became block eligible starting January 24, with a minimum block threshold of 60 contracts. Over 13K contracts have traded since eligibility.

AIR Total Return futures: Launched September 2020, S&P 500 AIR TRFs offer clients a listed alternative to trading OTC swaps. Client adoption continues to gain momentum as the UMR deadlines approach. ADV in September reached 5.5K (+359% vs. Aug-22) and average OI of 251K (+16% vs. Aug-22) with a record OI of 268K on September 30. Russell 2000 AIR TRF started to trade alongside Russell 2000 Dividend futures.

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 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. CME E-mini S&P 500 ESG futures continue to experience significant growth, with September ADV at 2.8K (+326% vs. Aug-22) and open interest averaging 14K.

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 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 3.6K futures have traded.

Please visit the following for further detail:

• Landing page
• FAQ
• Fact card