Equity Insights | Q3 2019

Since their first trade date in May, Micro E-mini futures have been the most successful product launch in CME Group history. We have seen over 58M contracts traded since launch with an ADV of 623K ($9B notional) in Q3 2019.

New and returning customers continue to turn to Micro E-mini futures to help manage risk during periods of market uncertainty and add more precision to their trading strategies.

More on Micro E-mini Equity Futures

Volatility stayed elevated in August, bleeding into September due to the trade war. We saw the roll trade +13.5 bps to ICE LIBOR, slightly higher than the second quarter average. Chatter from the sell-side indicated that while this was rich compared to Q2, financing seemed cheap relative to their assumptions.

Trade war rhetoric has been toned down since mid-September but will most likely flair up in late 2019. Volatility continues to remain at elevated levels with the continued uncertainty around tariffs with China.

With the growth in demand for sustainable investing, CME Group plans to launch the E-mini S&P 500 ESG Index futures in November, pending all regulatory approval.

Market participants will be able to access a new derivative solution for sustainable investing, allowing them to align financial goals with environmental, social, and governance values. 

Explore E-mini S&P 500 ESG futures

Basis Trade at Index Close (BTIC) on major indices have traded 22.58M contracts ($2.99T notional) since the November 2015 launch, averaging 41K contracts per day in 2019.

In Q3 2019, BTIC on Major Indices averaged 45K contracts traded per day, which is +21% QoQ. On average, BTIC represented a record 40% of the market-on-close volume at NYSE and Nasdaq in Q3.

T+ Trading is here with BTIC+ and TACO+
BTIC+ and TACO+ are now available at CME Group. These futures contracts allow market participants to execute a basis trade on E-mini S&P 500 futures relative to the official closing, or opening, of the S&P 500 cash index level for a given trading session, days in advance.

More on BTIC

E-mini Nasdaq-100 futures (NQ), which allows customers to efficiently hedge tech exposure, had a robust Q3 2019, averaging 481K contracts (+25% vs. Q3-2018). This is driven largely by the 11% (~800 points) trading range in the quarter, resulting in several large directional moves.

BTIC on Nikkei 225 futures has been gaining traction since February 2019 launch.

• Q3 has been the best quarter, with 2,404 contracts traded, +125% from Q1 and +265% from Q2. 
• 40.5% of the trading volume, on average, has been driven by banks (non-market makers).
• 77 % traded on screen, while both Yen Nikkei 225 and Dollar Nikkei 225 BTIC printed off-screen transactions from Q1.