Equity Insights | Q1 2020

  • 7 Apr 2020
  • By CME Group

Recapping the Q1 Equity roll

The Q1 equity roll was the cheapest quarterly roll in over 10 years, trading -29 bps to Libor for E-mini S&P 500 futures (ES). Over 5M ES futures traded as spread contracts in March, which is 48% higher than the average of the last four roll periods.

Market Insights

Turbulent equity markets in Q1

Q1 2020 has been turbulent in terms of equity market condition. Within six weeks in the second half of Q1, the S&P 500 Index fell from all-time highs down to 2,237 points and settled a bit at the end of the quarter. The 30-day implied volatility of E-mini S&P options hit a high of 0.758 in Q1 2020, significantly higher than anything seen in recent history.

Within the period, market-wide circuit breakers were triggered four times. The mechanism helped to slow the rapid market repricing enough to preserve orderly trading in unprecedented conditions.

BTIC on major indices: the wrap-up

Since launching in November 2015, 29.7M contracts ($4T notional) have traded. Basis Trade at Index Close (BTIC) on the major indices averaged 72K contracts per day in 2020. At the end of Q1, market participants turned to BTIC for quarter-end rebalancing with over $13B notional traded on March 31, 2020.

With recently launched BTIC+ and TACO+, market participants can 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

Now available: TACO on Nasdaq-100 and Russell 2000

In addition to E-mini S&P 500 futures, traders can hedge market-on-open orders using Trade at Cash Open (TACO) on two more futures contracts: E-mini Nasdaq-100 and Russell 2000 futures. Now you can better manage the upcoming April and May RUT and NDX options expiry with TACO.

Learn more about TACO

View BTIC and TACO education series

S&P 500 Annual Dividend futures gain traction

Dividend futures allow users the ability to hedge or express their view on the US dividend market, regardless of price movement in the S&P 500 Index. Since their launch in 2015, Dividend futures have been gaining traction with growing open interest. In 2020, ADV is 3,907 contracts and average open interest is 112,101 contracts ($1.63B notional).

Explore S&P 500 Dividend futures

Growing adoption of Total Return Index futures

Adoption in S&P Total Return (SPTR) futures in 2020 continues to accelerate as dealers transition from OTC to listed. YTD ADV is 3,545 contracts with open interest averaging 253,905 contracts ($40.1B notional).

Total Return futures are now available on longer maturities and more indices: Nasdaq-100, Dow Jones, Russell 2000, and Russell 1000.

More on Total Return Index futures

Q1 volume recap

Equity Index futures:

  • Volume: 5.49M ADV
  • Open interest: 4.88M contracts per day  

Equity Index options on futures:

  • Volume: 1.0M ADV
  • Open interest: 4.79M contracts


2020 ADV









NK (Yen)




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Options update

  • Options on Bitcoin futures now trading: New options on Bitcoin futures are gaining greater customer interest and volume. See how it can help you manage bitcoin price risk.
    Learn more
  • Lower S&P 500 options block threshold: With the closing of the trading floor, the block threshold for S&P options on futures ($250 multiplier) has been lowered to 50 contracts to provide greater flexibility. Explore the benefits of our S&P 500 delta-neutral covered futures and options block trades, including no break-up risk, private bilateral negotiation and more.
    Find out more
  • EFRPs on the rise: An EFRP trade is the simultaneous sale or purchase of an exchange futures position and the purchase/sale of a corresponding economically offsetting position. In Q1, CME Group saw Exchange of Options (EOO) utilized during this volatile period.
    Learn more about EFRP transactions