Equity Insights | Q1 2020

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.

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.

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

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

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

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