- 17 Jul 2020
- By CME Group
In Q2, the equity market traded over a wide range, from a low in March to within a few percentage points of its all-time high values. Trading continued throughout the quarter back-and-forth, increasing the risk management needs and trading opportunities for market participants.
The roll traded at a slight premium compared to the benchmark interest rate of +8bps vs. ICE Libor, trading cheaper than levels seen over the past couple of years. As the economy is attempting a recovery, we are currently hovering around ICE Libor. As shown in the chart, the Q1 roll was the lowest in over 10 years. The cost efficiency of the futures continued in Q2-2020.
CME Group announced the launch of Micro E-mini S&P 500 and Nasdaq-100 Options, set to launch on August 31, 2020. Passing the one-year anniversary of the launch (May 6, 2019), Micro E-mini futures continue to be the most successful product launch in CME Group History. Over 300M contracts have traded since launch with a Q2-2020 ADV of 1.9M contracts. Both the Micro E-mini S&P 500 and Russell 2000 Futures had record trading days in June of 1.96M and 279K contracts, respectively.
In addition to E-mini S&P 500 futures, you can now hedge market-on-open orders using TACO on two more futures contracts: E-mini Nasdaq-100 and E-mini Russell 2000 futures. Q2-2020 saw the first trades take place for the two new futures for a total volume of 177 and 125 contracts for E-mini Nadsaq-100 and E-mini Russell 2000, respectively.
Dividend futures provides users the ability to hedge or express views on the US dividend market, regardless of price movement in the S&P 500. Since launch in 2015, Dividend Futures have been gaining traction with open interest continuing to grow. In 2020, ADV is 3.6K contracts and average open interest is 130K contracts ($1.78B notional). A Large Open Interest Holder (LOIH) record of 82 was established in June.
Adoption in S&P 500 Total Return (SPTR) futures in 2020 continues to accelerate as dealers transition from OTC swaps to listed futures. Q2-2020 ADV was 3,850 contracts with open interest averaging 220K contracts worth $28.6B notional. June 18th had a record volume of 43,933 contracts ($7B notional).
CME Group expanded our Total Return futures offering to longer maturities, and it now includes Nasdaq-100, Dow Jones, Russell 2000, and Russell 1000.
Equity Index futures:
- Volume: 4.92M ADV
- Open interest: 5.10M contracts per day
Equity Index options on futures:
- Volume: 643K ADV
- Open interest: 4.30M contracts
Futures |
2020 ADV |
|---|---|
ES |
2.3M |
NQ |
602K |
YM |
276K |
RTY |
224K |
NK (Yen) |
57K |
BTC |
8K |
View our recent webinar featuring CME Group and S&P Dow Jones Indices product experts. The panelists share insights into the ESG market and explore the newly- launched E-mini S&P 500 ESG futures.
The newly rebalanced Russell US Indices took effect on Monday, June 29, and will remain in place for 12 months. Review changes in market capitalization, sector composition, company rankings, and style orientation.
- Bitcoin options set records: On May 28th CME set a record of 1.4K contracts traded. OI continues to increase, along with Institutional interest, as a record 9.4K contracts was reached during the week of June 22nd.
Learn more - In response to the temporary closing of the trading floor, CME Group introduced new rules on Block trading for S&P 500 options on futures that are designed to provide greater flexibility and capital efficiency during this period. The minimum block threshold remains at 50 contracts.
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
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