Equity Insights | Q1 2021

  • 15 Apr 2021
  • By CME Group

Q1 market insights: Small-cap outperforms

Looking back at Q1 2020, the global equity market was impacted by the rapid proliferation of COVID-19, leading to widespread economic disruption and uncertainty. The market has since recovered, with volatility subsiding substantially. The Nasdaq-100 and Russell 2000 Indices continue to enjoy rapid repricing as overperformed and underperformed sectors of the stock market were repriced at the beginning of 2021. Specifically, the Russell 2000 small cap has far outpaced other major indices in volume and Q1 E-mini Russell 2000 futures ADV increased by nearly 20% to 223K.

Recapping the Q1 equity roll

The Mar/Jun roll decreased from the Q4-2020 high of +64bps to +33bps. While the level is less than the previous quarter, it was higher than the 2019 and 2020 Q1 rolls at +6bps and -33bps, respectively. The running four-quarter moving average is gaining traction (+31bps), further warranting attention on implied financing heading into Q2.

Source: CME Group

Cryptocurrencies are off to a strong start in 2021

Bitcoin futures (BTC) Q1-2021 ADV was 13.5K (+43% vs. Q1-2020) and open interest averaged 10.4K (52K equivalent bitcoin). The number of large open interest holders (LOIH) has averaged 85 in 2021, continuing to indicate strong institutional interest.

New product highlight:

  • Recently launched: Ether futures (ETH) traded over 29K contracts since launch, equivalent to nearly 1.5M ether.
  • Coming May 3: Micro Bitcoin futures (MBT) will be available for trading, subject to regulatory review. At 1/10 the size of one bitcoin, these contracts provide an efficient, cost-effective new way to fine-tune bitcoin exposure.

Explore Micro Bitcoin futures

Micro E-mini futures options: 1M+ contracts traded

Average daily volume for the Micro E-mini S&P 500 and Nasdaq-100 options reached 7.4K in Q1-2021 (+20% vs. Q4-2020). Total volume traded since launch exceeded 1M contracts in March and a record 1,948 contracts were traded on March 25 for Micro E-mini Nasdaq-100 options.

Trading activity in the underlying Micro E-mini futures continue to be strong with ADV at nearly 2.5M in Q1-2021 across all four indices. A record 5.07M contracts traded on March 4.

More on Micro E-mini futures

Learn about Micro E-mini options

Now trading: Nasdaq Veles California Water Index (NQH2O) futures

The NQH2O futures contract is a first-of-its-kind regulated risk management tool to manage water supply and demand risk. Growing top-of-book size, 3-6 contracts, and decreasing spreads, 1-4 ticks wide. Since launch, 562 lots have traded, equivalent to 5.6K-acre feet or 1.83M gallons of water.

AIR Total Return futures gain traction

Since the launch of Adjusted Interest Rate (AIR) S&P 500 Total Return futures, we have seen clients embracing AIR TRF as a listed alternative to trading OTC swaps. This is driven by the potential for more capital efficiencies and expect this gather further momentum as the next phase of UMR and other regulatory pressures affect a wider set of clients. Q1-2021 ADV reached 2K (+3650% vs. Q4-2020) and open interest averaged 44K (+980% vs. Q4-2020). A record 10.5K contracts were traded on February 19.

Strong participation in E-mini S&P 500 ESG futures

E-mini S&P 500 ESG futures adoption accelerated in Q1 2021 with both strong volume and OI growth. These metrics may trend higher as more clients adopt the product in the remainder of 2021. In Q1-2021, ADV averaged 1K and OI averaged 7.4K (+28% and 44% vs. Q4-2020, respectively). March 16 was a record volume day with 7,230 contracts ($1.22B notional). OI reached a record on March 17 with 11,841 contracts ($1.99B notional).

Source: CME Group

Nasdaq-100 Volatility Index (VOLQ) futures liquidity rises

VOLQ futures provide a new way to hedge market uncertainty. These contracts are based on at-the-money options with 30 days until expiration. Trades have occurred in all listed expiries and markets are quoted across the curve. Liquidity is continuing to improve with B/A width ~0.60 index points wide in February with over 6 contracts at top of book.

Q1 volume and open interest

Equity Index futures:

  • Volume: 5.5M ADV (+19% vs. Q4-20)
  • Open interest: 4.6M contracts per day (+2% vs. Q4-20)

Equity Index options on futures:

  • Volume: 664K ADV (+15% vs. Q4-20)
  • Open interest: 3.1M contracts per day (-9% vs. Q4-20)


2021 ADV (vs. Q4-20)


1.8M (+15%)


606K (+16%)


204K (+11%)


223K (+19%)


42K (+9%)


13.5K (+35%)

Live webinar: Bitcoin for Institutions – The New Normal

On April 27, hear from a panel of experts from CME Group, Grayscale, Genesis, and Fidelity as they discuss the driving factors behind institutional interest and participation in bitcoin.

Register now

Trader’s Edge: E-mini Nasdaq-100 Monday and Wednesday Weekly options

Dave Lerman, Director of Education at CME Group, explores contract details and explains how short-dated options can help manage event risk.

Watch the video

Webinar: Micro E-mini futures and options Q1 update

Get an update on recent Micro E-mini futures and options trading performance, rise in liquidity, impacts of market volatility, and more.

Watch the replay

Options update

  • An expanded offering: E-mini Nasdaq-100 Monday and Wednesday Weekly options are now live for trading. These contracts are designed to provide greater precision and flexibility in helping you manage shorter-term risk.
    Learn more about E-mini Nasdaq Weekly options

  • Growth in client adoption of SP options blocks: E-mini Nasdaq-100 options continue to see increased volume. In Q1-2021 ADV has reached over 25.6K, an increase of 28% vs Q1-2020.
    Explore on Equity Index options

  • Bitcoin options: Over 41.9K Bitcoin options have traded since their launch in early 2020 (notional value of $3.3B). Q1 average OI reached 1.6K, an average daily value of over $366M.
    More on Bitcoin options