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.
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.
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:
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.
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.
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.
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).
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.
Equity Index futures:
Equity Index options on futures:
Futures |
2021 ADV (vs. Q4-20) |
---|---|
ES |
1.8M (+15%) |
NQ |
606K (+16%) |
YM |
204K (+11%) |
RTY |
223K (+19%) |
NIY & NKD |
42K (+9%) |
BTC |
13.5K (+35%) |
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.
Dave Lerman, Director of Education at CME Group, explores contract details and explains how short-dated options can help manage event risk.
Get an update on recent Micro E-mini futures and options trading performance, rise in liquidity, impacts of market volatility, and more.