Equity Insights | Q2 2021

Q2 market insights: volatility slows down

In Q2 2021, volatility has slowed considerably. There were occasional bouts of price corrections, but the recovery was swift. The VOLQ Index price was 19.63 in Q2 2021, -33% vs. 2020 average price of 29.5.


Recapping the Q2 equity roll

The Jun/Sep roll increased from the Q1 2021 roll of +33bps to +40bps. The roll was significantly higher than the rolls in Q2 2020 and Q2 2019 at -33bps and +6bps, respectively. The running four-quarter moving average is gaining traction (+40bps), further warranting attention on implied financing heading into Q3.

Source: CME Group


Micro E-mini futures and options: 800M+ contracts traded

Micro E-mini futures saw steady volume in Q2 2021 with ADV at over 1.8M across all four indices. Micro E-mini Nasdaq-100 futures (MNQ) continued to out-trade all other indices, showing a strong tech lean this year.

Average daily volume for Micro E-mini S&P 500 and Nasdaq-100 options reached a record of 8.4K contracts in Q2 2021 (+13% vs. Q1 2021), with over 1.56M total contracts traded since launch.

More on Micro E-mini futures

Explore Micro E-mini options


Cryptocurrency trading remains strong

Bitcoin futures Q2 2021 ADV was 9.7K (+43% vs. Q2 2020) and open interest averaged 8.4K (42K equivalent bitcoin).

Large open interest holders (LOIH) have averaged 80 for 2021, continuing to indicate strong institutional interest.

Micro Bitcoin futures, launched May 3, continue to build momentum, surpassing 1M contracts traded within the first 39 days. At 1/10 of a bitcoin, the new contract provides another way to manage bitcoin price risk. June ADV was 21K and open interest averaged 21.3K with 5K+ accounts trading. Large open interest holders have averaged 72 since the week of May 4, with a record of 93 the week of June 8.

Ether futures, cash-settled to the regulated CME CF Ether-Dollar Reference Rate, have traded over 268K contracts (13.4M equivalent ether) since their launch on February 8. Q2 2021 ADV was 3.7K with open interest averaging 2.8K.

Explore Micro Bitcoin futures

More on cryptocurrency products at CME Group


Continued growth in ESG futures

E-mini S&P 500 ESG futures adoption continued to expand in Q2 2021 with both strong volume and OI growth. In Q2 2021, ADV averaged 913 and OI averaged 11.4K (+60% and 222% vs. Q2 2020, respectively). A record of 12.5K contracts ($2.26B notional) were traded on June 15. Open interest reached a record 18.2K contracts ($3.27B notional) on June 17.

Source: CME Group

E-mini S&P Europe 350 ESG futures, recently launched on May 24, are cash-settled to the S&P Europe 350 ESG index, a Pan-European index covering developed markets across over 15 different countries. The index is based on the same robust methodology as the one applied to S&P 500 ESG Index and is right-sized in terms of number of constituents at around 230. Over 170 contracts have traded since launch, and there has been strong liquidity in the contract on Globex, with markets ~30 contracts up and 6 ticks wide throughout European trading hours.

Learn more about S&P 500 ESG futures

More on Europe 350 ESG futures


AIR Total Return futures gain traction

Clients continue to embrace the Adjusted Interest Rate (AIR) Total Return futures as a listed alternative to trading OTC swaps. This trend may gather further momentum as the next phase of UMR and other regulatory pressures affect a wider set of clients.

S&P 500 AIR TRF traded an average of 1.5K contracts daily in Q2 2021 and open interest averaged 124K. Two records were reached on June 15 with 18.8K contracts traded and open interest of 138.9K.

On June 7, CME Group launched FTSE 100 AIR TRF, providing total return exposure with an overnight floating rate built in using SONIA as the financing reference rate.

Coming July 26, pending regulatory approval, AIR Total Return futures will expand to Nasdaq-100, Russell 1000, Russell 2000 and DJIA as the latest additions to the growing Total Return futures suite at CME Group.


Q2 volume and open interest

Equity Index futures:

  • Volume: 4.3M ADV
  • Open interest: 4.8M contracts per day

Equity Index options on futures:

  • Volume: 621K ADV
  • Open interest: 3.1M contracts per day

Futures

Q2 2021 ADV

ES

1.5M

NQ

504K

YM

156K

RTY

182K

NIY & NKD

33K

BTC

9.8K


OpenMarkets: The era of the retail trader includes Micro futures

The trend toward self-directed trading isn’t just for stocks. Micro futures are expanding into new markets after the success of Equity Index and Bitcoin contracts.


OpenMarkets: California’s water risk finds a new market

Read about the complexity of California’s $1.1B water market and a new tool that aims to address water price risk.


Webinar: The future of ESG investing

Experts from CME Group, S&P Dow Jones Indices, Insight Investment, and Swedbank Robur discuss the state of the sustainable investment landscape and new ESG investment tools.


Webinar: Navigating California’s water market

Hear from a panel of industry experts as they discuss hydrological and weather conditions in California as well as how each is impacting prices in the spot water market.


Options update

  • Expansion of E-mini S&P 500 options: New maturities and block trading, subject to a block quantity minimum of 250, are now available on ES options. Over 25K contracts have traded via blocks and over 50K contracts have traded among new expiries.
    Read the FAQ
  • Growth in Nasdaq options: E-mini Nasdaq-100 options continue to see increased volume with expansion of the existing E-mini Nasdaq-100 options suite to include Monday and Wednesday options. Since launching on April 12, ADV has been 3K with a record 8K contracts traded on June 21.
    Learn more about E-mini Nasdaq Weekly options
  • Bitcoin options: Over 46.4K Bitcoin options have traded since launch for a notional value of $4.3B. Q2 2021 average OI was 1.1K, an average daily value of just over $261M.
    More on Bitcoin options