Equity Insights | Q3 2021

Q3 market insights: Equity market movement picks up

The equity market saw a slow August, but market volatility has ticked up near the end of the quarter and appears to be persisting into Q4-21. Nasdaq-100, Russell 2000, and cryptocurrencies saw favorable trends while other indexes went the other way.


Recapping the Q3 equity roll

The Sep/Dec roll decreased slightly from the Q2 2021 roll of +40bps to +38bps. However, this is up from the Q3 2019 and 2020 rolls at +13bps and +23bps, respectively. The running four-quarter moving average continues to gain traction (+44bps), further warranting attention on implied financing heading into Q4.

Source: CME Group


Cryptocurrency trading highlights

Basis Trade at Index Close is now available on CME Group's suite of Cryptocurrency futures, including BitcoinMicro Bitcoin, and Ether futures. BTIC transactions allow participants to trade cryptocurrency basis with the price credibility and transparency of the regulated CME CF Bitcoin Reference Rate (BRR) and Ether-Dollar Reference Rate (ETHUSD_RR) benchmarks.

Micro Bitcoin futures have traded over 2M contracts in the first 100 days since launch. At 1/10 the size of a bitcoin and settled to the CF Bitcoin Reference Rate, the contract provides another way to manage bitcoin risk. September ADV was 21K and open interest averaged 26K. The number of Large Open Interest Holders (LOIH) averaged 88 since the week of May 4, with a record of 120 the week of July 7.

Bitcoin futures Q3 2021 ADV was 7.1K and open interest averaged 7.2K (35K equivalent bitcoin). LOIH averaged 78 for 2021, continuing to indicate strong institutional interest.

Ether futures have traded over 573K contracts (28.7M equivalent ether) since their launch on February 8.  Ether Futures are cash-settled to the regulated CME CF Ether-Dollar Reference Rate. September saw record ADV and average OI at 6.2K (+44% vs. Aug-21) and 4.3K (+10% vs. Aug-21), respectively.

More on cryptocurrency products at CME Group


New ADV record for Micro E-mini options

Average daily volume for Micro E-mini S&P 500 and Nasdaq-100 options was a record 9.8K contracts in Q3 2021 (+15% vs. Q2 2021). Combined contracts traded since launch reached nearly 2.2M.  

Source: CME Group

The underlying Micro E-mini futures continued to see strong volume, with Q3 ADV over 1.8M contracts across four indices. Micro E-mini Nasdaq-100 futures out-traded all other indices continuing the strong tech lean in 2021.

More on Micro E-mini futures

Explore Micro E-mini options


ESG futures continue to make ground

E-mini S&P 500 ESG futures continue to outperform with record volume and OI in September. On September 14, 18,075 contracts were traded ($3.44B notional) and OI reached 22,037. Q3 2021 ADV was 1,017 (+11% vs. Q2-21) and OI averaged 13K (+23% vs. Q2-21).

Source: CME Group

Launched in May, E-mini S&P Europe 350 ESG futures saw nearly 1.3K total contracts traded. The futures are cash-settled to the S&P Europe 350 ESG index, a Pan-European index covering developed markets across over 15 countries, based on the same ESG index methodology as the one applied to S&P 500 ESG index.

Learn more about S&P 500 ESG futures

More on Europe 350 ESG futures


AIR Total Return futures see new highs

Clients continue to embrace the AIR Total Return futures as a listed, capital-efficient 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 reached new records in Q3 with ADV over 2K contracts traded and open interest over 132K.

Source: CME Group

AIR Total Return futures have recently expanded to Nasdaq-100, Russell 1000, Russell 2000, DJIA, and the FTSE 100 Indices as the latest additions to the growing Total Return futures suite at CME Group.

More on AIR TRF on US indices

Discover FTSE 100 AIR TRF


Q3 volume and open interest

Equity Index futures:

  • Volume: 4.3M ADV (+1% vs. Q2-21)
  • Open interest: 4.8M contracts per day (5% vs. Q3-20)

Equity Index options on futures:

  • Volume: 757K ADV (22% vs. Q2-21)
  • Open interest: 3.9M contracts per day (26% vs. Q2-21)

Futures

Q3 2021 ADV (vs. Q2-21)

ES

1.5M (+1%)

NQ

566K (+7%)

YM

168K (+8%)

RTY

199K (+9%)

NIY & NKD

38K (+16%)

BTC

7.1K (-27%)


Article: For crypto traders, a signal to watch and a new way to trade

Bitcoin and ether volatility have raised awareness of basis, the difference between spot and futures market prices. Read more about cryptocurrency basis and see how it can provide investors an indication of turning points in the market.


Q&A: Exchange leaders discuss China’s evolving markets

Leaders from CME Group, FTSE Russell and Singapore Exchange discuss the changing nature of managing risks across borders.


Research: Impact of fiscal, monetary policy on equities and economy

As the Fed prepares to wind down asset purchases, here's a look at how monetary and fiscal policies impact equities and the economy. 


Options update

  • E-mini S&P 500 (ES) Options: Equity block trading continues to gain momentum, allowing market participants to execute large trades with greater efficiency. Over 1.5M ES options have traded via blocks since June with September ADV reaching a new record of 49.3K contracts.
    Read the FAQ
    Sign up for ES options block alerts
  • Growth in Nasdaq options: E-mini Nasdaq-100 options continue to see increased volume with ADV in Q3-21 reaching 28.9K (+18% vs. Q2-21). The E-mini Nasdaq-100 suite now includes Monday and Wednesday options, ADV in Q3-21 was 6.9K with a record 15.6K contracts traded on August 16.
    Learn more
  • Now live: Russell 2000 Monday and Wednesday options  Manage exposure on the leading benchmark for small-cap performance with new short-dated options, offering greater precision and flexibility in your trading strategies.
    Find out more
  • Bitcoin options: Nearly 50K Bitcoin options have traded since their launch in early 2020 (notional value of $5.1B). Q3 2021 average OI was 957.
    More on Bitcoin options