2021 Q4 Equity Insights

2021 highlights

Equity Index products saw another remarkable year of growth in 2021, driven by new products and continued innovation.

  • Equity options expanded with the addition of Monday and Wednesday listings on both the E-mini Nasdaq-100 futures and E-mini Russell 2000 futures. E-mini S&P 500 options became block eligible mid-year, with nearly 6M blocks traded through year-end.
  • Cryptocurrency products reached a combined ADV of nearly 47K in 2021, an increase of 425% vs. 2020. The introduction of Ether, Micro Bitcoin, and Micro Ether futures contributed greatly to the overall success of the suite.
  • Micro E-mini futures and options continued their success in 2021 with over 1B contracts traded since the November launch. 2021 futures ADV was 2.1M, an increase of 15% vs. 2020.

Q4 market insights: Equity market movement begins to pick up

Despite the market melting up over the course of the year, there were a few short spurts of volatility which kept volume elevated in Q4. In 2021, divergence in different segments of the equity market also pushed up volume.

Source: CME Group


Recapping the Q4 equity roll

The Dec/Mar roll increased from the Q3-2021 roll of +38bps to +50bps. The roll increased from the 2019 at +43bps and decreased from the 2020 Q4 rolls at +64bps. The running four-quarter moving average continues to gain traction (+40bps), further warranting attention on implied financing heading into Q1.

Source: CME Group


Cryptocurrency trading highlights

Micro Ether futures (MET), launched on December 6, provide a cost-effective, efficient way to manage ether exposure for traders of all sizes. The new futures are 1/10 of one ether and share the same features of the larger Ether futures, settling to the CME CF Ether-Dollar Reference Rate. Nearly 209K contracts have traded since launch, with an ADV of 11K in December.

Ether futures (ETH) have traded 889K contracts (44.4M equivalent ether) since launch on February 8, 2021. Q4 21 ADV was a record with 5.1K contracts (+11% vs. Q3-21) and average OI reached 5K (+31% vs. Q3-21).

Micro Bitcoin futures (MBT) had a successful quarter with an ADV of 24.5K (+43% vs. Q3-21) and OI averaging 41.2K (+89% vs. Q3-21). Large open interest holders (LOIH) have averaged 103 since launch, with a record of 150 the week of November 16.

Bitcoin futures (BTC) Q4-2021 ADV was 10.1K (+42% vs. Q3-21) and open interest averaged 13.2K (+84% vs. Q3-21). LOIHs have averaged 82 for 2021, continuing to indicate strong institutional interest.

More on cryptocurrency products at CME Group


Micro E-mini futures and options trading highlights

Average daily volume for Micro E-mini S&P 500 and Nasdaq-100 options reached another record at 14.1K in Q4-2021 (+44% vs. Q3-2021). Combined contracts traded since launch reached nearly 3.1M in December and a daily record of 26,412 contracts traded on December 16.

Source: CME Group

The underlying Micro E-mini futures continue to show strong performance with ADV over 2.3M in Q4-2021 across all four indices. Micro E-mini Nasdaq-100 out traded all other indices with an ADV of 1.02M in Q4, rounding out 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 their strong momentum with a record Q4 ADV of 1,257 contracts (+24% vs Q3-21), with OI averaging 14.4K (+2% vs. Q3-21). Liquidity is available at 2bps wide during U.S. hours and 5bps during EMEA mornings.

Source: CME Group

E-mini S&P Europe 350 ESG futures saw nearly 2.2K contracts traded since their launch in May 2021. The futures are cash settled to the S&P Europe 350 ESG index, a pan-European index covering developed markets across over 15 different 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 continue to soar

Clients continue to optimize traditional OTC portfolios in light of upcoming UMR exposure and use Adjusted Interest Rate (AIR) Total Return futures as a capital and margin efficient alternative to an equity swap.

S&P 500 AIR Total Return futures reached a record 20,304 trades on December 13 and OI of 171,164 on December 17. Q4-21 ADV was 2K and open interest averaged 147K.

Source: CME Group

Achieve capital-efficient total return equity index swap exposure with AIR Total Return futures on Nasdaq-100, Russell 1000, Russell 2000, DJIA, and FTSE 100 indices. 

More on AIR TRF on US indices

Discover FTSE 100 AIR TRF


Nikkei 225 futures liquidity continues to build

CME Nikkei 225 futures volume continues to grow around the clock. ADV reached 41K in Q4 2021 (+7% vs Q3) with average OI at 71K (+2.5% vs Q3). In addition, 928K contracts transacted through MOS (Mutual Offset System) in Q4. In 2021, about 75% of volume traded outside of Tokyo cash hours, and more than 60% of ADV traded before the U.S. market open (during non-US hours).

Source: CME Group

All data accurate of December 31, 2021 unless otherwise indicated.

Q4 volume and open interest

Equity Index futures:

  • Volume: 5.0M ADV (+9% vs. Q4-20)
  • Open interest: 4.6M contracts per day (+3% vs. Q4-20)  

Equity Index options on futures:

  • Volume: 974K ADV (+68% vs. Q4-20)
  • Open interest: 4.6M contracts per day (+33% vs. Q4-20)

Futures

Q4-21 ADV (vs. Q3-21)

ES

1.6M (8%)

NQ

583K (11%)

YM

178K (6%)

RTY

222K (19%)

NIY & NKD

41K (7%)

BTC

10K (1%)


Bloomberg Commodity Index (BCOM) futures:

Effective Dec. 6, CME Group adjusted the contract specifications and fees for Bloomberg Commodity Index futures. Fees were lowered and the minimum price increment and daily settlement were changed to allow participants to access our markets more seamlessly.


CoinDesk panel: What’s next for Crypto derivatives?

Tune in for an engaging discussion with experts from CME Group, Typhon Capital, Galaxy Digital, and Goldman Sachs discussing the latest challenges and opportunities in the crypto derivatives market. 


Article: Answering the liquidity question

Explore what real liquidity looks like in E-mini S&P 500 ESG futures and see why investors are adopting the ESG investment tool around the world. 


Article: Futures brokers seeing trading boom with Micro contracts

Brokerages have seen as large as a four-fold increase in trading volume with smaller versions of the E-mini S&P 500, Bitcoin, and other contracts.

Options update

  • E-mini S&P 500 (ES) options blocks: Participation in ES options blocks continues to grow, allowing market participants to execute large trades with greater efficiency. Nearly 6M ES options blocks have traded, with Q4 2021 ADV at 69.4K contracts.
    Sign up for ES options block alerts
  • E-mini Nasdaq-100 (NQ) options blocks: Block trading of NQ options will be eligible starting January 24, with a minimum block threshold of 60 contracts.
    View the SER
  • Growth in Nasdaq options:
  • E-mini Nasdaq-100 options continue to see increased volume with ADV in Q4-21 reaching 31.3K (+120% vs. Q4-20). E-mini Nasdaq-100 Monday and Wednesday options contributed an additional 8.1K ADV in Q4-21, with a record 27.4K contracts traded on November 22.
    Learn more
  • E-mini Russell 2000 Monday and Wednesday options: Launched October 4, E-mini Russell Monday and Wednesday Weekly options have traded nearly 28K contracts since launch.
    Find out more
  • Bitcoin options: Nearly 55K Bitcoin options have traded since their launch in early 2020 (notional value of $6.5B). Q4 2021 average OI was 1.2K, an average daily notional value of over $340M.
    More on Bitcoin options