Equity Insights | Q2 2022

Q2 market insights

Throughout the quarter, the equity markets were fairly turbulent as a series of events unfolded. Formerly high-flying tech stocks dipped while other risk assets retreated with the Fed aggressively tightening monetary policy, resulting in persistent volatility.


Recapping the Q2 equity roll

The Jun/Sep roll increased from the Q1 2022 roll of -9bps to +17bps. The roll increased from the Q2 2020 roll at +6bps and decreased from the Q2 2022 roll at +40bps. The running 4-quarter moving average continues to gain traction (+24bps).

Source: CME Group


Cryptocurrency trading highlights

Micro Ether futures (MET) provide a cost-effective and efficient way to manage ether exposure for traders of all sizes at 1/10 of one ether. Since their launch in December 2021, over 2.7M contracts have traded with a record ADV of 21.3K in Q2. Large Open Interest Holders (LOIH) was 113 in Q2, with a record 130 during the week of June 21.

Ether futures (ETH) have traded 1.6M contracts (81.9M equivalent ether) since launch over a year ago. Q2 2022 ADV beat the prior record quarter at 6.6K contracts (+27% vs. Q1-22) and average OI reached 3.5K. 42% of volume traded during the quarter was during non-U.S. trading hours. 

Micro Bitcoin futures (MBT) had another successful quarter, with an ADV of 17.4K and OI averaging 19.4K. LOIH averaged 113 in Q2 2022 and 35% of volume was traded during non-U.S. hours.

Bitcoin Futures (BTC) Q2-2022 ADV was over 10.8K (+23% vs. Q1-22) and open interest averaged 11.6K. LOIHs have averaged 87 in Q2 2022 as institutional interest continued to increase during the price volatility.

Micro Crypto options Launched in March, Micro Bitcoin and Micro Ether options have traded over 85.6K total contracts. Fee discount: Enjoy a 50% reduction on exchanges fees for Micro Crypto options contracts through Jan. 31, 2023 – view fee schedule.

New Cryptocurrency benchmarks On April 25, CME Group, in partnership with CF Benchmarks, launched Reference Rates and Real-Time Indices on 11 more cryptocurrencies, including solana, cardano, and more. Bitcoin-Euro and Ether-Euro Reference Rates and Real-Time Indices are also now live.

More on cryptocurrency products at CME Group


Traders turn to the liquidity of Micro E-mini futures

Micro E-mini futures traded nearly 1.5 billion contracts since launch. Average daily volume across all four Micro E-mini futures reached 3.3M contracts in Q2 2022, with a record ADV of 1.4M contracts for Micro E-mini S&P 500 futures. Micro E-mini Nasdaq-100 futures continued to out-trade other indices with an ADV of 1.6M contracts as traders sought to manage tech volatility.

Source: CME Group


CME Sector Index Products futures highlights

E-mini S&P Select Sector futures, Dow Jones U.S. Real Estate Index futures, and E-mini Nasdaq Biotechnology Index futures have been trading at record volumes this year. Combined ADV reached 19.2K (+13% vs. 2021) and open interest has averaged 223.9K (+4% vs. 2021).

Starting August 8, pending regulatory review, CME Group will launch six new E-mini Sector Index futures to provide greater versatility in managing sector exposure.

  • E-mini S&P Regional Banks Select Industry futures
  • E-mini S&P Insurance Select Industry futures
  • E-mini S&P Biotechnology Select Industry futures
  • E-mini S&P Oil & Gas Exploration and Product Select Industry futures
  • E-mini S&P Retail Select Industry futures
  • E-mini PHLX Semiconductor Sector Index futures

More on E-mini Sector Index futures


All data accurate of June 30, 2022 unless otherwise indicated.

Q2 volume and open interest

Equity Index futures:

  • Volume: 6.6M ADV (+52% vs. Q2-21)
  • Open interest: 4.6M contracts per day (-4% vs. Q2-21)

Equity Index options on futures:

  • Volume: 1.2M ADV (+92% vs. Q2-21)
  • Open interest: 5M contracts per day (+60% vs. Q2-21)

Futures

Q2-22 ADV (vs. Q2-21)

ES

2M (+33%)

NQ

712K (+41%)

YM

199K (+28%)

RTY

247K (+35%)

NIY & NKD

43K (-18%)

BTC

11K (+11%)


Case Study: Hedging Bitcoin price risk with Micro Crypto options

See how Micro Bitcoin and Micro Ether options can both be effective risk management tools to hedge physical cryptocurrency exposure during periods of market uncertainty.


Excell with Options: Horizontal spreads using ES options

Learn how a horizontal spread could be traded using E-mini S&P 500 options, now with expirations available throughout the week.


Economic research: Fed Quantitative Tightening, Dividends and Risk to Equities

Sr. Economist Erik Norland examines how the start of quantitative tightening by the Fed this month can impact equities.


Options update

Equity Index options blocks

  • 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. Over 15M ES options blocks have traded, with Q2 ADV at 80.7K contracts (+19% vs. Q1).
  • Activity in E-mini S&P 500 options has also ramped up during non-U.S. hours, with ADV reaching nearly 3.5K contracts in Q2, up 23% vs. Q1.
  • E-mini Nasdaq-100 (NQ) options: NQ options became block eligible on January 24, with a minimum block threshold of 60 contracts. Over 7.5K contracts have traded since launch.

More on options blocks
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  • NQ options volume on the rise: E-mini Nasdaq-100 (NQ) options had a record quarterly ADV of 58.7K, an increase of 136% vs. Q2-21.

Learn more

  • Micro E-mini options: Micro E-mini S&P 500 and Micro E-mini Nasdaq-100 options Q2-22 ADV reached 12.8K, +50% vs. Q2-21.

Find out more