Equity Insights | April 2023

  • 13 Apr 2023
  • By CME Group

Q1 market insights

News around inflation and Fed policy continued to dictate market direction throughout the first two months of the quarter. Solvency issues for some of the U.S. regional banks was the focus for the majority of March. This resulted in increased volatility and a rise in trading volumes. However, the market shook off initial concerns to rally into quarter end.

Recapping the Q1 roll for E-mini S&P 500 futures

The Q1 2023 equity roll (Mar/Jun) implied financing spread to Three-Month SOFR increased slightly to +26 bps vs. +24 bps in Q4 2022. The roll was down from the Q1 2022 roll of +38bps. The running four-quarter moving average is +17bps.

Note: Three-Month SOFR has replaced Three-Month Libor as the reference.

Source: CME Group

Micro E-mini futures volume reach trading milestone of two billion contracts

Average daily volume in the Micro E-mini futures suite reached 2.7M contracts in Q1, with combined trading volume surpassing two billion contracts since launch. Micro E-mini S&P 500 and Micro E-mini Dow both achieved record volume of 2,895,971 and 607,411 contracts on March 13.

What’s new?

  • Micro E-mini S&P MidCap 400 and SmallCap 600 futures are now trading. Broaden your equity portfolio with six Micro E-mini contracts and enjoy more flexibility to adjust your positions as equity market conditions change. 
  • Micro E-mini S&P 500 and Nasdaq-100 Monday-Thursday options are available for trading, providing market participants greater precision and versatility in managing short-term exposure.

Source: CME Group

Sector futures trading strengthens in 2023: More liquidity, new opportunities as clients explore a new way to trade

Equity Sector futures wrapped up Q1 with record ADV of 19.1K contracts (+8% vs. Q4 2022) and an average OI of 224.4K (+7% vs. Q4 2022). Sector futures open interest reached a record 321K contracts on March 13, surpassing the prior record of 314.7K contracts on June 14, 2022.

The market has embraced the derived block functionality, with over 178K contracts traded since launch in 2022 across the various sector products.

Source: CME Group

AIR Total Return futures reach new heights post-UMR phase 6

S&P 500 AIR Total Return futures ADV in Q1 2023 was a record 4.9K contracts (+107% vs. Q4 2022) and average OI was 273K contracts, with a record OI of 323K on March 17. Clients are increasing using the contracts as a listed alternative to OTC, especially as UMR has impacted investors more broadly after phase 6.

Source: CME Group

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

More on AIR TRF on U.S. indices

Discover FTSE 100 AIR TRF

Dividend futures gain momentum

CME Group Dividend futures combined Q1 ADV reached 5.2K, an increase of 22% vs. Q4 2022. S&P 500 Annual Dividend Index futures Q1 2023 ADV increased to 4K (+4% vs. Q4 2022) and average OI was 183K. Nearly 40K contracts have traded since the launch of Annual Dividend Index futures on Nasdaq-100 and Russell 2000 Indices in early 2022.

Source: CME Group

BTIC on E-mini S&P 500 futures continue to gain traction

Basis Trade at Index Close (BTIC) transactions on E-mini S&P 500 futures are trading at a record daily high of 47.8K contracts ($9.57B) in Q1 2023, an increase of 8% vs. the previous quarter.

BTIC and BTIC+ transactions provide the bridge between the cash index close and the futures market.

Source: CME Group

CME Group’s Commodity Index futures sees significant adoption in 2023

ADV reached 6.4K contracts in 2023, +13% vs. 2022. Additionally, open interest grew by 16% and averaged 150K contracts. Participants continue to look to CME Group’s cleared product offering due to its capital (margin offsets, fees) and operational efficiencies (BTIC and MDE handling). Commodity Index Swaps saw significant adoption in 2023, with notional open interest in BCOM and GSCI swaps at $1.5B at the end of the quarter. 

Source: CME Group

Japan Index futures trading remains strong

CME Group’s Nikkei225 futures Q1 2023 ADV was to 34K with average OI reaching more than 53K contracts. In Q1, 22% of volume was submitted from APAC, with 53% of volume coming from non-U.S. hours.

Recently launched USD TOPIX futures are the first dollar-denominated contract, complementing the existing Yen-denominated TOPIX futures, and provides new quanto spreading opportunities.

CME Group Nikkei 225 Futures

CME Group TOPIX Futures

MOS (Mutual Offset System)

Cryptocurrency trading highlights

Volatility in the cryptocurrency market spiked throughout the quarter given significant crypto-tangent market-moving events and more clients focused on reliable and efficient risk management products offered by CME Group. Increased client demand for hedging tools led to record volume and open interest for options on Cryptocurrency futures.

Bitcoin futures (BTC) institutional interest continued to increase throughout the quarter as investors sought regulated venues and products to hedge rising market volatility and manage risk/exposure. Q1 2023 ADV was over 11K contracts and open interest averaged 15K contracts. The number of large open interest holders (LOIH) averaged a record 111 in Q1 2023, with a record 122 the week of March 21.

Ether futures (ETH) had over 2.8M contracts (141M equivalent ether) traded since launch just over two years ago. LOIH reached a record 79 the week of January 17 and averaged a record 70 throughout the quarter. Options on Ether futures are now available, with over 4.6K contracts traded since launch.

Micro Bitcoin and Micro Ether futures (MBT and MET) are precise, cost-effective tools to manage cryptocurrency risk. Q1 2023 ADV reached 10K contracts each. MET OI averaged 20K contracts while MBT OI averaged 11K. Since their respective launches, over 8M MBT contracts have traded and over 5.7M MET contracts have traded.

Bitcoin Euro and Ether Euro futures are available to trade. The recently launched contracts match their U.S.-denominated counterparts at 5 bitcoin or 50 ether per contract providing access to a second currency pair.

All data accurate of March 31, 2023 unless otherwise indicated.

Q1 volume and open interest

Equity Index futures:

  • ADV: 6.0M contracts
  • Open interest: 4.4M contracts per day             

Equity Index options on futures:

  • ADV: 1.3M contracts (+11% vs. Q4-22)
  • Open interest: 5.2M contracts per day


Q1-23 ADV













Case Study: Comparing Sector futures, ETFs, and swaps as a cross-sector portfolio hedge

To examine the capital efficiency available via different instruments that provide sector exposure, we analyzed futures, ETFs, and swaps in our latest case study.

Webinar: Micro E-mini futures and options

Learn about the recent performance of Micro E-mini futures and get your questions answered on the recently launched Micro E-mini S&P MidCap 400 and SmallCap 600 futures.

Beyond Large-Cap: Discover the Small- and Mid-Cap Equity Universes

Learn about the benefits of adding small- and mid-cap exposure to your portfolio during times of economic uncertainty and how micro-sized futures can provide a cost-efficient way to access these benefits.

Economic research: Are S&P 600 and Russell 2000 Small-Caps Due for a Rebound

Sr. Economist Erik Norland examines how small- and mid-cap stocks have historically outperformed large-caps during periods of high inflation, volatile interest rates, and recession.

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 29M ES options blocks have traded, with Q1 ADV at 76K contracts.
  • E-mini Nasdaq-100 (NQ) options: NQ options became block eligible on January 24, with a minimum block threshold of 60 contracts. Nearly 20.3K contracts have traded since launch.

More on options blocks

Sign up for Equity ES options block alerts

E-mini Nasdaq-100 options:

  • Recently launched E-mini Nadaq-100 Tuesday and Thursday options have traded nearly 738K total contracts, providing more versatility in managing shorter-term equity market risk on the Nasdaq-100 Index. These weekly contracts complement our suite of quarterly, end-of-month, and Monday, Wednesday, and Friday weekly options.

Find out more

E-mini Nasdaq-100 (NQ) options:

  • The quarterly ADV was 51.2K, an increase of 17% vs. Q4 2022.

Find out more

Micro E-mini options:

  • Micro E-mini S&P 500 and Micro E-mini Nasdaq-100 options Q1-23 ADV was 19.1K +40% vs. Q4-22. 

Find out more

Cryptocurrency options

Bitcoin and Ether options: A record 2,357 Bitcoin options contracts were traded on March 22 and OI reached a record 14.7K on March 31. Over 4.6k Ether options have traded since their September launch. A record 311 Ether options contracts traded on February 22 and record OI reached 1.8K contracts on March 24.

Micro Cryptocurrency options: Micro Bitcoin and Micro Ether options offer greater flexibility and granularity to manage risk. Over 487K contracts have traded since launch in 2022. Micro Bitcoin options traded a record 10,022 contracts on Jan. 25 and open interest reached a record 12,364 on Jan 27.

Learn more