In this report
- It’s good to have (Equity) options
- Equity Index options blocks see record growth in Q3
- Now live: TMAC on Equity Index futures
- Micro-sized options, major liquidity
- AIR Total Return futures trading soar to new heights in 2023 post-UMR Phase 6
- Market participation rises across the Sector futures suite
- Recapping the Q3 equity roll on E-mini S&P 500 futures
- Q3 volume and open interest
- Client participation in Japan Index futures sees growth in Q3
- Dividend futures trading shines bright in 2023
Subscribe to get the latest updates
It’s good to have (Equity) options
Equity Options traded at record highs in Q3 2023. As volatility returns to the equity market toward quarter end, traders continued to embrace the deepening liquidity and added flexibility of the suite.
- CME Group Equity options trading set a new quarterly record ADV of 1.5M contracts and a monthly ADV record of 1.6M contracts in September.
- E-mini S&P 500 options ADV was also a record in Q3 2023, averaging 1.35M contracts. Monthly ADV reached a record 1.5M contracts in September.
Equity Index options blocks see record growth in Q3
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 41M ES options blocks have traded, with Q3 2023 ADV achieving a record 104K contracts (+20% vs. prior Q2 2023 record ADV).
E-mini Nasdaq-100 (NQ) options: NQ options are now block eligible, with a minimum block threshold of 60 contracts. Over 117K contracts have traded since launch.
Now live: TMAC on Equity Index futures
Enjoy greater efficiency and flexibility to manage settlement price uncertainty with the Trade Market at Close (TMAC) functionality, which allows market participants to execute at any point of the trading day rather than waiting for the market close. TMAC is now available on four Equity Index futures via CME Globex or block trades.
Micro-sized options, major liquidity
Micro E-mini S&P 500 and Micro E-mini Nasdaq-100 options have now traded over 10M contracts since launch. A record 62K contracts were traded on September 26, and Q3-2023 ADV had a record of 21.47K (+20% vs. Q2-23). Participation and interest are rising as traders seek to precisely manage risk and capture opportunities in the equity market.
AIR Total Return futures trading soar to new heights in 2023 post-UMR Phase 6
S&P 500 AIR Total Return futures trading continues to see notable gains in Q3 with YTD ADV increasing 51% vs. 2022 at 4.1K contracts. Average OI reached another record of 364K (+59% vs. Q3 2022), with a record OI of 386K on September 15. Market participants continued to embrace AIR Total Return futures as a listed alternative to OTC as UMR impacts investors more broadly after Phase 6.
Explore capital-efficient total return equity index swap exposure with AIR Total Return futures on Nasdaq-100, Russell 1000, Russell 2000, and DJIA Indices.
Market participation rises across the Sector futures suite
Equity Sector futures ADV in Q3 2023 reached 17.7K contracts, with a record 302K trades on September 11. OI was a record average of 255K (+5% vs. Q2-2023) throughout the quarter. The market has embraced derived block functionality introduced last year, with over 385K contracts traded since launch across the various sector products.
Recapping the Q3 equity roll on E-mini S&P 500 futures
The Q3 2023 equity roll (Sep/Dec) implied financing spread to 3-month SOFR continued to increase to +46bps, up another 10bps compared to Q2-2023. The roll was +37bps from the Q3 2022 roll of +9bps, increasing the running four-quarter moving average is at an average to +33bps (note 3-month SOFR has replaced 3-month Libor as the reference).
Q3 volume and open interest
Equity Index futures:
- Volume: 4.9M ADV
- Open interest: 4.7M contracts per day (+4% vs. Q3-22)
Equity Index options on futures:
- Volume: 1.5M ADV (+24% vs. Q3-23)
- Open interest: 5.1M contracts per day (+14% vs. Q3-22)
Client participation in Japan Index futures sees growth in Q3
Japanese equities continue to see rising open interest as Q3 2023 combined average OI was 70K (+4% vs. Q2 2023) across the Nikkei 225 yen- and USD-denominated contracts. USD-denominated TOPIX futures are now also available, the first dollar-denominated contract which complements the existing yen-denominated TOPIX futures and provides quanto spreading opportunities.
Dividend futures trading shines bright in 2023
Dividend futures combined Q3 ADV reached 5.1K contracts, and OI averaged 284K contracts (+5% vs. Q2 2023). Over 77K contracts have traded since the launch of Annual Dividend Index futures on Nasdaq-100 and Russell 2000, which allow market participants increased options to manage U.S. dividend risk, especially as year end approaches.
The opinions and statements contained in the commentary on this page do not constitute an offer or a solicitation, or a recommendation to implement or liquidate an investment or to carry out any other transaction. It should not be used as a basis for any investment decision or other decision. Any investment decision should be based on appropriate professional advice specific to your needs. This content has been produced by [Data Resource Technology]. CME Group has not had any input into the content and neither CME Group nor its affiliates shall be responsible or liable for the same.
CME GROUP DOES NOT REPRESENT THAT ANY MATERIAL OR INFORMATION CONTAINED HEREIN IS APPROPRIATE FOR USE OR PERMITTED IN ANY JURISDICTION OR COUNTRY WHERE SUCH USE OR DISTRIBUTION WOULD BE CONTRARY TO ANY APPLICABLE LAW OR REGULATION.
STAY IN THE KNOW
Get the latest updates on the CME Group equities index market.