In this report
Subscribe to get the latest updates

2023 Market insights: index choice continues to matter

The market recovered strongly in 2023, bouncing back after a challenging 2022. Despite negative market-moving events, such as the regional bank crisis early in the year and a market correction in Sep/Oct due to fears of sustained higher rates, the market rallied strongly. This was due to the significant outperformance by mega cap technology stocks and the prospect by year end of the cessation of rate rises. As a result of the strength in technology and the impact of the moderating rates view, different segments had divergent performance throughout the year, highlighting again how index choice matters

2023 index performance

S&P 500



Russell 2000

S&P 500 Communication Services Select Sector

S&P 500 Consumer Discretionary Select Sector

S&P 500 Energy Select Sector

S&P 500 Utilities Select Sector









A year of record liquidity in Equity Index options on futures

Equity options traded a record-high ADV of 1.43M in 2023, an increase of 18% vs. the prior record year in 2022. Traders continued to embrace the liquidity and flexibility of the suite. Nasdaq-100 options experienced outsized growth, driving the growth in the Equity suite and trading a record 65K contracts per day throughout the year (+39% YoY).

Equity Index options blocks trading accelerates, surpassing previous records

Participation in options blocks continues to grow, allowing market participants to execute large trades with greater liquidity and efficiency. Equity options blocks traded a record 119K throughout Q4, marking the fifth consecutive quarter that ADV has surpassed the prior record. Nearly 49M E-mini S&P 500 options blocks have traded, with Q3 2023 ADV at a record 118K contracts (+13% vs. prior Q3 2023 record ADV). E-mini Nasdaq-100 (NQ) options have traded over 148K contracts.

Micro-sized options, outsized trading in 2023

Micro E-mini S&P 500 and Nasdaq-100 options followed suit for a record-breaking 2023, offering precision and access to large-cap companies. 2023 ADV reached 23K, up 68% vs. the prior year record in 2022. Q4 2023 ADV was a record 33K contracts, with four of the top ten trading days occurring during the quarter. 

Coming soon: a new way to manage U.S. dividend risk

Starting January 29, pending regulatory review, options on S&P 500 Annual Dividend futures will be available, providing more opportunities to manage U.S. dividend risk. The new options contracts will build upon the robust Dividend futures suite at CME Group, with Q4 ADV over 4.4K contracts and OI at 327K contracts (+15% vs. Q3 2023). Over 1.2M contracts have traded across the S&P 500 Annual and Quarterly Dividend Index futures, Nasdaq-100 Annual Dividend futures, and Russell 2000 Annual Dividend futures. Annual Dividend Index futures on Nasdaq-100 and Russell 2000 have traded over 105K contracts since launch in 2022.

Recapping the Q4 Equity Roll on E-mini S&P 500 futures

The Q4 2023 Equity Roll (Dec/Mar) implied financing spread to 3-Month SOFR continued to increase to +65bps, up 19 bps compared to Q3 2023. The roll was +41 bps from the Q4 2022 roll of +24 bps, increasing the running 4-quarter moving average to +43 bps (note 3-Month SOFR has replaced 3-Month Libor as the reference).

Q4 volume and open interest

Equity Index futures:

  • Volume: 5.2M ADV
  • Open interest: 4.9M contracts per day

Equity Index options on futures:

  • Volume: 1.7M ADV (+31% vs. Q3 2023)
  • Open interest: 7.0M contracts per day (+21% vs. Q3 2023)

AIR Total Return futures gain deeper liquidity post UMR Phase 6

S&P 500 AIR Total Return futures ADV in Q4 2023 reached yet another record with 8.6K contracts and average OI was 413K contracts. OI also reached an all-time high of 454K contracts on December 15, 2023. Clients continue to turn to AIR Total Return futures as a listed alternative to OTC as UMR impacts investors more broadly after Phase 6.

Sector futures wrap up 2023 with fresh records

Equity Sector futures ADV in Q4 2023 was 20.2K contracts (+16% vs. Q3), and OI reached a record average of 260K contracts (+3% vs. the prior Q3 2023 record) with a record 370K on December 15, 2023. Overall, 2023 was a record year for the Equity Sector futures with an ADV of 18.5K (+11% vs. 2022) and open interest average 240K (+11% vs. 2022). 

The market has embraced Derived Block functionality on Sector futures, which has facilitated greater intraday liquidity. Over 492K contracts have traded via this functionality since launch across the various sector products with single trades up to $1 billion notional being executed. 

Benchmark Japanese Equity Index exposure with greater liquidity

Japanese Equity futures continue to see rising open interest as Q4 2023 combined average open interest was 71K (+17% vs. Q4 2022) across the Nikkei225 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.

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 is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2024 CME Group Inc. All rights reserved.