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Equity futures and options strengthen despite lower volatility environment

The U.S. equity market soared in the first quarter of 2024, largely propelled by the technology sector, even as small-cap stocks continued to underperform. Although market volatility languished, Equity futures and options achieved several record highs in the run up to the March expiry: 

  • Magnificent 7: tech theme continued with Nvidia accelerating in its market capitalization growth
  • Nasdaq-100 (+8% vs. 2023) and S&P 500 (+10.1% vs 2023) continue to grow in 2024 
  • S&P 500 Index wrapped up Q1 with a record close on March 28 @ 5,254.35

Equity Index options Q1 ADV reached over 1.7M contracts, up 28% vs. the prior record quarter in Q1 2023, as traders continued to embrace the liquidity and flexibility of the suite.

S&P 500 options have experienced record growth, with E-mini S&P 500 Equity Options ADV at record levels of over 1.5M contracts (+26% vs Q1 2023).

Nasdaq-100 options also experienced outsized growth, driving the overall growth in the Equity options suite. E-mini Nasdaq-100 options ADV surpassed 82K contracts (60% vs.Q1 2023), and the contract achieved a single day volume record of 135,855 on January 19.

Participants continue to access deep pools of liquidity on larger sized trades using E-mini S&P 500 options blocks, which achieved a record trading day with 558K contracts traded on Mar. 15, smashing the previous record of 235K contracts. The recent momentum in options block trading was fueled by an increased adoption of delta-neutral, multi-leg strategy trades. 

Equity options blocks ADV traded a record 134K contracts in Q1 (+28% vs. Q1 2023), marking the fifth-consecutive quarter that ADV has surpassed the prior record. Nearly 56M E-mini S&P 500 options blocks have traded since launch nearly three years ago. E-mini Nasdaq-100 options blocks have traded 185K+ contracts.

Explore a new way to diversify your trading strategy with E-mini S&P 500 Equal Weight futures. Unlike the S&P 500 Index, which is weighted based on market capitalization, the S&P 500 Equal Weight Index allocates the same weight to all names in the S&P 500 Index. That presents new opportunities to trade the major U.S. benchmark. The contract serves as an alternative expression of the S&P 500 Index in terms of risk exposure, while offering margin offsets with other Equity Index contracts.

In the run up to expiry, Sector futures achieved a record of over 321K contracts on March 11. YTD volume averaged over 20K contracts, up 9% vs 2023, and average open interest is running at record levels of over 273K contracts (+14% vs 2023). Growth in sector futures is driven by increased participation in the real estate, utilities and communications sectors. 

The market has embraced derived block functionality on Sector futures, in turn driving  greater intraday liquidity. Over 1,000K contracts ($43B notional) have traded via derived blocks since launch, including single sector trades of up to $1 billion notional.

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

The Q1 2024 Equity futures roll (Mar/Jun) implied financing spread to 3-month SOFR decreased to +57 bps.The roll was +31 bps from the Q1 2023 roll of +26 bps, continuing to increase the running four -quarter moving average to +50 bps (note that 3-month SOFR has replaced 3-month Libor as the reference rate).

Q1 2024 Volume and Open Interest snapshot

Equity Index futures:

  • Volume: 5.1M ADV
  • Open interest: 5.1M contracts per day (+4% vs. Q1 2023)

Equity Index options on futures:

  • Volume: 1.7M ADV 
  • Open interest: 6.98M contracts per day (+31% vs.Q1-2023)

AIR Total Return futures across the S&P 500, Nasdaq-100 and Russell 2000 Indices have seen year-to-date volume averaging over 8.2K contracts, +74% vs. 2023. Nearing expiry, the suite traded a single-day volume record of 35K contracts on March 8. 

In Q1 2024, S&P 500 AIR Total Return futures ADV reached another record with 7.8K contracts (+51% vs Q1 2023) and average OI was 369K contracts (+59% vs. Q1 2023). Year-to-date  CME Globex average daily volumes is 2.1K contracts (+508% vs. 2023). Volume continues to grow in the Nasdaq-100 and Russell 2000 AIR Total Return products. 

May 28 transition to T+1 settlement: With the U.S. securities market’s transition to a shorter settlement cycle starting May 28, 2024, AIR TRF contracts based on U.S. indices may be impacted. The change to T+1 will dictate the calculation of the accrued financing as well as the financing spread adjustment. Read the FAQ to learn more.

Options on S&P 500 Annual Dividend futures launched on January 29, providing more opportunities to manage U.S. dividend risk. The new option contracts build upon the robust Dividend futures suite at CME Group, with Q1 2024 ADV over 3.9K contracts and open interest (OI) at 223K contracts. Volume continues to grow in Annual Dividend Index futures available on Nasdaq-100 and Russell 2000. Volume of options on S&P 500 Annual Dividend Index futures is averaging 500 contracts since launch. 

The demand to trade and risk manage dividend exposure via listed Dividend futures and options has accelerated over the last few years. Based on the success of S&P 500 Annual Dividend Index futures, the options contract meets client demand  for a way to trade dividend index volatility through complex option strategies.

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.


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