In this report
- U.S. equity market volatility drove Equity options volume record
- Options block trading gains traction as liquidity deepens
- Micro E-mini futures provide essential liquidity during Q3 market swings
- E-mini S&P 500 Equal Weight futures gain traction, offering more diversification
- Real estate, utilities and communications sectors continue to lead Sector futures growth
- AIR Total Return futures: Soaring volume and T+1 Transition
- Demand for listed Dividend futures and options accelerates
- Nikkei futures: rising liquidity and an expanding product suite
- Recapping the Equity Quarterly Roll on E-mini S&P 500 futures
- Q3 2024 volume and open interest
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U.S. equity market volatility drove Equity options volume record
The growth in the U.S. equity market this year has largely been driven by the technology sector. However, we saw considerable rotations between Equity Indices and Sectors in Q3, evident by the growing interest in Russell 2000 and S&P 500 Equal Weight Indices and significant pullbacks in Nasdaq-100 and S&P 500, which have outperformed our other benchmark indices for the last 18 months.
Equity Index options average daily volume (ADV) reached over a record 1.6M contracts, up 12% vs Q3 2023. Traders continued to embrace the liquidity and flexibility of the suite.
- E-mini S&P 500 options (ES) ADV exceeded 1.5M contracts in Q3 (+10% vs Q3 2023).
- E-mini Nasdaq-100 options (NQ) ADV surpassed 90K contracts in Q3 (+18% vs. Q3-2023). The contract also achieved a single-day volume record of 174,626 on July 24.
- Equity Index options overnight ADV reached a record 263K contracts.
- E-mini Russell 2000 options (RTY) had a single day volume record of 53,692 contracts traded on July 16.
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Options block trading gains traction as liquidity deepens
Market participants continue to access deep pools of liquidity on larger sized trades using E-mini S&P 500 options blocks.
- Equity options blocks ADV traded 125K contracts in Q3 (+19% vs. Q3-2023).
- Nearly 72M E-mini S&P 500 options have traded via blocks since launch three years ago.
- E-mini Nasdaq-100 (NQ) options blocks have traded over 282K contracts.
Micro E-mini futures provide essential liquidity during Q3 market swings
On August 1, a downturn in key U.S. economic sectors – manufacturing, construction and employment – precipitated sharp declines in major stock indices and many financial assets, triggering a significant deleveraging event in Japan.
As volatility rose, the equity markets also saw a flurry of activity. Micro E-mini Nasdaq-100 futures (MNQ) achieved a record single-volume day of 3.4 million contracts on August 5. This impressive volume highlights the global liquidity available, enabling investors to effectively manage equity market risks.
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E-mini S&P 500 Equal Weight futures gain traction, offering more diversification
In the run-up to September expiry, E-mini S&P 500 Equal Weight futures (EWF) saw significant trading momentum as participants continued to seek market breadth and diversification. 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.
- 13,778 contracts traded on September 16, a single-day volume record.
- September daily volume averaged 1.8K contracts.
- 62.7K total contracts have traded since launch, and notional open interest (OI) has grown to increased to $2.2B contracts.
Real estate, utilities and communications sectors continue to lead Sector futures growth
Growth in Sector futures is driven by increased participation in the real estate, utilities and communications sectors.
- Sector futures achieved a single-day OI record of 548,886 contracts on August 20.
- YTD volume averaged a record 21K contracts, up 12% vs. 2023.
- Average OI YTD reached record levels of 266K contracts (+11% vs 2023).
The market has embraced the derived block functionality on Sector futures, which has facilitated greater intraday liquidity. Over 760K derived block contracts ($55B notional) have traded since launch across Sector futures with single trades up to $1 billion notional.
What’s new? Coming October 28,* seven new Sector options on futures will join our suite of 19 liquid Sector futures, enabling market participants to capture exposure to leading Equity sectors.
AIRily capital efficient
Adjusted Interest Rate (AIR) Total Return futures support the futurization of traditional OTC equity swaps.Gain insight into CFTC positioning and discover tools tht can enhance your trading strategies in our latest article.
AIR Total Return futures: Soaring volume and T+1 Transition
OI in Adjusted Interest Rate (AIR) Total Return futures across the S&P 500, Nasdaq-100 and Russell 2000 Indices continued to grow in the post-UMR environment and reached an all-time high of 647,420 contracts on September 17.
- OI reached 498K contracts, +45% versus 2023.
- 2024 ADV surpassed 10.5K contracts, up +129% vs 2023.
- YTD Globex ADV is 2K contracts,+463% vs 2023.
AIR Total Return futures on U.S. indices are designed to provide total return exposure with an overnight floating rate built in, offering similar economics to an equity index total return swap with futures’ margin efficiency.
AIR S&P 500 Total Return (SOFR) futures (ASPR) provide a capital-efficient and flexible new way to capture total return exposure enhanced with SOFR (Secured Overnight Financing Rate) as the built-in floating rate. Since the launch in August, AIR TRF SOFR (ASPR), OI has reached 10,650 contracts.
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Demand for listed Dividend futures and options accelerates
Recently launched options on S&P 500 Annual Dividend futures provide more opportunities to manage U.S. dividend risk. Following the success of S&P 500 Annual Dividend Index futures (SDA), market participants sought ways to trade dividend index volatility using sophisticated option strategies.
The demand to trade and risk manage dividend exposure via listed dividend futures and options has accelerated over the last few years.
- Dividend futures ADV in Q3 exceeded 5.1K contracts and OI averaged a record 344K
- Since launch in January, options on Dividend futures traded over 136K contracts, with OI reaching a record 106K contracts in September.
Nikkei futures: rising liquidity and an expanding product suite
Trading volume continues to grow in our Nikkei futures suite, with YTD ADV across our USD- and yen-denominated Nikkei futures reaching 41K contracts, up +8% vs 2023. Q3 2024 ADV was 45K contracts (+22% vs Q3-2023).
What’s new? Starting October 28, pending regulatory review, two new Micro Nikkei futures contracts will be available to allow market participants to access more Japanese benchmark exposure with greater precision. These contracts are denominated in JPY and USD and sized at 50 yen and $0.50, respectively, complementing our existing suite of standard and E-mini Nikkei contracts.
Recapping the Equity Quarterly Roll on E-mini S&P 500 futures
The Q3 2024 Equity Roll (Sept/Dec) implied financing spread decreased to 3-month SOFR +67 bps from the 3-month SOFR +73 bps for (Mar/Jun).
The roll was +21 bps from the Q3 2023 roll of +46 bps, continuing to increase the running 4-quarter moving average to +65 bps (note 3-month SOFR has replaced 3-month Libor as the reference)
Q3 2024 volume and open interest
Equity Index futures:
- Volume: 5.8M ADV (+18% vs. Q3-2023)
- OI: 5.0M contracts per day (+1% vs Q3-2023)
Equity Index options on futures:
- Volume: 1.6M ADV (+12% vs Q3-2023)
- OI: 7.2M contracts per day (+24% vs.Q3-2023)
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