October Equity Index Product Review – CME Group
|Micro E-mini||MES||HWA Index||1,585,756||1,390,972||172,083|
|BTIC+||ES1, ES2||ES1BTIC yyyymmdd Index||–||36||–|
|Dividend Future||SDA, SDI||ASDA, ISDA Index||4,604||4,209||283,088|
|Total Return Futures||TRI, CTR||SRTA, CTIA Index||1,875||3,525||334,259|
|TACO+||EQ1||EQ1TACO yyyymmdd Index||–||–|
|E-mini ESG||ESG||SLBA Index||1,357||1,538||14,574|
|Monday Weekly||E1A-E5A||IWWA Index||157,010||138,496||117,941|
|Tuesday Weekly||E1B-E5B||IMBA Index||127,959||88,932||191,375|
|Wednesday Weekly||E1C-E5C||IEWA Index||173,765||164,482||245,532|
|Thursday Weekly||E1D-E5D||IMDA Index||137,260||85,679||55,232|
|Weekly||EW1 – EW4||1EA-4EA Index||557,740||432,450||1,821,667|
|Micro E-mini||MNQ||HWB Index||1,509,736||1,511,283||132,854|
|Monday Weekly||Q1A-Q5A||QNBA Index||4,634||4,866||3,990|
|Tuesday Weekly||Q1B-Q5B||QETA Index||1,860||1,860||3,367|
|Wednesday Weekly||Q1C-Q5C||QNCA Index||7,181||6,606||7,746|
|Thursday Weekly||Q1D-Q5D||QHTA Index||1,548||1,548||1,300|
|Weekly||QN1 – QN4||1OA-4A Index||22,256||18,330||45,238|
|Micro E-mini||MYM||HWI Index||174,840||185,651||132,854|
|Micro E-mini||M2K||HWR Index||139,584||138,060||24,582|
|Nikkei 225||ENY, N1, NK||YMEA, NXA, NHA Index||48,965||43,603||63,686|
|Comm. Srvcs.||XAZ||XASA Index||397||200||2,926|
|Cons. Discr.||XAY||IXYA Index||929||656||4,414|
|Health Care||XAV||IXCA Index||2,248||1,300||13,883|
|Real Estate||XAR||XARA Index||666||327||5,761|
|Dow Jones Real Estate||JR||DJEA Index||8,271||3,721||49,566|
|Nasdaq Biotech||BQ||DBA Index||28||10||223|
|FTSE China 50||FT5||FCYA Index||6||34||–|
|Russell 1000||RS1||RSYA Index||794||632||10,857|
|Russell 1000 Growth||RSG||RGYA Index||736||420||6,565|
|Russell 1000 Value||RSV||RVYA Index||1,886||1,115||15,877|
|Micro Bitcoin||MBT||BMRA Curncy||10,426||15,415||26,326|
|Micro Ether||ETH||MERA Curncy||15,696||20,340||51,055|
|Micro Bitcoin||WM||BMRA Curncy||336||490||4,044|
|Micro Ether||VM||MERA Curncy||1,884||2,101||74,959|
Data through October 31, 2022
Bitcoin futures and options: Futures ADV in October was 13.3K and open interest averaged 14.3K (+2% vs. Sep-22). LOIH averaged 93 for the month institutional interest continues.
Over 83.6K Bitcoin options have traded since their launch in early 2020 for a notional value of nearly £10.5B. October average OI was 3.9K, with an average daily value of nearly £383M. Micro Bitcoin futures: Launched May 2021, Micro Bitcoin futures have traded nearly 7M contracts.
The futures are 1/10 of a bitcoin and settled to the CF Bitcoin Reference Rate. October ADV was 10.4K and OI averaged 19.3K. Micro Bitcoin and Micro Ether options: CME Group introduced options on Micro Bitcion futures and options on Micro Ether futures starting March 28.
The new options are right-sized at 1/10 of their respective tokens. Over 394K contracts have traded since launch across the various expiries with trades submitted from EMEA, APAC and North America. Learn more here:
Ether futures: CME Group launched Ether futures on February 8, 2021. The contract is cash-settled and based on the regulated CME CF Ether-Dollar Reference Rate. Over 2.2M CME Group Ether futures contracts have traded since launch (equivalent to 111M Ether).
October ADV was 6.3K and open interest averaged 4.2K. Ether options: Launched on September 12, Ether options offer another way to efficiently manage ether exposure at a 50x multiplier. Nearly 600 contracts have traded since launch, equivalent to nearly 29K ether.
Learn more here: Micro Ether futures: Launched in December 2021, over 4.5M contracts have since traded. ADV in October was 15.7K and OI averaged 46.5K.
Sized at 1/10 of one ether, the contract provides an efficient, cost-effective way to manage exposure to one of the largest cryptocurrencies by market capitalization. Enjoy the same features of the larger Ether futures (ETH) at a fraction of the size, settled to the regulated CME CF Ether-Dollar Reference Rate. Bitcoin Euro and Ether Euro futures: CME Group launched Bitcoin Euro and Ether Euro futures on August 29.
The new contracts are designed to match that of their U.S.-denominated counterparts at five bitcoin or 50 ether per contract. The contracts will settle to the respective CME CF Bitcoin-Euro Reference Rate (BTCEUR_RR) and CME CF Ether-Euro Reference Rate (ETHEUR_RR). Learn more here:
Micro E-mini futures: Nearly 1.8B Micro E-mini Equity Index futures contracts have traded since launch. Micro E-mini S&P 500 futures have maintained their majority share of the complex for the second month in a row with an ADV of 1.6M throughout the month. Micro E-mini Nasdaq-100 futures ADV was 1.5M in October.
Learn more here: Micro E-mini options: CME Group launched Micro E-mini options on the S&P 500 and Nasdaq-100 indices in 2020. Micro E-mini Nasdaq-100 options continue to gain ground against their Micro E-mini S&P 500 option counterpart in terms of volume contribution.
Since launch, a combined 5.3M contracts have traded, with an October ADV of 12.7K. Learn more here: E-mini Tuesday and Thursday options: CME Group launched E-mini S&P 500 Tuesday and Thursday options April 25.
The options offer more opportunities to manage short-term equity exposure with more choices to trade throughout the week. The contracts complement the existing suite of Quarterly, End-of-Month, and Monday, Wednesday, and Friday Weekly options. These options settle into liquid E-mini S&P 500 futures.
Between both contracts October ADV was 265K with over 23M contracts traded since launch. Learn more here. Launched October 3, trade E-mini Nadaq-100 Tuesday and Thursday options.
Over 71.6K contracts have traded since launch. Learn more here: Dividend futures: Equity Index Dividend futures provide an efficient tool to hedge or express a view on the U.S. dividend market, regardless of the price movement of the benchmark indices.
Quarterly and Annual contracts are available on the S&P 500 Index. CME Group Dividend futures continue to gain momentum as new participants enter the market. S&P 500 Annual Dividend Index futures October ADV was 4.4K (+15% vs.
Sep-22) contracts and average OI of 253K contracts (+7% vs. Sep-22). New participants continued to enter the market with a number of Large Open Interest Holders (LOIH) with a quarter-end record of 106, which is +19% YoY.
Annual contracts became available on the Nasdaq-100 and Russell 2000 Indices as of April 11, with over 14.1K contracts having traded since launch. Learn more here: E-mini S&P 500 options blocks: Participation in ES options blocks continues to grow, allowing market participants to execute large trades with greater efficiency.
Over 22M ES options blocks have traded, with October ADV at 90.7K contracts. NQ options became block eligible starting January 24, with a minimum block threshold of 60 contracts. Over 15.5K contracts have traded since eligibility.
AIR Total Return futures: Launched September 2020, S&P 500 AIR TRFs offer clients a listed alternative to trading OTC swaps. Client adoption continues to gain momentum as the UMR deadlines approach. ADV in October was 1.9K, OI reached a record 276,912 on October 25 and averaged a record 273K for the month (9% vs.
Sep-22). Russell 2000 AIR TRF is starting to trade alongside Russell 2000 Dividend futures. E-mini S&P 500 ESG futures: The Environmental, Social, and Governance (ESG) investment theme continues to gain attention and implementation as the need for capitally efficient ESG solutions has grown.
The S&P 500 ESG futures contracts allows market participants to gain price exposure to an index that closely tracks the performance of the S&P 500, while adhering to ESG principles. CME Group E-mini S&P 500 ESG futures continue to experience significant growth, with October ADV at 1.3K and open interest averaging 13.2K. E-mini S&P Europe 350 ESG futures: Launched May 2021, the new E-mini S&P Europe 350 ESG futures are cash-settled to the S&P Europe 350 ESG index.
The index is Pan-European, covering developed markets across over 15 different countries. The four largest individual country weights as of April 8, 2021, are UK 23.58%, France 18.08%, Switzerland 17.16%, and Germany 14.90%. The index is based on the robust ESG index methodology, same as the one applied to S&P 500 ESG index and is right-sized in terms of the number of constituents at around 230.
Since launch, nearly 3.6K futures have traded.
Learn more here: