October Equity Index Product Review – CME Group

 

Product Code

Bloomberg Ticker

Oct ADV

YTD ADV*

Open Interest

E-mini ES ESA Index 2,249,071 1,993,941 2,353,982
Micro E-mini MES HWA Index 1,585,756 1,390,972 172,083
BTIC EST STEA Index 42,971 41,045
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 ESQ TQA Index 893 268
TACO+ EQ1 EQ1TACO yyyymmdd Index  
E-mini ESG ESG SLBA Index 1,357 1,538 14,574
End-Of-Month EW SCA Index 122,323 136,509 448,340
Quarterlies ES ESA Index 117,035 159,952 1,815,777
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
E-mini NQ NQA Index 758,903 711,729 283,319
Micro E-mini MNQ HWB Index 1,509,736 1,511,283 132,854
BTIC NQT QNTA Index 5,468 4,645
End-Of-Month QNE QNAA Index 4,470 7,287 10,961
Quarterlies NQ NQA Index 7,909 10,733 105,838
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
E-mini YM DMA Index 199,004 204,344 76,166
Micro E-mini MYM HWI Index 174,840 185,651 132,854
BTIC YMT YMTA Index 1,345 1,093
E-mini RTY RTYA Index 245,590 242,365 516,019
Micro E-mini M2K HWR Index 139,584 138,060 24,582
BTIC RLT RLBA Index 3,530 3,954
E-mini ME FAA Index 13,955 16,114 48,562
Nikkei 225 ENY, N1, NK YMEA, NXA, NHA Index 48,965 43,603 63,686
Ibovespa IBV IBAA Index 3 3 17
TOPIX TPY TPYA Index 75 95 123
Comm. Srvcs. XAZ XASA Index 397 200 2,926
Cons. Discr. XAY IXYA Index 929 656 4,414
Cons.

Staples

XAP IXRA Index 2,742 1,379 14,149
Energy XAE IXPA Index 5,630 3,304 31,421
Financial XAF IXAA Index 3,209 1,779 24,793
Health Care XAV IXCA Index 2,248 1,300 13,883
Industrial XAI IXIA Index 2,386 1,401 13,299
Materials XAB IXDA Index 1,157 739 7,059
Real Estate XAR XARA Index 666 327 5,761
Technology XAK IXTA Index 2,917 1,293 10,746
Utilities XAU IXSA Index 2,981 1,737 12,375
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
Bitcoin BTC BTCA Curncy 13,305 10,741 13,163
Micro Bitcoin MBT BMRA Curncy 10,426 15,415 26,326
Ether ETH DCRA Curncy 6,292 6,341 4,416
Micro Ether ETH MERA Curncy 15,696 20,340 51,055
Bitcoin BTC BTCA Curncy 231 137 3,724
Micro Bitcoin WM BMRA Curncy 336 490 4,044
Ether ETH DCRA Curncy 22 16 354
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: