November Equity Index Product Review

*Through November 30, 2022

• Equity Index futures and options volume averaged 6.9 million contracts per day in November 2022 (+22% vs. Nov-2021)
• Equity Index open interest averaged 10.3 million contracts per day for the month of November 2022 (+9% vs. Nov-2021)

Bitcoin futures and options: Futures and options trading in November continued to gain traction as institutional interest increased. ADV was 14K (+4% vs. Oct-22) and open interest averaged 16.7K (+17% vs. Oct-22). LOIH averaged 101 for the month and a record 114 occurred the week of November 22. Nearly 90K Bitcoin options have traded since their launch in early 2020, November ADV was 290, +26% vs. Oct-2022. November average OI was 6K, with an average daily value of over $515M.

Micro Bitcoin futures: Micro Bitcoin futures have traded nearly 7.3M contracts since their May-21 launch. The futures are 1/10 of a Bitcoin and settled to the CF Bitcoin Reference Rate. November ADV was 16.4K (+57% vs. Oct-22) and OI averaged 23.8K (+4% vs. Oct-22).

Micro Bitcoin and Micro Ether options: CME Group introduced options on Micro Bitcoin futures and options on Micro Ether futures starting March 28. The new options are right-sized at 1/10 of their respective tokens. Over 425K contracts have traded since launch across the various expiries with trades submitted from EMEA, APAC and North America.

Learn more here:

• Landing page
• Fact card
• FAQ

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 2.4M CME Ether futures contracts have traded since launch (equivalent to 119M Ether). November ADV was 8K (+28% vs. Oct-22) and open interest averaged 5.2K (+24% vs. Oct-22). 

Ether options: Launched September 12, Ether options offer another way to efficiently manage ether exposure at a 50x multiplier. Nearly 1.1K contracts have traded since launch, equivalent to nearly 53.8K ether. 

Learn more here:

• Landing page
• Fact card
• FAQ

Micro Ether futures: Launched in December 2021, over 4.5M contracts have traded since launch. ADV in November was 22.6K (+44% vs. Oct-22) and OI averaged 36.1K. 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:

• Landing page
• Bitcoin Euro
• Ether Euro
• FAQ
• Fact card

Micro E-mini futures: Nearly 1.8B Micro E-mini Equity Index futures contracts have traded since launch. In November, Micro E-mini S&P 500 futures ADV was 1.3M and Micro E-mini Nasdaq-100 futures ADV was 1.2M.  

Learn more here:

• Landing page

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 a November ADV of 12.7K. 

Learn more here:

• Landing page
• FAQ

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 liquidity through E-mini S&P 500 futures. November ADV was 217.7K between both contracts with over 27.6M contracts traded since launch. Learn more here.

E-mini Nadaq-100 Tuesday and Thursday options launched October 3. Over 150K contracts have traded since launch with an ADV of 4K. 

Learn more here:

• Landing page
• FAQ

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’ November ADV was 3.7K contracts and had an average OI of 270.6K contracts (+7% vs. Oct-2022). New participants continued to enter the market with the number of Large Open Interest Holders (LOIH) at an average of 103 for the month. 

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.  Over 16.4K Russell 2000 Annual Dividend futures have traded, and open interest was around 14.9K at month-end. Nasdaq-100 Annual Dividend futures have traded over 2.4K contracts with open interest at 2.3K at month-end. 

Learn more here:

• Landing page
• SER
• FAQ

E-mini S&P 500 option blocks: Participation in ES options blocks continues to grow, allowing market participants to execute large trades with greater efficiency. Over 23.3M ES options blocks have traded with November ADV at 61.2K 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 Sep-20, 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 November was 2.1K (+9% vs. Oct-2022), OI reached a record 285,012 on November 30 and averaged a record 280K for the month (+3% vs. Oct-2022). Russell 2000 AIR TRFs are now trading 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 allow 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 E-mini S&P 500 ESG futures continue to experience growth with November ADV at 750 and open interest averaging 14.7K (+13% vs. Oct-2022). 

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 the S&P 500 ESG index, and is right-sized in terms of number of constituents at around 230. Since launch, nearly 3.7K futures have traded. 

Learn more here:

• Landing page
• FAQ
• Fact card

TOPIX futures: Launched November 21, USD-denominated TOPIX futures provide market participants a new way to capture benchmark Japanese equity exposure while minimizing FX risk. This is the first USD-denominated TOPIX futures contract, which complements the existing yen-denominated TOPIX contract and provides trading opportunities in different currencies. Achieve capital efficient exposure by saving on potential margin offsets against other Equity Index futures at CME Group. Traders can utilize the dynamic quanto spreading opportunities between the yen- and USD-denominated TOPIX contracts created by the JPY/USD exchange rate. Access trading through outrights electronically on CME Globex, capture the certainty of the close using Basis Trade at Index Close (BTIC), or bilaterally negotiate EFP transactions. 

Learn more here:

• Landing page
• FAQ
• Fact card