The U.S. equity market experienced growth in the second quarter of 2024, with the S&P 500 and Nasdaq-100 reaching record highs. This was largely propelled by large caps especially in the technology sector, while small-cap stocks continued to underperform. Although market volatility continues to languish, Q2 saw certain Equity futures and option products achieve new records in the run up to the June expiry.

Equity Index options led with more liquidity and trading records. Year-to-date average daily volume (ADV) reached over 1.6M contracts, up 28% vs. Q2 2023. Traders continued to embrace the liquidity and flexibility of the suite.

• E-mini S&P 500 options traded over 1.5M contracts in Q2-2024 (+34% vs Q2-2023).
• E-mini Nasdaq-100 options also drove overall growth in the Equity options suite with ADV surpassing 80K contracts in Q2 (+27% vs. Q2-2023). The contract achieved a single-day volume record of 159,697 on April 19.
• Equity options YTD overnight ADV was a record 265K contracts across the suite.

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 127K contracts in Q2 (+47% vs. Q2-2023). Nearly 65M E-mini S&P 500 options have traded via blocks since launch three years ago. E-mini Nasdaq-100 (NQ) options blocks have traded 230K+ 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. The contract serves as an alternative expression of the S&P 500 Index in taking risk exposure, while offering margin offsets with other Equity Index contracts. Since launch in February, 7.8K contracts have traded, and open interest (OI) increased to 2K+ contracts with further inflows.

YTD volume averaged a record 20K contracts, up 9% vs. 2023, and average open interest reached record levels of 265K contracts (+11% vs 2023). Growth in Sector futures is driven by increased participation in the real estate, utilities and communications sectors.

The market has embraced the derived block functionality on Sector futures, which has facilitated greater intraday liquidity. Over 660K derived block contracts ($50B notional) have traded via this functionality since launch across the various sector products with single trades up to $1B notional being executed.

Adjusted Interest Rate (AIR) Total Return futures across the S&P 500, Nasdaq-100 & Russell 2000 Indices have seen volume continuing to accelerate as traders embrace capital efficiencies. AIR Total Return futures YTD volume averaged 9.9K+ contracts, up +115% vs 2023. Nearing expiry, the suite traded a single-day volume record of 56,711 contracts on June 20.

S&P 500 AIR Total Return futures highlights:

• Q2 2024 ADV reached a record 11.2K contracts (+38% vs Q1).
• Q2 2024 average OI reached 467K contracts (+19% vs Q2).
• YTD Globex ADV is 2.2K contracts (+528% vs 2023).

Trading activity and client participation continue to grow in the Nasdaq-100, Russell 2000 and Dow Jones AIR Total Return products.

Transition to T+1 settlement: The U.S. securities markets transitioned to a shorter settlement cycle on May 28, 2024. AIR TRF contracts based on U.S. indices were impacted. The change to T+1 dictates the calculation of the accrued financing as well as the financing spread adjustment. Read the FAQ to learn more.

Recently launched options on S&P 500 Annual Dividend futures provide more opportunities to manage U.S. dividend risk, building upon the robust Dividend futures suite at CME Group. Dividend futures ADV in Q2 exceeded 4.5K contracts, and OI averaged 320K. On April 18, 12,155 options on Dividend futures contracts traded, a single-day record.

Volume continues to grow in Annual Dividend Index futures available on Nasdaq-100 and Russell 2000. 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, market participants have looked for access to a product that allows for trading dividend index volatility through complex option strategies.

The Q2 2024 Equity roll (Jun/Sept) implied financing spread to 3-month SOFR increased to +73 bps (vs. +36 bps in Q1 2023), raising the 4-quarter moving average to +60 bps (note 3-month SOFR has replaced 3-month Libor as the reference).

Equity Index futures:

• Volume: 5.2M ADV (+6% vs. Q2-2023)
• Open interest: 5.0M contracts per day

Equity Index options on futures:

• Volume: 1.6M ADV (+30% vs Q2-2023)
• Open interest: 7.0M contracts per day (+25% vs.Q2-2023)

Source: CME Group. Data as of June 28, 2024, unless otherwise indicated.

• The 2024 YTD ADV is 40K contracts (+3% vs 2023) with average OI at 68K (+4%vs 2023).
  
• CME Group is the only venue offering liquid USD Nikkei futures: USD Nikkei ADV is more than 9K, up 29% vs. 2023.
• Nikkei 225 futures vs. U.S. benchmark indices offer up to a 70% margin offset. Find more information about margin offsets.
• In 2024 YTD, ~70% of trades occurred outside of Tokyo cash hours and ~60% traded during ETH. CME Group is the venue to hedge the overnight risk after the Tokyo market close.
• Nikkei BTIC (Basis at Index Close) available for those who trade Nikkei futures vs. cash stock baskets or ETFs.
• Liquid inter-commodity spread between USD and JPY Nikkei225 futures is available on screen (BBRG: NXNH) Implied ICS, offers 1:1 quanto spread between USD and JPY Nikkei225 futures in one single trade.
• Volume Incentive Program (VIP) is available to provide competitive fees. 

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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