January 2025 Equity Insights

In 2024, growth in the U.S. equity markets was largely propelled by the technology sector. Post-election, the markets entered a period of transition, marked by uncertainties around the priorities of Trump's agenda. The initial post-election rally, reminiscent of 2016, quickly lost momentum. The Presidential inauguration week, however, saw the strongest performance since Reagan's era, but it remains to be seen if the market upswing will continue.

Specifically, we have seen considerable rotation between equity indices and sectors, evident by the growing interest in Russell 2000 and S&P 500 Equal Weight indices, and some significant pullbacks in Nasdaq-100 and S&P 500, which have outperformed other U.S. and global benchmark indices for the last 18 months.

The 2024 growth in Sector futures is driven by increased participation in the real estate, utilities and communications sectors. Adjacent market analysis shows Sector futures in aggregate have recently hit 22% of the ecosystem’s volumes. 

• 2024 average daily volume (ADV) reached a record of 21K contracts, +13% vs 2023.
• Open interest (OI) reached a record high of 405,410 on December 17 across 19 sectors, surpassing the previous OI high of 370,370 from December 2023.

On October 28, we launched seven new Sector options on futures to join our suite of 19 liquid Sector futures, enabling market participants to capture exposure to leading Equity sectors.

Over 822K contracts have been traded via this functionality since launch across the various Sector products, with single trades up to $1B notional being executed. The market has embraced the derived block functionality on Sector futures, which has facilitated greater intraday liquidity.

To provide greater access to derived block trading, the functionality has recently been expanded to all U.S. Equity blockable futures (excluding R2K and S&P MidCap 400).

Equity Index options ADV exceeded a record 1.6M contracts, up 11% vs. 2023, with record average OI of 6.9M contracts. Traders continued to embrace the liquidity and flexibility of the suite, which includes recently launched S&P 500 Dividend options, Bloomberg Commodity Index (BCOM) options and Sector options in 2024.

• E-mini S&P 500 options reached a record ADV of 1.5M contracts in 2024 (9% vs 2023).
• E-mini Nasdaq-100 options record ADV surpassed 83K contracts in 2024 (+28% vs. 2023).
• E-mini Russell 2000 options reached a record ADV of 17K contracts in 2024 (+102% vs 2023).

Traders have embraced the transition from open outcry Index option trading to privately negotiated options blocks. 

• Equity options blocks ADV traded 131K contracts in 2024 (+35% vs. 2023).
• Nearly 81M 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 298K contracts since launch.

Adjusted Interest Rate (AIR) Total Return futures across the S&P 500, Nasdaq-100 & Russell 2000 indices continued to grow in the post-UMR environment and achieved a single-day record 104,516 contracts ($32B notional) on December 17 and OI record of 936K contracts ($275B notional) on December 20.

• Record ADV in 2024 was 14K +197% vs 2023
• Record average OI in 2024 was 548K +60% vs. 2023
• 2024 Globex ADV of 1.7K, +381% 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 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.

More than 3B Micro E-mini Equity Index futures have traded across all four indices. With over 3B of these contracts traded in less than five years, our Micro E-mini Equity Index futures continue to establish themselves among the most actively traded and deeply liquid index products. As investors continue to navigate ongoing market uncertainty, index choice is as important as ever. Our breadth of products across every major U.S. index allows clients of all sizes to more nimbly scale exposure up or down.

• 2.5M contracts in ADV in 2024, +9% vs 2023
• 19% of volume outside U.S. trading hours
• More than 700 firms and 620,000 unique accounts have traded these contracts in the last year

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, 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 and options ADV in 2024 was a record 5.3K contracts, and OI averaged a record 424K.

Trading volume continues to grow in our Nikkei futures suite. In 2024, Nikkei (USD) ADV was 9K contracts, (+30% vs 2023) contributing to the total ADV of 37K contracts.

On October 28, we launched two new Micro Nikkei futures contracts, allowing 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.

• Micro Nikkei futures made a successful debut with an ADV of 5K contracts. 
• 541 unique accounts from 29 countries have traded since the launch. 

The Q4 2024 equity roll (Dec/Mar) implied financing spread decreased to 3-month SOFR +71bps from the 3-month SOFR +73bps for (Sep/Dec). 

The roll was +8 bps from the Q3 2023 roll of +62 bps, continuing to increase the running four-quarter moving average to +71 bps (note: 3-month SOFR has replaced 3-month LIBOR as the reference).

Equity Index futures:

• Volume: 4.9M ADV
• OI: 5.5M contracts per day

Equity Index options on futures:

• Volume: 1.4 ADV 
• OI: 6.8M contracts per day

Source: CME Group. Data as of Dec. 31, 2024 unless otherwise indicated.

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