Monthly Stock Index Review

Transcription

1 EQUITY INDEX MAY 2014 Monthly Stock Index Review A Global Trading Summary of Stock Index Futures and Options» Highlights» Stats At-a-Glance» ADVs» 20-Day Historical Volatilities» Index Sector Weightings» Index and Sector Correlations How the world advances

2 Find the latest information and strategies you need to manage your global equity exposure. Equity Index Futures and Options on Futures View comprehensive information on our global portfolio of benchmark equity index futures and options on futures Learn the latest solutions for your risk-management and execution needs using our products Capitalize on analytical tools and educational resources Access the latest volumes, open interest and opportunities related to volatility, index correlations, price returns and sector weightings For more information visit cmegroup.com/equities.

3 Monthly Stock Index Review HIGHLIGHTS May 2014 FUTURES E-mini NASDAQ-100 futures averaged 263,861 contracts per day, up 28% vs. May 2013 OPTIONS E-mini NASDAQ-100 options (all expirations) averaged 12,206 contracts per day, up 302% vs. May 2013 E-mini NASDAQ-100 weekly options averaged 1,295 contracts per day, up 1345% vs. May 2013 S&P 500 Weekly options averaged 4,289 contracts per day, up 203% vs. May 2013 E-mini S&P 500 Weekly options averaged 83,982 contracts per day, up 17% vs. May 2013 NEW! As of May 19, Weekly options on E-mini Dow ($5) and DJIA $10 futures are available to help you capitalize on short-term option trading opportunities on the benchmark Dow Jones Industrial Average. REMINDER: The expiration date and time for July Week 1 equity index options will be Thursday, July 3, 2014 at 12:00 noon CT due to the Independence Day holiday the following day. SECTOR FUTURES Dow Jones US Real Estate Index futures averaged 316 contracts per day, up 373% vs. May 2013 Discover a liquid, cost-effective and capital-efficient way to manage portfolio sector exposure or implement directional views and sector rotation strategies: CME Group s E-mini S&P Select Sector Futures. Learn more about the nine E-mini S&P Select Sector futures at our newly-updated Select Sector resource center: cmegroup.com/sectors Track volume and liquidity trends in E-mini S&P Select Sector futures with our activity report: cmegroup.com/sectorreport BTIC EXPANSION Effective May 19, Basis Trade at Index Close (BTIC) block trade availability expanded to: E-mini S&P MidCap 400 futures (also added eligibility for regular block trades) NASDAQ Biotechnology futures E-mini S&P SmallCap 600 futures S&P 500/Value futures S&P 500 Growth futures 1

4 STATS AT A GLANCE FUTURES May 2014 Average Daily Volume Open Interest May 2014 ADV $Notional Open Interest O.I. $Notional Index Close YTD Price 20 Day Hist. Ticker ADV Contracts ($millions) Contracts ($millions) May-'14 Return Volatility S&P 500 E-mini S&P 500 ES 1,316, ,648 3,071, ,397 1, % 8.41% S&P 500 SP 6,940 3, ,726 73,926 S&P 500 Total 1,323, ,985 3,225, ,323 S&P 400 E-mini S&P MidCap 400 EMD 15,915 2,193 91,754 12,644 1, % 10.60% S&P MidCap 400 MD ,730 1,192 S&P MIdCap 400 Total 15,969 2,230 93,484 13,835 S&P 600 E-mini S&P SmallCap 600 SMC % 17.07% S&P SmallCap 600 Total S&P Select Sector E-mini S&P Con. Discr XAY , % 11.26% E-mini S&P Con. Staple XAP , % 8.03% E-mini S&P Energy XAE % 9.84% E-mini S&P Financial XAF , % 11.12% E-mini S&P Health Care XAV , % 9.74% E-mini S&P Industrial XAI , % 10.70% E-mini S&P Materials XAB % 10.00% E-mini S&P Tech XAK , % 9.67% E-mini S&P Utilities XAU , % 14.83% S&P Select Sector Total 1, ,349 1,060 ND100 E-mini NASDAQ-100 NQ 263,861 19, ,998 27,054 3, % 11.45% NASDAQ-100 ND ,127 6,774 NASDAQ-100 Total 264,803 20, ,125 33,828 DJIA E-mini Dow $5 YM 125,607 10, ,501 10,992 16, % 8.45% DJIA - $10 Dow DJ , DJIA Total 125,793 10, ,379 11,807 NK225 Nikkei 225 (US$) NK 14,210 1,040 60,129 4,399 14, % 17.70% Nikkei 225 (Yen) NIY 33,474 2, ,117 8,130 E-mini Nikkei 225 (Yen) ENY Nikkei 225 Total 47,713 3, ,384 12,529 Ibovespa Ibovespa (US$) IBV , % 19.02% Ibovespa Total

5 STATS AT A GLANCE Monthly Stock Index Review OPTIONS ON FUTURES May 2014 May 2014 ADV Contracts Open Interest Contracts Index Close 30-May-' YTD Price Return 20 Day Hist. Volatility S&P 500 E-mini S&P ,770 2,537,220 1, % 8.41% Weekly E-mini S&P , ,172 EOM E-mini S&P ,368 86,024 S&P , ,643 Weekly S&P 500 4,289 52,386 EOM S&P 500 3,760 2,440 S&P 500 Total 377,012 3,359,885 S&P 400 E-mini S&P MidCap , % 10.60% S&P MIdCap 400 Total ND100 E-mini NASDAQ ,350 63,078 3, % 11.45% Weekly E-mini NASDAQ-100 1,295 5,603 EOM E-mini NASDAQ ,248 NASDAQ Weekly NASDAQ NASDAQ-100 Total 12,206 75,971 DJIA E-mini Dow $ ,045 16, % 8.45% DJIA - $10 Dow DJIA Total ,058 Index GICS Sector Weightings (As of May 30, 2014) S&P 500 S&P MidCap 400 NASDAQ-100 DJIA Consumer Discretionary 11.73% 12.70% 21.16% 12.00% Consumer Staples 10.12% 3.67% 12.01% 8.97% Energy 10.91% 5.62% % Financials 16.40% 22.75% % Health Care 13.65% 10.74% 18.62% 12.13% Industrials 10.99% 18.53% 2.03% 23.63% Technology 19.37% 14.32% 45.92% 17.90% Materials 3.68% 7.20% 0.26% 3.75% Utilities 3.16% 4.45% - - Total % % % % 3

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10 Index Correlations YTD May 2014 S&P MidCap 400 S&P SmallCap 600 DJIA ND100 R2000 DJ U.S. Real Estate Nikkei 225 Brazil Ibovespa CSI 300 CNX Nifty MEXBOL S&P 500 S&P % S&P MidCap % % S&P SmallCap % 94.80% % DJIA 96.24% 88.37% 82.05% % NASDAQ % 87.56% 86.09% 82.42% % Russell % 94.95% 99.05% 80.86% 88.55% % DJ U.S. Real Estate 66.08% 69.02% 62.69% 60.25% 59.37% 62.28% % Nikkei % 7.90% 2.93% 5.82% 6.16% 5.42% -1.69% % Brazil Ibovespa 25.49% 27.23% 22.19% 27.41% 18.91% 20.80% 17.81% 1.34% % CSI % 3.21% 1.39% -3.11% 2.41% 0.95% 8.52% 5.39% 21.14% % CNX Nifty 23.69% 26.55% 30.28% 23.19% 22.12% 28.64% 2.46% 24.10% 18.35% 14.52% % MEXBOL 49.05% 49.53% 44.87% 47.70% 42.79% 43.75% 39.50% 7.54% 46.80% 18.40% 8.23% % S&P 500 vs. S&P Select Sector Correlations YTD May 2014 S&P 500 S&P % Con. Discretionary Con. Discretionary 91.71% % Con. Staples 80.09% 68.88% % Con. Staples Energy Financial Energy 79.32% 67.19% 66.55% % Financial 91.85% 84.43% 68.72% 68.70% % Health Care 87.77% 76.69% 63.64% 63.13% 76.57% % Industrial 94.21% 85.60% 75.04% 77.53% 88.10% 77.80% % Health Care Industrial Materials Technology Utilities Materials 87.70% 79.72% 65.63% 71.98% 80.79% 73.66% 86.31% % Technology 91.64% 83.76% 68.62% 62.31% 78.06% 79.26% 81.59% 78.21% % Utilities 34.04% 17.78% 45.07% 38.39% 24.99% 26.75% 29.03% 28.43% 25.28% % 8

11 CME Group Equity Index Products CME Group is the leading equity index derivatives marketplace, offering futures and options on key benchmark indexes that cover the spectrum of small-, medium- and large-cap indexes in the United States, Europe and Asia. Our global product suite includes contracts on such well-known indexes as the S&P 500, MidCap 400, SmallCap 600, Dow Jones Industrial Average, NASDAQ-100, Nikkei 225 Stock Average, CNX Nifty, Ibovespa and more. CME Clearing matches and settles all trades and guarantees the creditworthiness of every transaction that takes place in our markets. With CME Group, you gain access to the tools that enable you to manage global equity investment risks and gain access to pricing variations efficiently, cost-effectively and securely. For more information, please contact the Equity Index Products team: Chicago Thomas Boggs Richard Co Scot Warren New York Tim McCourt Giovanni Vicioso London Matthew Tagliani

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