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
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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
www.cmegroup.com/equities STATS AT A GLANCE FUTURES May 2014 Average Daily Volume Open Interest May 2014 ADV $Notional Open Interest O.I. $Notional Index Close 30-2014 YTD Price 20 Day Hist. Ticker ADV Contracts ($millions) Contracts ($millions) May-'14 Return Volatility S&P 500 E-mini S&P 500 ES 1,316,801 126,648 3,071,343 295,397 1,923.57 4.07% 8.41% S&P 500 SP 6,940 3,337 153,726 73,926 S&P 500 Total 1,323,741 129,985 3,225,069 369,323 S&P 400 E-mini S&P MidCap 400 EMD 15,915 2,193 91,754 12,644 1,377.98 2.64% 10.60% S&P MidCap 400 MD 54 37 1,730 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 - 0.00 - - 653.01-1.88% 17.07% S&P SmallCap 600 Total - 0.00 - - S&P Select Sector E-mini S&P Con. Discr XAY 83 5 1,883 124 659.12-1.92% 11.26% E-mini S&P Con. Staple XAP 120 5 4,722 213 450.60 4.46% 8.03% E-mini S&P Energy XAE 396 38 902 86 953.85 7.42% 9.84% E-mini S&P Financial XAF 63 3 2,184 121 222.21 1.72% 11.12% E-mini S&P Health Care XAV 80 5 2,206 132 599.01 7.52% 9.74% E-mini S&P Industrial XAI 68 4 2,454 132 539.87 3.25% 10.70% E-mini S&P Materials XAB 38 2 622 32 518.46 5.92% 10.00% E-mini S&P Tech XAK 111 4 2,411 91 377.93 5.35% 9.67% E-mini S&P Utilities XAU 184 8 2,965 127 429.90 11.79% 14.83% S&P Select Sector Total 1,143 75 20,349 1,060 ND100 E-mini NASDAQ-100 NQ 263,861 19,720 361,998 27,054 3,736.82 4.03% 11.45% NASDAQ-100 ND 942 352 18,127 6,774 NASDAQ-100 Total 264,803 20,072 380,125 33,828 DJIA E-mini Dow $5 YM 125,607 10,499 131,501 10,992 16,717.17 0.85% 8.45% DJIA - $10 Dow DJ 186 31 4,878 815 DJIA Total 125,793 10,530 136,379 11,807 NK225 Nikkei 225 (US$) NK 14,210 1,040 60,129 4,399 14,632.38-10.18% 17.70% Nikkei 225 (Yen) NIY 33,474 2,406 113,117 8,130 E-mini Nikkei 225 (Yen) ENY 29 0.417 138 2 Nikkei 225 Total 47,713 3,445 173,384 12,529 Ibovespa Ibovespa (US$) IBV 4 0 54 3 51,239.34-0.52% 19.02% Ibovespa Total 4 0 54 3 2
STATS AT A GLANCE Monthly Stock Index Review OPTIONS ON FUTURES May 2014 May 2014 ADV Contracts Open Interest Contracts Index Close 30-May-'14 2014 YTD Price Return 20 Day Hist. Volatility S&P 500 E-mini S&P 500 223,770 2,537,220 1,923.57 4.07% 8.41% Weekly E-mini S&P 500 83,982 384,172 EOM E-mini S&P 500 33,368 86,024 S&P 500 27,843 297,643 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 400 5 315 1,377.98 2.64% 10.60% S&P MIdCap 400 Total 5 315 ND100 E-mini NASDAQ-100 10,350 63,078 3,736.82 4.03% 11.45% Weekly E-mini NASDAQ-100 1,295 5,603 EOM E-mini NASDAQ-100 561 7,248 NASDAQ-100 0 42 Weekly NASDAQ-100 0 0 NASDAQ-100 Total 12,206 75,971 DJIA E-mini Dow $5 794 20,045 16,717.17 0.85% 8.45% DJIA - $10 Dow 10 13 DJIA Total 804 20,058 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% - 10.09% Financials 16.40% 22.75% - 11.55% 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 100.00% 100.00% 100.00% 100.00% 3
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www.cmegroup.com/equities 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 500 100.00% S&P MidCap 400 94.53% 100.00% S&P SmallCap 600 88.81% 94.80% 100.00% DJIA 96.24% 88.37% 82.05% 100.00% NASDAQ-100 91.80% 87.56% 86.09% 82.42% 100.00% Russell 2000 88.86% 94.95% 99.05% 80.86% 88.55% 100.00% DJ U.S. Real Estate 66.08% 69.02% 62.69% 60.25% 59.37% 62.28% 100.00% Nikkei 225 5.71% 7.90% 2.93% 5.82% 6.16% 5.42% -1.69% 100.00% Brazil Ibovespa 25.49% 27.23% 22.19% 27.41% 18.91% 20.80% 17.81% 1.34% 100.00% CSI 300-1.40% 3.21% 1.39% -3.11% 2.41% 0.95% 8.52% 5.39% 21.14% 100.00% CNX Nifty 23.69% 26.55% 30.28% 23.19% 22.12% 28.64% 2.46% 24.10% 18.35% 14.52% 100.00% MEXBOL 49.05% 49.53% 44.87% 47.70% 42.79% 43.75% 39.50% 7.54% 46.80% 18.40% 8.23% 100.00% S&P 500 vs. S&P Select Sector Correlations YTD May 2014 S&P 500 S&P 500 100.00% Con. Discretionary Con. Discretionary 91.71% 100.00% Con. Staples 80.09% 68.88% 100.00% Con. Staples Energy Financial Energy 79.32% 67.19% 66.55% 100.00% Financial 91.85% 84.43% 68.72% 68.70% 100.00% Health Care 87.77% 76.69% 63.64% 63.13% 76.57% 100.00% Industrial 94.21% 85.60% 75.04% 77.53% 88.10% 77.80% 100.00% Health Care Industrial Materials Technology Utilities Materials 87.70% 79.72% 65.63% 71.98% 80.79% 73.66% 86.31% 100.00% Technology 91.64% 83.76% 68.62% 62.31% 78.06% 79.26% 81.59% 78.21% 100.00% Utilities 34.04% 17.78% 45.07% 38.39% 24.99% 26.75% 29.03% 28.43% 25.28% 100.00% 8
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