Monthly Stock Index Review

Transcription

1 EQUITY October 2013 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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3 Monthly Stock Index Update HIGHLIGHTS October 2013 FUTURES E-mini S&P 500 futures averaged 1,698,660 contracts per day, up 6% vs. October E-mini S&P MidCap 400 futures averaged 20,803 contracts per day, up 6% vs. October E-mini NASDAQ 100 futures averaged 264,224 contracts per day, up 9% vs. October E-mini Dow ($5) futures averaged 151,340 contracts per day, up 33% vs. October Nikkei 225 (Yen) futures averaged 38,958 contracts per day, up 91% vs. October Nikkei 225 (USD) futures averaged 11,819 contracts per day, up 134% vs. October E-mini S&P Select Sector futures averaged 1,055 contracts per day, up 14% vs. October OPTIONS ON FUTURES Weekly S&P 500 options averaged 8,092 contracts per day, up 661% vs. October E-mini S&P 500 options (all expirations) averaged 438,875 contracts per day, up 104% vs. October EOM E-mini S&P 500 options averaged 25,951 contracts per day, up 97% vs. October Weekly E-mini S&P 500 options averaged 102,148 contracts per day, up 114% vs. October E-mini NASDAQ 100 options averaged 4,940 contracts per day, up 160% vs. October E-mini Dow ($5) options averaged 835 contracts per day, up 86% vs. October Learn more about these products at cmegroup.com/equities Learn more about Yen-Denominated Nikkei 225 Options at cmegroup.com/nikkei225 1

4 STATS AT A GLANCE FUTURES October 2013 Average Daily Volume Open Interest October 2013 ADV $Notional Open Interest O.I. $Notional Index Close YTD Price 20 Day Hist. Ticker ADV Contracts ($millions) Contracts ($millions) Oct-'13 Return Volatility S&P 500 E-mini S&P 500 ES 1,698, ,188 2,856, ,837 1, % 12.51% S&P 500 SP 8,122 3, ,334 72,604 S&P 500 Total 1,706, ,755 3,021, ,441 S&P 400 E-mini S&P MidCap 400 EMD 20,803 2, ,384 14, % 13.66% S&P MidCap 400 MD S&P MIdCap 400 Total 20,865 2, ,969 14,479 S&P 600 E-mini S&P SmallCap 600 SMC % 15.10% S&P SmallCap 600 Total S&P Select Sector E-mini S&P Con. Discr XAY % 14.74% E-mini S&P Con. Staple XAP , % 12.12% E-mini S&P Energy XAE % 14.21% E-mini S&P Financial XAF , % 16.66% E-mini S&P Health Care XAV , % 15.07% E-mini S&P Industrial XAI , % 12.87% E-mini S&P Materials XAB % 14.81% E-mini S&P Tech XAK , % 12.48% E-mini S&P Utilities XAU , % 12.57% S&P Select Sector Total 1, , ND100 E-mini NASDAQ-100 NQ 264,224 17, ,989 27, % 14.23% NASDAQ-100 ND ,678 2,931 NASDAQ-100 Total 265,162 18, ,667 30,898 DJIA E-mini Dow $5 YM 151,340 11, ,155 9, % 12.30% DJIA - $10 Dow DJ ,563 2,108 DJIA Total 152,024 11, ,718 11,759 NK225 Nikkei 225 (US$) NK 11, ,999 4, % 19.34% Nikkei 225 (Yen) NIY 38, ,094 82, ,517 Nikkei 225 Total 50, , , ,317 Ibovespa Ibovespa (US$) IBA % 17.96% Ibovespa Total

5 Monthly Stock Index Update STATS AT A GLANCE OPTIONS ON FUTURES October 2013 Oct 2013 ADV Open Index Close 2013 YTD 20 Day Hist. S&P 500 E-mini S&P ,776 1,821,088 1, % 12.51% EOM E-mini S&P ,951 53,776 Weekly E-mini S&P ,148 82,735 S&P , ,072 EOM S&P 500 1,880 2,696 Weekly S&P 500 8,092 2,457 S&P 500 Total 467,368 2,319,824 S&P 400 E-mini S&P MidCap % 13.66% S&P MIdCap 400 Total 4 2 ND100 E-mini NASDAQ-100 4,940 42, % 14.23% Weekly E-mini NASDAQ-100 1, EOM E-mini NASDAQ NASDAQ Weekly NASDAQ NASDAQ-100 Total 6,414 42,476 DJIA E-mini Dow $ , % 12.30% DJIA - $10 Dow DJIA Total ,904 Index GICS Sector Weightings (As of October 31, 2013) S&P 500 S&P MidCap 400 NASDAQ-100 DJIA Consumer Discretionary 12.35% 13.37% 21.46% 11.94% Consumer Staples 10.26% 3.25% 10.67% 9.68% Energy 10.65% 5.95% % Financials 16.19% 22.35% % Health Care 12.96% 10.86% 19.12% 11.63% Industrials 10.72% 17.85% 2.17% 23.20% Technology 20.17% 14.74% 46.33% 18.31% Materials 3.52% 6.94% 0.25% 3.46% Utilities 3.17% 4.67% - - Total % % % % 3

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10 S&P 500 vs. S&P Select Sector Correlations YTD October 2013 S&P 500 S&P % Con. Discretionary Con. Discretionary 93.05% % Con. Staples 81.53% 75.43% % Con. Staples Energy Financial Energy 85.23% 75.55% 59.49% % Financial 93.39% 85.22% 69.63% 80.86% % Health Care 85.87% 82.62% 80.46% 63.66% 76.18% % Industrial 92.59% 86.70% 68.78% 81.60% 85.93% 74.59% % Health Care Industrial Materials Technology Utilities Materials 86.56% 79.17% 62.28% 81.72% 80.90% 68.01% 86.08% % Technology 85.73% 74.33% 61.07% 66.86% 75.35% 63.03% 76.20% 70.96% % Utilities 66.19% 60.45% 68.65% 53.10% 57.37% 56.94% 59.39% 57.38% 47.59% % Index Correlations YTD October 2013 S&P MidCap 400 S&P SmallCap 600 DJIA ND100 R2000 DJ U.S. Real Estate Nikkei 225 Brazil Ibovespa CSI 300 S&P 500 MEXBOL S&P % S&P MidCap % % S&P SmallCap % 95.49% % DJIA 95.74% 85.88% 84.00% % NASDAQ % 83.23% 81.44% 82.42% % Russell % 96.15% 99.32% 84.42% 83.29% % DJ U.S. Real Estate 71.98% 70.64% 65.66% 67.87% 58.68% 66.42% % Nikkei % 7.89% 9.82% 4.94% 1.40% 7.92% 5.24% % Brazil Ibovespa 43.09% 42.03% 40.35% 40.32% 39.63% 41.13% 32.05% 2.73% % CSI % 12.12% 12.93% 7.71% 14.78% 12.35% 7.22% 27.96% 15.18% % CNX Nifty 31.93% 33.44% 29.92% 28.89% 27.62% 30.07% 24.55% 19.41% 16.26% 17.78% % MEXBOL 54.74% 55.49% 49.58% 51.08% 49.98% 50.87% 45.87% 14.19% 33.43% 19.04% 29.76% % S&P CNX Nifty 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 Products team: Chicago Thomas Boggs Richard Co Scot Warren New York Tim McCourt Giovanni Vicioso

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