Monthly Stock Index Review
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1 EQUITY INDEX JULY 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 July 2014 Read Life in an Equity Low Volatility World: A CME Group Global Survey, and learn how some CME Group equity clients across asset managers, banks and hedge funds perceive the low volatility equity market environment. OPTIONS Equity Index options on futures surged to a July daily volume high of 1,080,307 on July 31, driven by activity in S&P 500 and E-mini S&P 500 options. Product July 2014 ADV % Increase vs. July 2013 S&P 500 options 35,450 55% S&P 500 Weekly options* 6, % S&P 500 End-of-Month options 2,438 23% E-mini S&P 500 options 400,406 44% E-mini S&P 500 Weekly options* 113,466 80% E-mini S&P 500 End-of Month options 34,198 90% *all expirations View volume and diversity of spread trades in our E-mini S&P 500 options complex with our Daily Index Option Spread Activity Report. E-mini NASDAQ-100 options growth continues. Product July 2014 ADV % Increase vs. July 2013 E-mini NASDAQ-100 options 8, % E-mini NASDAQ-100 Weekly options* 1, % E-mini NASDAQ-100 End-of-Month % options *all expirations FUTURES Product July 2014 ADV % Increase vs. July 2013 E-mini S&P 500 futures 1,511,972 13% E-mini NASDAQ-100 futures 241,177 26% E-mini Dow ($5) futures 137,677 22% 1
4 STATS AT A GLANCE FUTURES July 2014 Average Daily Volume Open Interest July 2014 ADV $Notional Open Interest O.I. $Notional Index Close YTD Price 20 Day Hist. Ticker ADV Contracts ($millions) Contracts ($millions) July-'14 Return Volatility S&P 500 E-mini S&P 500 ES 1,511, ,956 2,964, ,154 1, % 10.85% S&P 500 SP 6,181 2, ,096 73,894 S&P 500 Total 1,518, ,939 3,117, ,048 S&P 400 E-mini S&P MidCap 400 EMD 15,605 2,139 91,426 12,532 1, % 11.28% S&P MidCap 400 MD S&P MIdCap 400 Total 15,625 2,153 91,950 12,891 S&P 600 E-mini S&P SmallCap 600 SMC % 14.20% S&P SmallCap 600 Total S&P Select Sector E-mini S&P Con. Discr XAY , % 12.58% E-mini S&P Con. Staple XAP , % 9.79% E-mini S&P Energy XAE % 14.11% E-mini S&P Financial XAF , % 11.98% E-mini S&P Health Care XAV , % 12.82% E-mini S&P Industrial XAI , % 12.41% E-mini S&P Materials XAB % 10.02% E-mini S&P Tech XAK , % 12.18% E-mini S&P Utilities XAU , % 14.30% S&P Select Sector Total 1, ,652 1,126 ND100 E-mini NASDAQ-100 NQ 241,177 18, ,567 28,771 3, % 13.63% NASDAQ-100 ND ,857 1,891 NASDAQ-100 Total 241,689 18, ,424 30,661 DJIA E-mini Dow $5 YM 137,677 11, ,572 10,565 16, % 10.04% DJIA - $10 Dow DJ , DJIA Total 137,760 11, ,996 11,132 NK225 Nikkei 225 (US$) NK 11, ,137 4,853 15, % 8.48% Nikkei 225 (Yen) NIY 28,657 2,199 94,956 7,285 E-mini Nikkei 225 (Yen) ENY Nikkei 225 Total 39,917 3, ,125 12,138 Ibovespa Ibovespa (US$) IBV , % 17.25% Ibovespa Total
5 Monthly Stock Index Review STATS AT A GLANCE OPTIONS ON FUTURES July 2014 July 2014 ADV Contracts Open Interest Contracts Index Close 31-July-' YTD Price Return 20 Day Hist. Volatility S&P 500 E-mini S&P ,777 2,428,286 1, % 10.85% Weekly E-mini S&P , ,012 EOM E-mini S&P , ,246 S&P , ,600 Weekly S&P 500 6,936 47,444 EOM S&P 500 2,554 5,799 S&P 500 Total 466,100 3,517,387 S&P 400 E-mini S&P MidCap , % 11.28% S&P MIdCap 400 Total ND100 E-mini NASDAQ-100 9, ,320 3, % 13.63% Weekly E-mini NASDAQ-100 2,000 14,673 EOM E-mini NASDAQ NASDAQ Weekly NASDAQ NASDAQ-100 Total 11, ,195 DJIA E-mini Dow $ ,575 16, % 10.04% DJIA - $10 Dow DJIA Total ,782 Index GICS Sector Weightings (As of July 31, 2014) S&P 500 S&P MidCap 400 NASDAQ-100 DJIA Consumer Discretionary 12.24% 12.62% 22.85% 11.96% Consumer Staples 10.09% 3.75% 12.23% 8.70% Energy 11.47% 5.65% % Financials 17.13% 22.98% % Health Care 14.04% 11.41% 21.07% 12.20% Industrials 10.66% 17.65% 2.17% 22.53% Technology 17.38% 14.58% 41.38% 15.08% Materials 3.80% 7.03% 0.31% 3.69% Utilities 3.18% 4.33% % Total % % % % 3
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10 Index Correlations YTD July 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 % 94.71% % DJIA 96.40% 88.01% 81.81% % NASDAQ % 86.95% 85.11% 83.42% % Russell % 94.51% 99.03% 80.55% 87.37% % DJ U.S. Real Estate 64.90% 66.40% 60.14% 59.95% 58.13% 58.81% % Nikkei % 7.31% 2.39% 6.26% 5.48% 3.99% -1.06% % Brazil Ibovespa 27.03% 27.35% 22.26% 29.11% 20.85% 21.19% 14.49% 2.82% % CSI % -0.12% -0.33% -4.43% 1.31% -0.88% 4.93% 5.02% 16.53% % CNX Nifty 22.00% 25.84% 27.92% 22.41% 20.90% 25.99% 3.77% 21.66% 19.23% 7.17% % MEXBOL 50.63% 50.03% 45.57% 50.36% 44.15% 44.22% 35.79% 10.89% 48.33% 16.30% 15.45% % S&P 500 vs. S&P Select Sector Correlations YTD July 2014 S&P 500 S&P % Con. Discretionary Con. Discretionary 91.10% % Con. Staples 79.19% 67.59% % Con. Staples Energy Financial Energy 77.76% 63.63% 62.80% % Financial 91.42% 83.64% 66.43% 65.78% % Health Care 86.47% 76.02% 63.01% 60.01% 74.43% % Industrial 93.11% 83.23% 73.29% 74.01% 87.29% 74.41% % Health Care Industrial Materials Technology Utilities Materials 86.84% 77.74% 65.28% 70.40% 79.29% 72.44% 84.10% % Technology 91.99% 83.80% 67.88% 62.01% 78.77% 77.91% 81.46% 76.94% % Utilities 32.61% 16.72% 43.85% 35.34% 23.34% 22.84% 26.18% 29.44% 24.02% % 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
12 CME GROUP HEADQUARTERS 20 South Wacker Drive Chicago, Illinois cmegroup.com CME GROUP GLOBAL OFFICES Chicago New York London Singapore Calgary Hong Kong Houston São Paulo Seoul Tokyo Washington D.C Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a contract s value is required to trade, it is possible to lose more than the amount of money deposited for a futures position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade. All references to options refer to options on futures. This communication does not constitute a Prospectus, nor is it a recommendation to buy, sell or retain any specific investment. This communication is for the exclusive use of Professional Clients only and must not be relied upon by Private Clients who should take independent financial advice. Circulation should be restricted accordingly. Issued by CME Marketing Europe Limited. CME Marketing Europe Limited is authorised and regulated by the Financial Services Authority. The Globe logo, E-mini, CME and CME Group are trademarks of Chicago Mercantile Exchange Inc. CBOT and Chicago Board of Trade are trademarks of The Board of Trade of the City of Chicago, Inc. All other trademarks are the property of their respective owners. The information within this presentation has been compiled by CME Group for general purposes only. Although every attempt has been made to ensure the accuracy of the information within this presentation, CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this presentation are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, CBOT and CME Group rules. Current rules should be consulted in all cases concerning contract specifications. Copyright 2014 CME Group. All rights reserved. EQ258.9/0/0214
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