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
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.
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 2012. E-mini S&P MidCap 400 futures averaged 20,803 contracts per day, up 6% vs. October 2012. E-mini NASDAQ 100 futures averaged 264,224 contracts per day, up 9% vs. October 2012. E-mini Dow ($5) futures averaged 151,340 contracts per day, up 33% vs. October 2012. Nikkei 225 (Yen) futures averaged 38,958 contracts per day, up 91% vs. October 2012. Nikkei 225 (USD) futures averaged 11,819 contracts per day, up 134% vs. October 2012. E-mini S&P Select Sector futures averaged 1,055 contracts per day, up 14% vs. October 2012. OPTIONS ON FUTURES Weekly S&P 500 options averaged 8,092 contracts per day, up 661% vs. October 2012. E-mini S&P 500 options (all expirations) averaged 438,875 contracts per day, up 104% vs. October 2012. EOM E-mini S&P 500 options averaged 25,951 contracts per day, up 97% vs. October 2012. Weekly E-mini S&P 500 options averaged 102,148 contracts per day, up 114% vs. October 2012. E-mini NASDAQ 100 options averaged 4,940 contracts per day, up 160% vs. October 2012. E-mini Dow ($5) options averaged 835 contracts per day, up 86% vs. October 2012. Learn more about these products at cmegroup.com/equities Learn more about Yen-Denominated Nikkei 225 Options at cmegroup.com/nikkei225 1
www.cmegroup.com STATS AT A GLANCE FUTURES October 2013 Average Daily Volume Open Interest October 2013 ADV $Notional Open Interest O.I. $Notional Index Close 31-2013 YTD Price 20 Day Hist. Ticker ADV Contracts ($millions) Contracts ($millions) Oct-'13 Return Volatility S&P 500 E-mini S&P 500 ES 1,698,660 149,188 2,856,038 250,837 1,756.54 23.16% 12.51% S&P 500 SP 8,122 3,567 165,334 72,604 S&P 500 Total 1,706,782 152,755 3,021,372 323,441 S&P 400 E-mini S&P MidCap 400 EMD 20,803 2,682 109,384 14,102 1289.18 26.34% 13.66% S&P MidCap 400 MD 62 40 585 377 S&P MIdCap 400 Total 20,865 2,722 109,969 14,479 S&P 600 E-mini S&P SmallCap 600 SMC - - 27 2 629.27 32.04% 15.10% S&P SmallCap 600 Total - 0.00 27 2 S&P Select Sector E-mini S&P Con. Discr XAY 52 3 900 57 636.88 33.59% 14.74% E-mini S&P Con. Staple XAP 108 5 1,620 69 423.85 21.06% 12.12% E-mini S&P Energy XAE 232 20 381 33 866.46 20.87% 14.21% E-mini S&P Financial XAF 123 6 2,044 105 205.19 25.12% 16.66% E-mini S&P Health Care XAV 60 3 1,211 64 529.50 32.01% 15.07% E-mini S&P Industrial XAI 29 1 1,068 52 486.11 28.15% 12.87% E-mini S&P Materials XAB 31 1 488 23 462.97 16.62% 14.81% E-mini S&P Tech XAK 252 8 2,075 70 336.68 16.06% 12.48% E-mini S&P Utilities XAU 168 7 1,460 57 391.60 10.76% 12.57% S&P Select Sector Total 1,055 55 11,247 530 ND100 E-mini NASDAQ-100 NQ 264,224 17,850 413,989 27,967 3377.731 26.94% 14.23% NASDAQ-100 ND 938 317 8,678 2,931 NASDAQ-100 Total 265,162 18,166 422,667 30,898 DJIA E-mini Dow $5 YM 151,340 11,763 124,155 9,650 15545.75 18.63% 12.30% DJIA - $10 Dow DJ 684 106 13,563 2,108 DJIA Total 152,024 11,870 137,718 11,759 NK225 Nikkei 225 (US$) NK 11,819 847 66,999 4,800 14327.94 37.83% 19.34% Nikkei 225 (Yen) NIY 38,958 279,094 82,010 587,517 Nikkei 225 Total 50,777 279,941 149,009 592,317 Ibovespa Ibovespa (US$) IBA 31 2 69 4 54256.2-10.99% 17.96% Ibovespa Total 31 2 69 4 2
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 500 310,776 1,821,088 1,756.54 23.16% 12.51% EOM E-mini S&P 500 25,951 53,776 Weekly E-mini S&P 500 102,148 82,735 S&P 500 18,521 357,072 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 400 4 2 1289.18 26.34% 13.66% S&P MIdCap 400 Total 4 2 ND100 E-mini NASDAQ-100 4,940 42,008 3377.731 26.94% 14.23% Weekly E-mini NASDAQ-100 1,053 420 EOM E-mini NASDAQ-100 417 14 NASDAQ-100 4 34 Weekly NASDAQ-100 0 0 NASDAQ-100 Total 6,414 42,476 DJIA E-mini Dow $5 835 10,708 15545.75 18.63% 12.30% DJIA - $10 Dow 0 196 DJIA Total 835 10,904 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% - 10.30% Financials 16.19% 22.35% - 11.48% 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 100.00% 100.00% 100.00% 100.00% 3
www.cmegroup.com 4
Monthly Stock Index Update 5
www.cmegroup.com 6
Monthly Stock Index Update 7
www.cmegroup.com S&P 500 vs. S&P Select Sector Correlations YTD October 2013 S&P 500 S&P 500 100.00% Con. Discretionary Con. Discretionary 93.05% 100.00% Con. Staples 81.53% 75.43% 100.00% Con. Staples Energy Financial Energy 85.23% 75.55% 59.49% 100.00% Financial 93.39% 85.22% 69.63% 80.86% 100.00% Health Care 85.87% 82.62% 80.46% 63.66% 76.18% 100.00% Industrial 92.59% 86.70% 68.78% 81.60% 85.93% 74.59% 100.00% Health Care Industrial Materials Technology Utilities Materials 86.56% 79.17% 62.28% 81.72% 80.90% 68.01% 86.08% 100.00% Technology 85.73% 74.33% 61.07% 66.86% 75.35% 63.03% 76.20% 70.96% 100.00% Utilities 66.19% 60.45% 68.65% 53.10% 57.37% 56.94% 59.39% 57.38% 47.59% 100.00% 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 500 100.00% S&P MidCap 400 92.93% 100.00% S&P SmallCap 600 90.65% 95.49% 100.00% DJIA 95.74% 85.88% 84.00% 100.00% NASDAQ-100 90.21% 83.23% 81.44% 82.42% 100.00% Russell 2000 91.39% 96.15% 99.32% 84.42% 83.29% 100.00% DJ U.S. Real Estate 71.98% 70.64% 65.66% 67.87% 58.68% 66.42% 100.00% Nikkei 225 5.86% 7.89% 9.82% 4.94% 1.40% 7.92% 5.24% 100.00% Brazil Ibovespa 43.09% 42.03% 40.35% 40.32% 39.63% 41.13% 32.05% 2.73% 100.00% CSI 300 9.40% 12.12% 12.93% 7.71% 14.78% 12.35% 7.22% 27.96% 15.18% 100.00% CNX Nifty 31.93% 33.44% 29.92% 28.89% 27.62% 30.07% 24.55% 19.41% 16.26% 17.78% 100.00% MEXBOL 54.74% 55.49% 49.58% 51.08% 49.98% 50.87% 45.87% 14.19% 33.43% 19.04% 29.76% 100.00% S&P CNX Nifty 8
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 +1 312 930 3038 Richard Co +1 312 930 3227 Scot Warren +1 312 634 8715 New York Tim McCourt +1 212 299 2415 Giovanni Vicioso +1 212 299 2163
CME GROUP HEADQUARTERS CME GROUP REGIONAL OFFICES 20 South Wacker Drive Chicago, Illinois 60606 cmegroup.com info@cmegroup.com +1 800 331 3332 +1 312 930 1000 New York +1 212 299 2000 Calgary +1 403 444 6876 São Paulo +55 11 2565 5999 Washington D.C. +1 202 638 3838 London +44 20 3379 3700 Hong Kong +852 3101 7696 Seoul +82 2 6336 6721 Singapore +65 6593 5555 Houston +1 713 658 9292 Tokyo +81 3242 6232 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 2013 CME Group. All rights reserved. EQ258.9/0/0413