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
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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* 6,621 108% 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 8,907 402% E-mini NASDAQ-100 Weekly options* 1,909 1230% E-mini NASDAQ-100 End-of-Month 132 314% 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
www.cmegroup.com/equities STATS AT A GLANCE FUTURES July 2014 Average Daily Volume Open Interest July 2014 ADV $Notional Open Interest O.I. $Notional Index Close 31-2014 YTD Price 20 Day Hist. Ticker ADV Contracts ($millions) Contracts ($millions) July-'14 Return Volatility S&P 500 E-mini S&P 500 ES 1,511,972 145,956 2,964,293 286,154 1,930.67 4.45% 10.85% S&P 500 SP 6,181 2,983 153,096 73,894 S&P 500 Total 1,518,153 148,939 3,117,389 360,048 S&P 400 E-mini S&P MidCap 400 EMD 15,605 2,139 91,426 12,532 1,370.70 2.10% 11.28% S&P MidCap 400 MD 20 14 524 359 S&P MIdCap 400 Total 15,625 2,153 91,950 12,891 S&P 600 E-mini S&P SmallCap 600 SMC - 0.00 - - 644.93-3.10% 14.20% S&P SmallCap 600 Total - 0.00 - - S&P Select Sector E-mini S&P Con. Discr XAY 50 3 1,804 119 661.97-1.49% 12.58% E-mini S&P Con. Staple XAP 187 8 5,163 223 432.15 0.18% 9.79% E-mini S&P Energy XAE 378 37 731 71 969.57 9.19% 14.11% E-mini S&P Financial XAF 66 4 2,164 121 223.74 2.42% 11.98% E-mini S&P Health Care XAV 113 7 3,361 205 611.08 9.69% 12.82% E-mini S&P Industrial XAI 48 2 3,254 169 518.47-0.84% 12.41% E-mini S&P Materials XAB 64 3 868 45 515.09 5.23% 10.02% E-mini S&P Tech XAK 76 3 2,429 95 390.33 8.81% 12.18% E-mini S&P Utilities XAU 185 8 1,878 78 416.87 8.40% 14.30% S&P Select Sector Total 1,167 75 21,652 1,126 ND100 E-mini NASDAQ-100 NQ 241,177 18,776 369,567 28,771 3,892.50 8.37% 13.63% NASDAQ-100 ND 512 199 4,857 1,891 NASDAQ-100 Total 241,689 18,975 374,424 30,661 DJIA E-mini Dow $5 YM 137,677 11,402 127,572 10,565 16,563.30-0.08% 10.04% DJIA - $10 Dow DJ 83 14 3,424 567 DJIA Total 137,760 11,416 130,996 11,132 NK225 Nikkei 225 (US$) NK 11,256 879 62,137 4,853 15,620.77-4.12% 8.48% Nikkei 225 (Yen) NIY 28,657 2,199 94,956 7,285 E-mini Nikkei 225 (Yen) ENY 4 0.061 32 0.491 Nikkei 225 Total 39,917 3,078 157,125 12,138 Ibovespa Ibovespa (US$) IBV 6 0 68 4 55,829.41 8.39% 17.25% Ibovespa Total 6 0 68 4 2
Monthly Stock Index Review STATS AT A GLANCE OPTIONS ON FUTURES July 2014 July 2014 ADV Contracts Open Interest Contracts Index Close 31-July-'14 2014 YTD Price Return 20 Day Hist. Volatility S&P 500 E-mini S&P 500 264,777 2,428,286 1,930.67 4.45% 10.85% Weekly E-mini S&P 500 118,869 510,012 EOM E-mini S&P 500 35,826 123,246 S&P 500 37,138 402,600 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 400 6 169 1,370.70 2.10% 11.28% S&P MIdCap 400 Total 6 169 ND100 E-mini NASDAQ-100 9,331 119,320 3,892.50 8.37% 13.63% Weekly E-mini NASDAQ-100 2,000 14,673 EOM E-mini NASDAQ-100 138 202 NASDAQ-100 0 0 Weekly NASDAQ-100 0 0 NASDAQ-100 Total 11,469 134,195 DJIA E-mini Dow $5 572 18,575 16,563.30-0.08% 10.04% DJIA - $10 Dow 0 207 DJIA Total 572 18,782 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% - 10.44% Financials 17.13% 22.98% - 11.46% 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% - 3.94% Total 100.00% 100.00% 100.00% 100.00% 3
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www.cmegroup.com/equities 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 500 100.00% S&P MidCap 400 93.79% 100.00% S&P SmallCap 600 88.06% 94.71% 100.00% DJIA 96.40% 88.01% 81.81% 100.00% NASDAQ-100 92.09% 86.95% 85.11% 83.42% 100.00% Russell 2000 88.04% 94.51% 99.03% 80.55% 87.37% 100.00% DJ U.S. Real Estate 64.90% 66.40% 60.14% 59.95% 58.13% 58.81% 100.00% Nikkei 225 5.64% 7.31% 2.39% 6.26% 5.48% 3.99% -1.06% 100.00% Brazil Ibovespa 27.03% 27.35% 22.26% 29.11% 20.85% 21.19% 14.49% 2.82% 100.00% CSI 300-3.23% -0.12% -0.33% -4.43% 1.31% -0.88% 4.93% 5.02% 16.53% 100.00% CNX Nifty 22.00% 25.84% 27.92% 22.41% 20.90% 25.99% 3.77% 21.66% 19.23% 7.17% 100.00% MEXBOL 50.63% 50.03% 45.57% 50.36% 44.15% 44.22% 35.79% 10.89% 48.33% 16.30% 15.45% 100.00% S&P 500 vs. S&P Select Sector Correlations YTD July 2014 S&P 500 S&P 500 100.00% Con. Discretionary Con. Discretionary 91.10% 100.00% Con. Staples 79.19% 67.59% 100.00% Con. Staples Energy Financial Energy 77.76% 63.63% 62.80% 100.00% Financial 91.42% 83.64% 66.43% 65.78% 100.00% Health Care 86.47% 76.02% 63.01% 60.01% 74.43% 100.00% Industrial 93.11% 83.23% 73.29% 74.01% 87.29% 74.41% 100.00% Health Care Industrial Materials Technology Utilities Materials 86.84% 77.74% 65.28% 70.40% 79.29% 72.44% 84.10% 100.00% Technology 91.99% 83.80% 67.88% 62.01% 78.77% 77.91% 81.46% 76.94% 100.00% Utilities 32.61% 16.72% 43.85% 35.34% 23.34% 22.84% 26.18% 29.44% 24.02% 100.00% 8
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