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Index IDEA: US small caps rock while US small cap futures roll

After losing ground in July and August as reflected by a 0.5% negative return for the Russell 2000 Index, US small cap stocks have rebounded, rising 2.9% in September as of market close on September 20.

Reflecting growing investor interest in the US small cap equity market, CME Group recently shared figures highlighting activity in E-mini Russell 2000 Index futures, which began trading at CME on July 10 and recently completed their first quarterly futures roll:

  • September 15 marked the expiration date for the September futures contracts, and the end of the roll period (final date when market participants can roll out of the expiring September contract into the December contract). Total Russell E-mini Russell 2000 Index futures volume surpassed 2.9 million contracts and open interest stood at more than 518,000 contracts, significantly higher than a year ago.
     
  • The CME Sep-Dec E-mini Russell 2000 Index futures calendar spread (roll) traded one million times over the last three weeks.
     
  • From July 10 opening on CME through close-of-business on September 15, more than 4,250 unique accounts have traded the E-mini Russell 2000 Index future. 

Source: FTSE Russell & CME Group. Past performance is no guarantee of future results. Please see the end for important legal disclosures.

Ron Bundy, FTSE Russell CEO North America Benchmarks, said:

“We are seeing a growing level of investor interest in the US small cap market as illustrated by the activity in E-mini Russell 2000 Index futures on the CME. The Russell 2000 Index is widely viewed as the definitive measure of the US small cap equity market and is used by a wide variety of market participants, particularly through our expanding partnership with CME Group.”

Tim McCourt, CME Group managing director and global head of equity products, said:

“We’ve seen very strong interest in E-mini Russell 2000 Index futures since they returned to trade at CME Group and this interest accelerated during the quarterly roll period. Our clients are clearly expressing interest in gaining exposure to the US small cap equity market by using the E-mini Russell 2000 Index futures since becoming available alongside CME’s suite of equity index futures.”

For more information on the Russell 2000 Index and US equity indexes from FTSE Russell, go to the FTSE Russell website.


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