CME Group S&P 500/Citigroup Value

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S&P 500/Citigroup Value futures
Exchange CME Group
Settlement Cash settled
Trade Unit $250 times the Standard & Poor's 500/CITICORP Value Index
Point Value .01 index points = $2.50
Tick Value Regular: 0.1 = $25.00

Calendar Spread: 0.05 = $12.50

Contract Months Two months in the March Quarterly Cycle. Mar, Jun, Sep, Dec.
Last Trading Day Need LTD rules!
Note: This contract is electronic ONLY -- no open outcry
  No Open Outcry Electronic
Trading Hours N/A Mon/Thurs 5:00 p.m.-3:15 p.m. & 3:30 p.m.-4:30 p.m.; Shutdown period from 4:30 p.m. to 5:00 p.m. nightly; Sun & Holidays 5:00 p.m.-3:15 p.m. LTD: 3:15 pm.
Ticker Symbol N/A SU
Price Limits N/A Successive 10%, 20%, and 30% price limits based on the average daily close of the cash index in the last month of the preceding quarter. Price limits are effective only for limit moves below the previous day's close.
 
S&P 500/Citigroup Value options
Trade Unit One futures contract
Point Value .01 index points = $2.50
Tick Value Regular: 0.1 = $25.00 for premium > 5.00

Half Tick: 0.05 = $12.50 for premium < or = 5.00

Cab: 0.05 = $12.50 for premium > or = 5.00

Option Months Two months in the March quarterly cycle and two months not in the March cycle (serial months). Mar, Jun, Sep, Dec.
Strike Prices Need strike price description!
Option Expiration Day Need OED rules!
  No Open Outcry Electronic
Trading Hours N/A Mon/Thurs 5:00 p.m.-3:15 p.m. & 3:30 p.m.-4:30 p.m.; Shutdown period from 4:30 p.m. to 5:00 p.m. nightly; Sun & Holidays 5:00 p.m.-3:15 p.m. LTD: 3:15 p.m.
Ticker Symbol N/A
  • Clearing Calls/Puts = SU
  • Ticker Calls/Puts = SU
  • American Flex: Calls = XWC Puts = XWC
  • European Flex: Calls = YWC Puts = YWP
Price Limits N/A Options trading halted when lead S&P 500 Citicorp Value futures lock limit.

Notes

Resources

CME Group S&P 500/Citigroup Value Contract Specifications

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