CME Group S&P 500

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The CME Group S&P 500 futures are cash-settled contracts based on the S&P 500 Stock Index, a capitalization weighted index of large-cap U.S. equities. CME Group currently lists futures and options contracts on both the full-size S&P 500 ($250 times the S&P 500 Index) and the all-electronic E-mini S&P 500 ($50 times the S&P 500 Index). Futures are listed on eight months in the March quarterly cycle (March, June, September, and December). Listed options include:

  • Quarterly/Serial: Eight months in the March Quarterly Cycle, plus three serial months (for example, Jan, Feb, Apr);
  • End-of-month: Six consecutive calendar months; and
  • Weekly: Two weekly contracts listed at any one time.[1]

Historical Dates

  • April 21, 1982: First day of trading for S&P 500 futures contract
  • January 28, 1983: Quarterly/serial options first listed
  • September 9, 1997: E-mini S&P 500 launched
  • May 26, 2007: End-of-month options listed
  • August 24, 2009: Weekly options listed

Contract Specifications

Standard & Poor's 500 Index futures
Exchange CME Group
Settlement Cash settled
Pricing Unit 1 point = .01 index points = $2.50
Tick Value Regular: 0.10=$25.00. Calendar Spread: 0.05=$12.50
Contract Months 8 months in the March quarterly cycle. Mar, Jun, Sep, Dec.
Last Trading Day Business day immediately preceding the day of determination of the Final Settlement Price (normally, the Thursday prior to the 3rd Friday of the contract month)

unit = $250 times the Standard & Poor's 500 Stock Price Index

  Open Outcry Electronic
Trading Hours 8:30 a.m.-3:15 p.m. Chicago time Sunday - Friday: 5:00 p.m. - 4:00 p.m. with a trading halt 8:15 a.m. - 3:30 p.m. Chicago Time
Ticker Symbol Clearing=SP; Ticker=SP Clearing=SP; Ticker=SP
Price Limits Price Limits corresponding to three levels: 10%, 20%, 30% (The percentage price limits are calculated at the beginning of each calendar quarter. Trading halts are coordinated with trading halts in the primary securities markets. Price limit corresponding to a 5% INCREASE or DECREASE from the Prior Settlement Price.
 
Standard & Poor's 500 Index options
Trade Unit One futures contract
Point Value 1 point = .01 index points = $2.50
Tick Value Regular 0.10=$25.00 for premium >5.00; Half Tick 0.05=$12.50 for premium < or =5.00; Cabinet 0.05=$12.50
Option Months Four months in the March quarterly cycle and two months not in the March cycle (serial months). Mar, Jun, Sep, Dec.
Strike Prices 12 strikes up & down, and including the strike nearest the money. Generally, intergers divisible by 25 without remainder.Under specified conditions, strikes that are integers divisible by 5 without remainder may be added.
Exercise Style American and European (see ticker symbols)
  Open Outcry Electronic
Trading Hours 8:30 a.m.-3:15 p.m. Month end(3:15 p.m.); Last Trading Day - 3:15 p.m. Sunday - Friday: 5:00 p.m. - 4:00 p.m. with a trading halt 8:15 a.m. - 3:30 p.m. Chicago Time
Ticker Symbol Same as outcry symbols for electronic trading
  • Clearing =SP

Ticker

  • Call=CS
  • Put=PS

American Flex:

  • Calls=XPC
  • Puts=XPP

European Flex:

  • Calls=YPC
  • Puts=YPP
Price Limits Same as electronic trading Options trading halted when lead S&P futures lock limit.

Also See

CME Group stock index products

Resources

CME Group Web site Settlement Procedures

S&P 500 Contract Specs

CME Position Limits

CME 351

Price Limits

Quote Vendor symbols Listing

References

  1. S&P 500 Futures and Options. CME Group.