CME Group E-mini Russell 2000 Index

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The Russell 2000 index is a weighted index that tracks 2000 small cap stocks from different areas of the US economy. The E-mini future allows for movement in the macro contracts to be hedged.[1]

E-mini Russell 2000 became eligible for "Basis Trade at Cash Open" (TACO) along with CME Group E-mini NASDAQ-100 on March 23rd, 2020.[2]

E-mini Russell 2000 Index Futures
Contract Unit $50 x Russell 2000 Index
Trading Hours CME Globex: Sunday - Friday 6:00 p.m. - 5:00 p.m. ET with trading halt 4:15 p.m. - 4:30 p.m.

BTIC: Sunday - Friday 6:00 p.m. - 4:00 p.m. ET

CME ClearPort: Sunday - Friday 6:00 p.m. - 5:00 p.m. ET

TACO on CME Globex: Sunday - Friday 6:00 p.m. - 9:30 a.m. ET. Monday - Thursday 11:00 a.m. - 5:00 p.m. ET

TACO on Clearport: Sunday - Friday 6:00 p.m. - 9:30 a.m. ET and Monday - Friday 11:00 a.m. - 5:00 p.m. ET

Minimum Price Fluctuation Outright: 0.10 index points = $5.00

Calendar Spread: 0.05 index points = $2.50

BTIC: 0.05 index points = $2.50

TACO: 0.05 index points = $2.50

Product Code CME Globex: RTY

CME ClearPort: RTY

Clearing: RTY

BTIC: "RLT","RTQ"

Listed Contracts Quarterly contracts (Mar, Jun, Sep, Dec) listed for 5 consecutive quarters

TACO: Quarterly contracts (Mar, Jun, Sep, Dec) listed for 2 consecutive quarters

Settlement Method Financially Settled
Termination of Trading Trading terminates at 9:30 a.m. ET on the 3rd Friday of the contract month.

BTIC trading terminates at 4:00 p.m. ET on the Thursday before the 3rd Friday of contract month.

TACO trading terminates at 9:30 a.m. ET on the Thursday before the 3rd Friday of the contract month.

Settlement Procedures Fertilizer Settlement Procedures
Position Limits CME Position Limits
Exchange Rulebook CME 393
Block Minimum Block Minimum Thresholds
Price Limit or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
E-mini Russell 2000 Index Options
Contract Unit One E-mini Russell 2000 futures contract
Minimum Price Fluctuation Regular tick: 0.10 index points = $5.00, for premium greater than 5.00

Reduced tick: 0.05 index points = $2.50, for premium less than or equal to 5.00

CAB: 0.05 index points = $2.50

Trading Hours CME Globex: Sunday - Friday 6:00 p.m. - 5:00 p.m. ET (5:00 p.m. - 4:00 p.m. CT) with a daily trading halt from 4:15 p.m. - 4:30 p.m. ET
CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT
Product Code CME Globex: RTO

CME ClearPort: RTO

Clearing: RTO

Listed Contracts Quarterly contracts (Mar, Jun, Sep, Dec) listed for 3 consecutive quarters
Termination of Trading Trading terminates at 9:30 a.m. ET on the 3rd Friday of the contract quarter.
Position Limits CME Position Limits
Exchange Rulebook CME 393A
Block Minimum Block Minimum Thresholds
Price Limit or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Strike Price Listing Procedures At all multiples of 25 index points within ±50% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures

At all multiples of 10 index points within ±20% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures

Once the option’s underlying futures contract becomes second nearest to delivery, at all multiples of 5 index points within ±10% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures

Exercise Procedure American Style. An option can be exercised until 6:30 p.m. ET on any business day the option is traded
Settlement at Expiration Option exercise results in a position in the underlying cash-settled futures contract. In-the-money options, in the absence of contrarian instructions delivered to the Clearing House by 6:30 p.m. ET on the day of expiration, are automatically exercised into expiring cash-settled futures, which settle to the SOQ calculated the morning of the 3rd Friday of the contract month.
Settlemnt Method Deliverable
Underlying E-mini® Russell 2000® Index Futures
E-mini Russell 2000 Weekly Index Options
Contract Unit One E-mini Russell 2000 futures contract
Minimum Price Fluctuation Regular tick: 0.10 index points = $5.00, for premium greater than 5.00

Reduced tick: 0.05 index points = $2.50, for premium less than or equal to 5.00

CAB: 0.05 index points = $2.50

Trading Hours CME Globex: Sunday - Friday 6:00 p.m. - 5:00 p.m. ET (5:00 p.m. - 4:00 p.m. CT) with a daily trading halt from 4:15 p.m. - 4:30 p.m. ET
CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT
Product Code CME Globex: R1E,R2E,R3E,R4E

CME ClearPort: R1E,R2E,R3E,R4E

Clearing: R1E,R2E,R3E,R4E

Listed Contracts 3 weekly contracts listed for weeks 1, 2 and 4 and 3 week contracts
Termination of Trading Trading terminates at 4:00 p.m. ET on Friday of the contract week.
Position Limits CME Position Limits
Exchange Rulebook CME 393A
Block Minimum Block Minimum Thresholds
Price Limit or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Strike Price Listing Procedures R1E, R2E and R4E (Week 1, 2 & 4)

5 index point integer multiples upon listing: +10% to -25% of the prior day’s settlement price on the underlying future contract

R3E (Week 3) At all multiples of 25 index points within ±50% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures At all multiples of 10 index points within ±20% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures Once the option’s underlying futures contract becomes second nearest to delivery, at all multiples of 5 index points within ±10% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures

Exercise Procedure European Style. Exercisable only on expiration day.
Settlement at Expiration Option exercise results in a position in the underlying cash-settled futures contract. Options which are in-the-money on the last day of trading are automatically exercised. A 4:00 p.m. ET price fixing based on the weighted average traded price fixing (symbol RTF) of the E-mini Russell 2000 futures in the last 30 seconds of trading on expiration day (3:59:30 p.m.-4:00:00 p.m. ET) will be used to determine which options are in-the-money. Contrarian instructions are prohibited.
Settlemnt Method Deliverable
Underlying E-mini® Russell 2000® Index Futures
E-mini Russell 2000 EOM Index Options
Contract Unit One E-mini Russell 2000 futures contract
Minimum Price Fluctuation Regular tick: 0.10 index points = $5.00, for premium greater than 5.00

Reduced tick: 0.05 index points = $2.50, for premium less than or equal to 5.00

CAB: 0.05 index points = $2.50

Trading Hours CME Globex: Sunday - Friday 6:00 p.m. - 5:00 p.m. ET (5:00 p.m. - 4:00 p.m. CT) with a daily trading halt from 4:15 p.m. - 4:30 p.m. ET
CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT
Product Code CME Globex: RTM

CME ClearPort: RTM

Clearing: RTM

Listed Contracts Monthly contrats listed for 3 consecutive months
Termination of Trading Trading terminates at 4:00 p.m. ET on last business day of contract month.
Position Limits CME Position Limits
Exchange Rulebook CME 393A
Block Minimum Block Minimum Thresholds
Price Limit or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Strike Price Listing Procedures At all multiples of 25 index points within ±50% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures

At all multiples of 10 index points within ±20% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures

Once the option’s underlying futures contract becomes second nearest to delivery, at all multiples of 5 index points within ±10% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures

Exercise Style European Style. Exercisable only on expiration day.
Exercise Procedure European Style. Exercisable only on expiration day.
Settlement at Expiration Option exercise results in a position in the underlying cash-settled futures contract. Options which are in-the-money on the last day of trading are automatically exercised. A 4:00 p.m. ET price fixing based on the weighted average traded price fixing (symbol RTF) of the E-mini Russell 2000 futures in the last 30 seconds of trading on expiration day (3:59:30 p.m.-4:00:00 p.m. ET) will be used to determine which options are in-the-money. Contrarian instructions are prohibited.
Settlemnt Method Deliverable
Underlying E-mini® Russell 2000® Index Futures

Notes[edit]

Also See[edit]

CME Group stock index products

References[edit]

Resources[edit]

CME Group Web site

E-mini Russell 2000 Index Contract Specs

Settlement Procedures

CME Postion Limits

CME 359

Price Limits

Quote Vendor Symbols Listing