CME Group E-mini S&P 500

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E-mini S&P 500 Futures
Contract Unit $50 x S&P 500 Index
Trading Hours CME Globex: Sunday - Friday 6:00 p.m. - 5:00 p.m. Eastern Time (ET) with trading halt 4:15 p.m. - 4:30 p.m.

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

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; no 11:00 a.m.- 5:00 p.m. ET session on Friday. Monday - Thursday 5:00 p.m. - 6:00 p.m. ET daily maintenance period.

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

Minimum Price Fluctuation Outright: 0.25 index points = $12.50

Calendar Spread: 0.05 index points = $2.50

BTIC: 0.05 index points = $2.50

TACO (ESQ): 0.05 index points = $2.50

Product Code CME Globex: ES

CME ClearPort: ES

Clearing: ES

BTIC: "EST","ESQ"

Listed Contracts Quarterly contracts (Mar, Jun, Sep, Dec) listed for 5 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 Procdures Settlement Procedures
Position Limits CME Position Limits
Exchange Rulebook CME 358
Price Limit or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
E-mini S&P 500 Options
Contract Unit One E-mini S&P 500 futures contract
Minimum Price Fluctuation Regular tick: 0.25 index points = $12.50, 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: ES

CME ClearPort: ES

Clearing: ES

Listed Contracts Quarterly contracts (Mar, Jun, Sep, Dec) listed for 4 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 358 A
Price Limit or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Strike Price Listing Procedures 100 index point integer multiples, when listed: +30% to -50% of the prior day’s settlement price on the underlying future contract

50 index point integer multiples, when listed: +20% to -40% of the prior day’s settlement price on the underlying future contract

10 index point integer multiples, when the underlying future is the second closest contract: +10% to -25% of the prior day’s settlement price on the underlying future contract

5 index point integer multiples, 35 days prior to expiry (or 5 Weeks): +5% to -15% of the prior day’s settlement price on the underlying future contract

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.
Settlement Method Deliverable
Underlying E-mini S&P 500 Futures
E-mini S&P 500 Weekly Options
Contract Unit One E-mini S&P 500 futures contract
Minimum Price Fluctuation Regular Tick: 0.25 = $12.50 per tick, for premium > 5.00

Reduced Tick: 0.05 = $2.50 per tick, for premium <= 5.00

CAB: 0.05 = $2.50 per tick

Price Quotation U.S. cents per pound
Trading Hours CME Globex: Sunday - Friday 6:00 p.m. - 5:00 p.m. Eastern Time (ET) with trading halt 4:15 p.m. - 4:30 p.m.

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: EW1,EW2,EW3,EW4

CME ClearPort: EW1,EW2,EW3,EW4

Clearing: EW1,EW2,EW3,EW4

Listed Contracts At any given time, four nearest weeks of EW1, EW2, and EW4 (Weeks 1, 2 & 4) and three nearest weeks of EW3 (Week 3) will be listed for trading
Termination of Trading 4:00 p.m. ET on Friday of the named week
Position Limits CME Position Limits
Exchange Rulebook 358A
Price Limit or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Strike Price Listing Procedures EW3 (Week 3)

100 index point integer multiples, when listed: +30% to -50% of the prior day’s settlement price on the underlying future contract 50 index point integer multiples, when listed: +20% to -40% of the prior day’s settlement price on the underlying future contract 10 index point integer multiples, when listed: +10% to -25% of the prior day’s settlement price on the underlying future contract 5 index point integer multiples, 35 days prior to expiry (or 5 Weeks): +5% to -15% of the prior day’s settlement price on the underlying future contract

EW1, EW2 and EW4 (Week 1, 2 & 4) 100 index point integer multiples, when listed: +30% to -50% of the prior day’s settlement price on the underlying future contract 50 index point integer multiples, when listed: +20% to -40% of the prior day’s settlement price on the underlying future contract 10 index point integer multiples, when listed: +10% to -25% of the prior day’s settlement price on the underlying future contract 5 index point integer multiples, when listed: +5% to -15% of the prior day’s settlement price on the underlying future contract

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 ESF) of the E-mini S&P 500 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 S&P 500 Futures
E-mini S&P 500 EOM futures and options
Contract Unit One E-mini S&P 500 futures contract
Minimum Price Fluctuation Regular tick: 0.25 index points = $12.50, 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: ES

CME ClearPort: ES

Clearing: ES

Listed Contracts Quarterly contracts (Mar, Jun, Sep, Dec) listed for 4 consecutive quarters
Terminstion 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 358 A
Price Limit or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Strike Price Listing Procedures 100 index point integer multiples, when listed: +30% to -50% of the prior day’s settlement price on the underlying future contract

50 index point integer multiples, when listed: +20% to -40% of the prior day’s settlement price on the underlying future contract

10 index point integer multiples, when the underlying future is the second closest contract: +10% to -25% of the prior day’s settlement price on the underlying future contract

5 index point integer multiples, 35 days prior to expiry (or 5 Weeks): +5% to -15% of the prior day’s settlement price on the underlying future contract

Excercise Procedure American Style. An option can be exercised until 6:30 p.m. ET on any business day the option is traded
Settlememt 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.
Settlement Procedure Deliverable
Underlying E-mini S&P 500 Futures

Notes

Also See

CME Group stock index products

References

CME Group Web site

E-mini S&P 500 Futures Contract Specs

Settlement Procedures

CME Position Limits

CME 358

Price Limits

Quote Vendor Symbols Listing