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[edit]

  • 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[edit]

Standard & Poor's 500 Index Futures
Contract Unit $250 x S&P 500 Index
Trading Hours CME Globex: Sunday - Friday: 6:00 p.m. - 5:00 p.m. ET with a trading halt 9:15 a.m. - 4:30 p.m.
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
Open Outcry: Monday - Friday: 9:30 a.m. - 4:15 p.m. ET
Minimum Price Fluctuation Outright: 0.10 index points=$25

Calendar Spread: 0.05 index points=$12.50

Product Code CME Globex: SP

CME ClearPort: SP

Open Outcry: SP

Clearing: SP

Listed COntracts Open Outcry: Eight months in the March Quarterly Cycle (Mar, Jun, Sep, Dec),and three additional December contract months

CME Globex: Current lead month in the March Quarterly Cycle (Mar, Jun, Sep, Dec)

Settlement Method Financially Settled
Termination of Trading Open Outcry: 4:15 p.m. ET on Thursday prior to 3rd Friday of the contract month

CME Globex: On the rollover date (typcially eight days prior to last trade date for open outcry) when the lead month goes off the screen and the deferred month becomes the new lead month. View Rollover Dates

Settlement Procedures Settlement Procedures
Position Limits CME Position Limits
Exchange Rulebook CME 351
Price Limit or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Standard & Poor's 500 Index Options
Contract Unit One S&P 500 futures contract
Minimum Price Fluctuation Globex regular tick: 0.10 index points = $25.00 for premium above 5.00 index points

Globex reduced tick: 0.05 index points = $12.50 for premium at or below 5.00 index points

CPC and Pit regular tick (outrights and spreads): 0.10 index points = $25.00 for premium above 5.00 index points

CPC and Pit reduced tick (outrights and spreads): 0.05 index points $12.50 for premium at or below 5.00 index points

CAB: 0.05 index points = $12.50

Trading Hours CME Globex: Sunday - Friday: 6:00 p.m. - 5:00 p.m. ET with a trading halt 9:15 a.m. - 4:30 p.m.
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
Open Outcry: Monday - Friday: 9:30 a.m. - 4:15 p.m. ET
Product Code CME Globex: SP

CME ClearPort: SP

Open Outcry: Put: PS Call: CS

Clearing: SP

Listed Contracts Open Outcry: Quarterly contracts (Mar, Jun, Sep, Dec) listed for 8 consecutive quarters

CME Globex: Quarterly contracts (Mar, Jun, Sep, Dec) listed for 1 quarter

CME Clearport: Quarterly contracts (Mar, Jun, Sep, Dec) listed for 8 consecutive quarters

Termination of Trading Open Outcry: 4:15 p.m. ET on Thursday prior to 3rd Friday of the contract month

CME Globex: 9:15 a.m. ET on Thursday prior to 3rd Friday of the contract month

Position Limits CME Position Limits
Exchange Rulebook CME 351A
Block Minimum Block Minimum Thresholds
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 Style American Options
Exercise Procedures 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 Russian Ruble Futures
Standard & Poor's 500 Quarterly PM Options European
Contract Unit Each option is exercisable into one Standard and Poor’s 500 Stock Price Index Futures Contract
Minimum Price Fluctuation Regular Tick (Outrights/Spreads): 0.10 index points = $25.00 when premium is above 5.00 index points.

Reduced Tick (Outrights/Spreads): 0.05 index points = $12.50 when premium is at or below 5.00 index points.

Price Quotation $250 x Standard and Poor’s 500 Stock Price Index
Trading Hours CME Globex: Sunday - Friday 5:00 p.m. - 4:00 p.m. Central Time (CT) with a trading halt from 3:15 p.m. – 3:30 p.m. CT.
CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. Central Time (CT) with no reporting Monday - Thursday 5:45 p.m. – 6:00 p.m. CT.
Product Code CME Globex: YPC

CME ClearPort: YPC

Clearing: YPC

Listed Contracts Contracts listed for the nearest 4 contract months in the March Quarterly Cycle (Mar, Jun, Sep, Dec).
Termination of Trading Trading terminates 3:00 p.m. CT on the 3rd Friday of the contract month.
Position Limits CME Position Limits
Exchange Rulebook CME 351A
Block Minimum Block Minimum Thresholds[2]
Vendor Codes Quote Vendor Symbols Listing[3]
Strike Price Listing Procedures Strikes of 100, 200, 1100, 2100, 2200, 3100 and 4100 available for each contract month,and in addition permit additional strikes to be created by special request at a multiple of 100 index points.
Exercise Style 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 3:00 p.m. CT price fixing based on the weighted average traded price fixing (symbol ESF) of the E-mini Standard and Poor’s 500 Stock Price Index Futures in the last 30 seconds of trading on expiration day (2:59:30 p.m.- 3:00:00 p.m. CT) will be used to determine which options are in-the-money. Contrarian instructions are prohibited.
Settlement Method Deliverable
Underlying S&P 500 Futures

Also See[edit]

CME Group stock index products

Resources[edit]

CME Group Web site Settlement Procedures

S&P 500 Contract Specs

CME Position Limits

CME 351

Price Limits

Quote Vendor symbols Listing

References[edit]