横刀立马

横刀立马

Q&A: ES futures and its options

横刀立马 (2007-07-01 22:18:27) 评论 (1)

Questions & Answers
E-Mini S&P 500® Futures & Options on Futures


Contract Specifications and Overview

Q.How are the E-Mini S&P 500 contracts similar to the S&P 500 contracts?
A.
  • Both are based on the same underlying index, the S&P 500 index.
  • Both have the same expiration date and time.
  • Both are cash-settled to the same index value on quarterly expirations (the Special Opening Quotation).
  • Both S&P 500 futures and E-Mini S&P 500 futures settle daily to the S&P 500 futures settlement price.
Q.How are the E-Mini S&P 500 contracts different from the S&P 500 contracts?
A.
  • The E-Mini contract value is only $50 times the index.
  • The E-Mini tick size is .25, or $12.50 per tick (.10 for calendar spreads).
  • E-Mini futures have only two quarterly contracts listed for trading, and E-Mini options have only two quarterly and two serial month contracts listed.
  • An E-Mini futures order for 30 contracts or fewer must be traded on GLOBEX®2. During pit trading hours, orders for 31 or more contracts must be traded via open outcry on an All-or-None (AON) basis only.
  • E-Mini options are traded only on GLOBEX2; E-Mini options orders of any size are eligible for GLOBEX2 trading.
Q.What are the ticker symbols for E-Mini S&P 500 futures and options?
A.The GLOBEX2 ticker symbol is ES. The ticker symbol for AON trading is EG.
Q.What E-Mini S&P 500 futures and options contracts months are available for trading?
A.There are two futures contract months, two serial options months and two quarterly options months listed at all times.
Q.How do the quarterly E-Mini futures and options settle and when is the last time to trade before expiration?
A.The E-Mini S&P 500 quarterly contracts expire at the same time and to the same price as the S&P 500 futures contracts. For quarterly contracts, trading can occur up to 8:30 a.m., Chicago time on the third Friday of the contract month. Serial month options settle to the closing value of the lead month E-Mini S&P 500 futures contract on the third Friday of the month.
Q.Does the E-Mini S&P 500 have its own circuit breakers?
A.The E-Mini S&P 500 futures and options circuit breakers follow the existing S&P 500 futures and options circuit breakers.
Q.Is there a post-settlement session for futures in the E-Mini S&P 500?
A.No.
Q.Is the E-Mini S&P 500 futures calendar spread available on GLOBEX2?
A.The calendar spread is available on GLOBEX2. Trading in the calendar spread may occur at .10-point intervals.
Q.May intercommodity spreads that trade at a differential include E-Mini S&P 500 contracts as one of the legs of the spread?
A.Yes. Procedures for executing this kind of spread vary by type and size.
Q.Are AON calendar spreads allowed in the E-Mini S&P 500 futures?
A.No.
Q.Are E-Mini options spreads available on GLOBEX2?
A.The same options spreads currently available on GLOBEX2 are available for E-Mini S&P 500 options.
Q.Are E-Mini FLEX® options available?
A.FLEX options are not currently available.
Q.Is a position of five E-Mini futures contracts financially equivalent to a position of one regular S&P futures contract on the same side of the market in the same contract month?
A.Yes. The daily settlement prices for the E-Mini S&P futures contract are the same as the settlement prices for the corresponding contract months of the regular S&P 500 futures. Accordingly, a customer who has a long position of five E-Mini futures contracts and a short position of one regular S&P futures contract in the same contract month is perfectly hedged. The CME will impose no initial margin requirements on such a hedged position.
Q.May a customer liquidate E-Mini S&P futures positions against offsetting positions in the regular S&P 500 futures contract without making additional trades in the market?
A.Yes. With the customer's consent, a clearing member may offset and liquidate E-Mini S&P futures positions against offsetting regular S&P 500 futures positions held in the same account in a 5:1 ratio of E-Mini to regular S&P 500 futures contracts. The positions shall be offset at the previous day's settlement price. The clearing member shall notify the Clearing House of offsetting positions by submitting reports to the Clearing House through a special on-line entry screen designed for that purpose.
Q.What are the fees for trading the E-Mini S&P 500 contracts?
A.Clearing, GLOBEX2 and customer fees are 1/2 the S&P 500 fees.
Q.Under which membership classification are the E-Mini S&P 500 products listed.
A.The E-Mini S&P 500 is an IOM product.
Q.May GEM members trade the E-Mini S&P 500 from terminals on the CME floor during S&P 500 pit trading hours?
A.No. However, GEM members may trade from terminals on the CME floor outside of S&P 500 pit trading hours.
Q.What are the position limits for the E-Mini S&P 500?
A.Position limits work in conjunction with the existing S&P 500 position limits. The current position limit for S&P 500 futures and options is 20,000 futures equivalents net long or short. The limit encompasses all S&P 500 futures, futures options, E-Mini S&P 500 futures, and E-Mini futures options. For example, with the E-Mini at one-fifth the size of the S&P 500 futures contract, an entity or an account controller could have 100,000 net E-Mini S&P 500 futures equivalents, if no other S&P 500 positions were held open.
Q.What is the reportable position limit for the E-Mini S&P 500?
A.25 contracts.

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