Return of the Russell 2000 Frequently Asked Questions

Launch and Transition

1. When will Russell 2000 products be listed for trading by CME?

CME will launch the following E-mini Russell 2000® Index futures and options contracts on July 10, 2017.

  • E-mini Russell 2000 Index futures
  • E-mini Russell 2000 Growth Index futures
  • E-mini Russell 2000 Value Index futures
  • BTIC E-mini Russell 2000 Index futures
  • BTIC E-mini Russell 2000 Growth Index futures
  • BTIC E-mini Russell 2000 Value Index futures
  • Options on E-mini Russell 2000 Index futures

2. Will there be a period of overlap where Russell 2000 products are available at both CME and ICE?

Yes. As is customary, ICE will be afforded a roll-off period to facilitate the smooth and orderly transition of trading Russell 2000 futures to CME. For a short period, there will be two separate Russell 2000 futures products in the market: the new contract at CME (beginning July 10) and the current contract at ICE. While the Russell 2000 futures at CME and at ICE will have the same contract specs, these will be two distinct futures products with separate tickers and vendor codes and will only trade at their respective exchanges.

3. When do CME’s exclusive rights commence for Russell 2000 products? When will the Russell 2000 products be delisted by ICE?

CME’s exclusive rights commence on July 1, 2017, meaning ICE will not be legally allowed to list new expirations as of this date. As of close of trading on June 30, any contract with zero open interest will be delisted by ICE. At any point, thereafter, once the open interest of any remaining ICE contract falls to zero, the contract will be delisted and will no longer trade ICE.

4. How will the transition from ICE to CME work?

The transition to CME requires a market-based transaction; open positions at ICE will not be transferred to CME without client action. Participants can use Basis Trade at Index Close (BTIC), calendar spreads, or block transactions to easily and seamlessly move positions to CME.

Learn more about BTIC

View more details on moving positions from ICE to CME

5. Will Basis Trade at Index Close (BTIC) for E-mini Russell 2000 be available for trading on Globex?

Yes. Basis Trade at Index Close (BTIC) contracts on the E-mini Russell 2000 futures will be available for trading on Globex as well as via block trades starting on the launch date, July 10. Please note that that minimum block size will be 40 contracts and the minimum tick increment will be 0.05 for both Globex and block trades.

6. Will CME Group introduce fee incentives for E-mini Russell 2000 Index futures?

Yes. Through September 30, 2017, CME will provide fee waivers to all market participants for the following transactions of Russell 2000 futures1:

  • BTIC transactions (block and Globex)
  • Calendar spread transactions
  • Outright futures block transactions
  • EFP transactions

7. Where can I find the BTIC and block liquidity provider contact information?

Visit this page for the BTIC and block liquidity provider contact information.

8. Are there any changes to the existing E-mini Russell 1000 futures listed by CME?

Currently, the E-mini Russell 1000 Index Futures, as well as the E-mini Russell 1000 Growth and Value Index futures, are listed both by CME and by ICE on a non-exclusive basis.  Commencing on July 1, the rights to list, trade and clear those futures will belong exclusively to CME.  The expectation for how these contracts will stop trading at ICE is the same as detailed above in questions 2 and 3 for the E-mini Russell 2000 futures.  Please note, any open interest in the Russell 1000 futures products at ICE will also need to be transitioned to CME in a similar manner as detailed in question 4.

Product Details

9. What are Russell 2000 contract specifications?

E-mini Russell 2000 futures will be listed on the customary U.S. equity index futures cycle – there will be five concurrent futures that expire against the opening index value on the third Friday of March, June, September, and December. The contract size will be $50 x the index, and the minimum tick increments will be:

Outright: 0.10 Index points= $5.00

Calendar Spread & BTIC: 0.05 index points= $2.50

View full E-mini Russell 2000 Index futures contract specifications

View full Options on E-mini Russell 2000 Index futures contract specifications

10. What are the codes for these products?

Index Futures Contracts

Underlying Index (Bloomberg)

CME Globex

Bloomberg Front Month

Thomson Reuters Front Month

Outright Futures

E-mini Russell 2000

RTY Index

RTY

RTYA Index

RTYc1

E-mini Russell 2000 Growth

RUO Index

R2G

RGLA Index

R2Gc1

E-mini Russell 2000 Value

RUJ Index

R2V

RVLA Index

R2Vc1

BTIC Futures 

BTIC E-mini Russell 2000

RTY Index

RLT

RLBA Index

RTLc1

BTIC E-mini Russell 2000 Growth

RUO Index

2GT

RGRA Index

RTGc1

BTIC E-mini Russell 2000 Value

RUJ Index

2VT

RVRA Index

RTVc1

Options on Futures Contracts

Underlying Index (Bloomberg)

CME Globex

Bloomberg Options Monitor

Thomson Reuters Chain

Quarterly Expiration

RTY Index

RTO

RTYA Index OMON

0#1RTY+

End-of-Month Expiration

RTY Index

RTM

RMEA Index OMON

0#1RMX+

Weekly Expiration

RTY Index

R1E, R2E, R3E, R4E

RUWA Index OMON

0#1RTYW+

11. How many Russell 2000 contracts will be listed at a given time?

For the futures, CME will list five months in the March Quarterly Cycle (Mar, Jun, Sep, Dec).

For the options, CME will list the following expiries:

Expiration CME Globex Code Style Listing
Quarterly RTO American 3 months in the March Quarterly cycle
Non-Quarterly Week 3 R3E European 3 week 3 weeklies
Weekly (Friday) R1E, R2E, R4E European 3 consecutive non-Week 3 Friday weeklies
End-of-Month RTM European 3 consecutive months

12. What are the trading hours on CME Globex?

  • Outright: Sunday – Friday 6:00 p.m. – 5:00 p.m. ET with a trading halt from 4:15 p.m. – 4:30 p.m. ET
  • BTIC: Sunday – Friday 6:00 p.m. – 4:00 p.m. ET

13. How is the daily settlement price of Russell 2000 futures determined?

Daily settlement for E-mini Russell 2000 Index future (RTY) is based on the 30-second volume-weighted average price (VWAP) of Globex trades between 4:14:30 p.m. and 4:15:00 p.m. ET.

14. How are Russell 2000 futures final settlement price of the futures determined?

Final settlement value is based on the Special Opening Quotation (SOQ) on the third Friday of the contract month. The SOQ is based on the opening price of each component stock in the Russell 2000® Index, regardless of when those stock open.

15. What are Russell 2000 options exercise procedures?

Expiration

CME Globex Code

Exercise Procedure

Quarterly

RTO

American Style. The option can be exercised until 8:00 p.m. ET on any business day the option is traded.

Non-quarterly Week 3 (Friday)

R3E

 

European Style. The option can be exercised on expiration day only.

Weekly (Friday)

R1E, R2E, R4E

End-of-Month

RTM

16. How is the Russell 2000 options settlement determined?

Expiration

CME Globex Code

Settlement at Expiration

Quarterly

RTO

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 8:00 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

Non-quarterly Week 3

R1E, R2E, R3E, R4E

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 (symbol RTF) 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.

Weekly (Friday)

End-of-Month

RTM

17. Are these futures and options contracts eligible for block trading?

Yes, the minimum block trade threshold for all Russell 2000 futures and options is 40 contracts.

Fee & Margin Details

18. What are the fees for Russell 2000 futures and options?

The Russell 2000 products will be part of the E-mini Equity Index futures and options product suite according to the current CME Fee Schedule. Page 4 of the latest fee schedule (updated July 17, 2017) lists Equity Index product fees, and page 9 lists other fees and discounts.

19. In which division will the Russell 2000 futures and options reside?

As far as membership, the products will reside in the GEM Division.

20. Are Russell 2000 products included the CME Equity Product Volume Discounts?

Yes. E-mini Russell 2000 futures and options volume will count towards the current volume-based fee discounts available to members.

View the CME Fee Schedule for more information

21. Will there be additional market data fees to trade the E-mini Russell 2000 products?

Those market participants whom are currently subscribing to the CME DCM market data will receive the E-mini Russell 2000 product data as part of that existing package at no additional charge.  If a participant that is not currently subscribed to the CME DCM market data wishes to access E-mini Russell 2000 market data, they will need to subscribe to CME DCM market data subject to the current market data fee schedule.

22. What are the margin requirements for E-mini Russell 2000 Index futures?

The initial margin estimate for outright E-mini Russell 2000 Index futures contract is approximately $2,500 (~3.5% of the contract notional value) and $80 for the calendar spread. These are preliminary margin estimates as of June 30, 2017 and are subject to change.

23. What are the available margin credits for offsetting positions between the E-mini Russell 2000 Index futures and CME’s major U.S. benchmark index futures?

Margins and margin credits are based on current market conditions and, thus, are subject to change. Below are the margin credits estimates as of June 30, 2017.

Leg 1 vs. Leg 2 Ratio Margin Credit
RTY ES 3:2 75%
RTY NQ 3:2 65%
RTY YM 3:2 70%
RTY ME 4:1 75%
RTY N1 3:2 65%
RTY NK 3:2 65%
RTY RS1 5:6 75%
RTY RSG 5:6 55%
RTY RSV 3:4 70%

Learn More about Margins:

Additional Information

24. Will there be on-screen market makers for the Russell 2000 products?

  • Futures: CME Group designed a futures market maker program to assure continuous two-sided markets are quoted on-screen throughout the trading day beginning July 10.
  • Options: CME does not intend to introduce a market maker program for E-mini Russell 2000 options; instead, we anticipate many of our current equity options market makers to quote Russell 2000 options continuously beginning Day 1.

25. How can I see prices for E-mini Russell 2000 Index futures?

Delayed quotes will be available online on the CME Group website. You can also access quotes through major quote vendors.

View Bloomberg and Thomson Reuters symbols

26. How can I get access to CME Globex?

To access CME Globex, you must have a relationship with a CME Clearing Member Firm.

Learn more about connecting to CME Globex

27. How will the messaging policy function for Russell 2000?

E-mini Russell 2000 futures are likely to be phased into the Message Efficiency Program (MEP) over time, but will not be included in or subject to the MEP at launch.  Those contracts that are included in the MEP must have a minimum of 500,000 messages per day and a minimum ADV of 25,000.  The E-mini Russell 2000 will be reviewed at each quarter end for inclusion into the MEP, and any changes with respect to inclusion will be widely communicated at such time.

28. Where can I find more information on the return of Russell 2000 products to CME?

Visit cmegroup.com/russell2000 for the latest information. You can fill out the form on this page to stay informed of Russell 2000 product updates.


1 Applies to E-mini Russell 2000 Index futures, E-mini Russell 2000 Growth Index futures, E-mini Russell 2000 Value Index futures, E-mini Russell 1000 Index futures, E-mini Russell 1000 Growth Index futures, E-mini Russell 1000 Value Index futures (subject to change in the future).

Russell 2000 Index Futures

Learn more about transitioning Russell 2000 Index futures positions to CME.

View Transition Guide

Learn About E-mini Russell 2000 Futures