E-mini S&P Select Sector Futures Overview

Benefit from Sector Exposure in Futures Format

CME Group’s E-mini S&P Select Sector Futures offer investors the ability to not only access the ten individual S&P Select Sectors around-the-clock via CME Globex but also trade the same underlying S&P indices that the most popular sector ETFs track. Select Sector definitions are based upon the Global Industry Classification Standard (GICS) Level 1 definitions, with the exception of the Technology Select Sector, whose constituents represent a combination of the Information Technology and Telecomm GICS sectors.

Sector Exposure in the Futures Format

Capital Efficiency1

  • Greater than 20x leverage with 4.08% average initial margin
  • Up to 70% margin offset with S&P 500 futures
  • Additional operational efficiencies from working with a single clearing house

60/40 U.S. Tax Treatment

Select Sector futures are Section 1256 contracts, treated in the same manner as E-mini and Standard S&P 500 futures contracts with a blended capital gains tax treatment of 60% long-term and 40% short-term regardless of the futures holding period.

Fair Value

Like other CME Group Equity Index futures, Select Sector futures give participants an optimal strategy implementation tool as they are traded at levels representative of the expected carry cost, or the expected all-in financing and dividend expense.

Short sector exposure

E-mini S&P Select Sector futures afford traders the opportunity to short sector exposure without the constraint of security-based or single-stock-based short sale regulations and locate requirements.

Flexible Execution Features

  • Block Trades
  • Basis Trade at Index Close (BTIC)
  • Exchange For Physical (EFP) eligible

Versatility for Key Product Applications

Sector Rotation

Use to efficiently express outright sector-specific views within a portfolio, as well as easily execute relative value or under/over weighting strategies against the broader S&P 500 Index.

Spreading

Opportunities generally fall into these categories:

  • Sector Index vs. Components. Pursue spreading opportunities within a sector by trading individual sector index constituent stocks versus the sector future to create a market and sector neutral position. These relative value trades often have a low correlation to other directional equity strategies, and can help diversify portfolio risk while generating alpha.
  • Sector vs. Sector. Enables you to pursue myriad long vs. short expressions through delta-neutral or beta-adjusted spreads — with specific margin offsets available depending on the sector pairing (available online at cmegroup.com/equities).
  • Sector vs. Broad-based. Spread an individual sector versus a broad market index (such as the S&P 500) by using multi-legged futures.

Portfolio Overlays

Hedge unintended sector risk in stock-specific portfolios and/or to fine-tune a broad market hedging instrument such as S&P 500 futures on a tactical basis.

Cash Equalization

Employ to efficiently manage cash or gain cheap beta exposure for sector-specific strategies that experience periodic cash contributions and redemptions.

Low Cost. Low Tracking Error

Funds managers may prefer to use E-mini S&P Select Sector futures versus alternatives, as futures do not have embedded annual investment management fees and settle to an actionable price of the index via the Special Opening Quotation.

Growing Liquidity and Customer Demand

Dedicated Liquidity Provider

The program features multiple market makers continuously posting two-sided markets on CME Globex during regular U.S. trading hours.

Block-eligible

50 contract minimum, or $1.80 mm – $4.67 mm notional, depending on the specific contract.

Basis Trade at Index Close (BTIC)

BTIC block trades are special block trades that enable market participants to execute a transaction as a basis trade relative to the official close for the underlying S&P Select Sector Index.

  • Can be reported through the Global Command Center (GCC), Front End Clearing systems or CME ClearPort.
  • Must be reported using the BTIC tickers provided in the contract specs table (see back).

Exchange for Physical (EFP) Eligible

EFPs allow for the exchange of a position in the underlying physical instrument (i.e., basket of stocks or ETF) for a corresponding futures position. This enables increased access to liquidity, added risk mitigation, convenience of private negation and reduced or eliminated basis exposure.

Contract Specifications

All times are listed in Central Time

Contract Size

Financial and Real Estate Select Sectors: $250 x the respective S&P Select Sector Index price

All Other Select Sectors: $100 x the respective S&P Select Sector Index price

Tick Size (Minimum Fluctuation)

Financial and Real Estate Select Sector: 0.05 Index Points = $12.50

All Other Select Sectors: 0.10 Index Points = $10.00

Trading Hours

CME Globex: MON – FRI: 5:00 p.m. previous day – 4:00 p.m.; trading halt from 3:15 p.m. – 3:30 p.m.

Listed Months

Two months in the March quarterly cycle (i.e., March, June, September, December)

Last Trading Day

8:30 a.m. on 3rd Friday of contract month, with contingencies if Underlying Reference Value is not published on that day

Final Settlement

Cash settled to a special opening quotation of the corresponding S&P Select Sector Index based on the opening prices of the component stocks in the index, determined on the third Friday of the contract month.

Final Settlement Date

Third Friday of contract month with contingencies if the underlying reference value should not be published on that day         

Block Trade Minimum

Yes, minimum 50 contracts.

Basis Trade at Index Close (BTIC) Block Minimum

Yes, minimum 50 contracts.

Must be reported using the special BTIC block trade ticker symbol (see below)

 

SELECT SECTOR

FUTURES TICKER

BTIC BLOCK TICKER

INDEX TICKER

Consumer Discretionary

XAY

XYT

IXY

Consumer Staples

XAP

XPT

IXR

Energy

XAE

XET

IXE

Financial

XAF

XFT

IXM

Health Care

XAV

XVT

IXV

Industrial

XAI

XIT

IXI

Materials

XAB

XBT

IXB

Real Estate2

XAR

XRT

IXRE

Technology

XAK

XKT

IXT

Utilities

XAU

XUT

IKU

1Margin data as of 28 July 2016

2Real Estate Select Sector futures launch 29 August 2016.

About CME Group

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More about E-mini S&P Select Sector futures

Discover a cost-effective way to manage your portfolio sector exposure with E-mini S&P Select Sector Futures.

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