How are the E-mini contracts similar to their larger counterpart contracts?
The E-mini and the larger contracts are based on the same underlying index (e.g., S&P 500, S&P MidCap 400, NASDAQ-100 and S&P SmallCap 600).
The E-mini and the larger contracts are cash-settled to the same index values on quarterly expirations (the Special Opening Quotation).
The E-mini S&P 500 and E-mini NASDAQ-100 settle daily to their larger contracts' counterpart settlement price, while the E-mini S&P MidCap 400 and E-mini S&P SmallCap 600 daily settlement prices will be used to settle their larger counterpart contracts.
The E-mini and the larger contracts have the same tick size for calendar spread trades of .05 index points.
How are E-mini contracts different from the larger contracts?
The E-mini contract values are one-fifth the size of the larger contracts.
The E-mini tick sizes are different:
E-mini S&P 500 tick size is .25, or $12.50 per tick (.05 for calendar spreads = to $2.50 per tick) versus a tick size of .10, or $25 per tick (.05 for calendar spreads = $12.50 per tick) for the big S&P 500 futures contract.
E-mini S&P MidCap 400 tick size is .10, or $10 per tick (.05 for calendar spreads = to $5 per tick) versus a tick size of .05, or $25 per tick (.05 for calendar spreads = to $25 per tick) for the big S&P MidCap 400 futures contract.
E-mini S&P SmallCap 600 tick size is .10, or $10 per tick (.05 for calendar spreads = to $5 per tick) versus a tick size of .05, or $25 per tick (.05 for calendar spreads = to $25 per tick) for the big S&P SmallCap 600 futures contract.
E-mini NASDAQ-100 has the same tick size of .25 as the big NASDAQ futures. The dollar value of the E-mini NASDAQ-100 tick is $5, while the larger NASDAQ-100 futures is $25. Calendar spread trades for both the E-mini NASDAQ-100 and big NASDAQ-100 futures is .05. the dollar value of the E-mini NASDAQ-100 calendar spread tick is $1, while the larger NASDAQ-100 futures is $5.
E-mini futures have only five quarterly contracts listed for trading.
An order for any quantity may be accepted for E-mini outright futures.
However, orders exceeding a specified number of contracts as indicated below must be entered on the CME Globex system as multiple entries, each of which must not exceed the specified number of contracts.
E-mini S&P 500: 2,000 for outrights and 5,000 for calendar spreads.
E-mini NASDAQ-100: 1,500 for outrights & 5,000 for calendar spreads.
All other CME stock index futures – 500 for outrights & 5,000 for calendar spreads.
An order for any quantity may be accepted for E-mini calendar spreads. However, calendar spread orders for E-minis exceeding 5,000 contracts per contract month must be entered on the CME Globex trading system as multiple entries each of which must not exceed 5,000 contracts.
How do the quarterly E-mini futures settle and when is the last time to trade before expiration?
E-mini quarterly contracts expire at the same time and to the same price as their larger counterpart contracts. For quarterly futures contracts, trading can occur up to 8:30 a.m., Chicago time, on the third Friday of the month.
Are E-mini options spreads available on CME Globex?
Yes. CME Group updated the electronic equity options functionality available on CME Globex to enable trading of standard listed and user-defined spreads (including covered) for E-mini options. Check with your CME Globex access provider to see if they offer this functionality on your trading platform of choice. This functionality is also available through CME EOS Trader.
Is a position of five E-mini futures contracts financially equivalent to a position of one regular-sized larger futures contract on the same side of the market in the same contract month?
Yes. The daily settlement prices for the E-mini futures contracts are the same as the settlement prices for the corresponding contracts months of the regular-size contracts. Accordingly, a customer who has a long position of five E-mini futures contracts and a short position of one regular-sized futures contract in the same contract month is perfectly hedged. CME Group will impose no initial margin (performance bond) requirements on such a hedged position.
May a customer liquidate E-mini futures positions against offsetting positions in the regular-sized futures contract without making additional trades in the market?
Yes. With the customer's consent, a clearing member may offset and liquidate E-mini futures positions against offsetting regular-sized futures positions held in the same account in a 5:1 ratio of E-mini to regular-sized futures contracts. The positions shall be offset at the previous day's settlement price. The clearing member shall notify CME Clearing of offsetting positions by submitting reports to the clearing house through a special online entry screen designed for that purpose
Position limits work in conjunction with the existing position limits for the regular-sized contracts. 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.
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