Monthly Stock Index Update - September 09
View historical volatility, ADV & O.I., correlations and more.

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Q3 2009 Quarterly Roll Summary
Analysis of roll costs for September/December roll of key equity index contracts.

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Pace of Roll Daily Tracker
During the quarterly roll period, get daily updates on open interest migration and related financing costs.

Updated Tracking Error History, E-mini MSCI EAFE Futures (PDF)

Updated Tracking Error History, E-mini MSCI Emerging Markets Futures (PDF)

Standard & Poor’s Paper: Comparing S&P SmallCap 600 vs. Russell 2000 Benchmarks (PDF)

Comparing E-minis and ETFs (PDF)

Order Placement Analysis: E-mini S&P 500 Futures (PDF)

Leveraged ETFs vs. Futures: Where Is the Missing Performance? (PDF)

Box Spreads on Equity Index Options as a Financing Tool (PDF)

Revisiting the Combo Hedge for the Russell 1000 (PDF)

Spreading Euro- vs. USD-denominated E-mini S&P 500 futures (PDF)

Hedging the Russell 3000 Index (PDF)

Improving Equity Index Futures’ Performance with Interest Rate Futures (PDF)

Stock Index Futures Spreading: S&P 500 vs DJIA (PDF)

Hedging the Equal Weight S&P 500 Index (PDF)

Hedging the Russell 1000 Index (PDF)

Tracking Error for E-mini MSCI Emerging Markets Futures (PDF)

Spreading Yen- vs. USD-Based Nikkei 225 Futures - (ENGLISH) (PDF)

Spreading Yen- vs. USD-based Nikkei 225 Futures - (JAPANESE) (PDF)

Tracking Nikkei 225 Futures vs. the Cash Index (PDF)

Use this Equity style box tool to look up CME Group research available by market segment and style. Click on the category in which you’re interested to pull up related research on that segment/style.

			Large
			Medium
			Small
Value	Core	Growth

Large/Core Results:
North American
Leveraged ETFs vs. Futures: Where Is the Missing Performance? (PDF)
Comparing E-minis and ETFs (PDF)
Options Box Spreads as a Financing Tool (PDF)
Revisiting the Combo Hedge for the Russell 1000 (PDF)
Hedging the Russell 1000 Index (PDF)
Combo Hedge for the Russell 3000 Index (PDF)
Hedging the Equal Weight S&P 500 Index (PDF)
Improving EQ Index Futures Performance with Int Rate Futures (PDF)
Spreading Euro- vs. USD-den E-mini S&P 500 Futures (PDF)

 

International Equities
Tracking Error for E-mini MSCI Emerging Markets Futures (PDF)
Spreading Yen- vs. USD-based Nikkei 225 Futures (PDF)
Tracking Error for MSCI EAFE Futures (PDF)
Tracking Nikkei 225 Futures vs. the Cash Index (PDF)

Questions about the Research? Contact the CME Group Product Development & Research Team

Product questions? Contact the CME Group Equity Products team