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Monthly Stock Index Update
View historical volatility, ADV & O.I., correlations and more.
Order Execution Dashboard tools, Equity Index Futures
Interactive tools offer quantitative data to help enhance order execution strategy, analyze slippage rates, and more. Registration required.
Q4 2011 Quarterly Roll Summary
Equity Quarterly Roll Analyzer page
Enhanced pace of roll tools for analyzing and executing quarterly roll strategies.
Latest Research
New paper discusses how financing rates fell below LIBOR rates during the last two rolls
New Paper: Select Sector Futures as Hedging/Replicating Tools
Understanding Sector Spreading Opportunities
Implied Financing in S&P 500 Futures
Relative Value Spreads with Select Sector futures product presentation
Risk Management for Equity Asset Managers
North American Equity Markets
Updated Look at Strategies for Hedging Russell 1000 and 3000 Indexes
Inter-market Stock Index Spreading
Using Equity Index Options on Futures to Rebalance a Portfolio (PDF)
Comparing E-minis and ETFs (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)
Standard & Poor’s Paper: Comparing S&P SmallCap 600 vs. Russell 2000 Benchmarks (PDF)
International Equity Markets
S&P 500 vs. Ibovespa Index Futures Spreading Guide (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)
Research by Market Segment/Style
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.
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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
Spread Trading U.S. vs. Brazilian Stock Index Futures (PDF)
Spreading Yen- vs. USD-based Nikkei 225 Futures (PDF)
Tracking Nikkei 225 Futures vs. the Cash Index (PDF)
Feedback
Questions about the Research? Contact the CME Group Product Development & Research Team
Product questions? Contact the CME Group Equity Products team
