CME Equity Fair Value Premiums


On the last business day of each month, CME Group Equity futures based on domestic stock indexes are marked-to-market against their respective theoretical fair values (FVs). The FVs are determined by referencing the closing cash index values plus finance charges less anticipated dividends.

Throughout the regular trading hours, indicative futures premiums based on a theoretical fair value calculation are provided for informational purposes. Such fair value futures premiums are initially posted on the floor at approximately 10 a.m. Central Time (CT), and updated at noon and 2 p.m. (CT) based on the then-prevailing "cash" index levels. The official fair value settlement prices shall be determined at 3:15 p.m. based on the prevailing estimates of the closing "cash" index levels.

The table shows in the PDF linked below shows the calculated futures premiums for each contract as well as the underlying cash index values that were used in the calculation. These values will be updated throughout the day at the stated times.

Fair Value Futures Premiums

* Actual futures premium, i.e. difference between futures settlement price and cash index used. Due to the rounding of the settlement to a valid futures price, the actual premium may exhibit some unexpected fluctuations.

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As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group brings buyers and sellers together through the CME Globex electronic trading platform and trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the largest central counterparty clearing services in the world, which provides clearing and settlement services for exchange-traded contracts, as well as for over-the-counter derivatives transactions through CME ClearPort.

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CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX, and COMEX.