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EQUITY UPDATE

December 9, 2010

 
Optimize the Roll with the Equity Quarterly Roll Analyzer Tool
Expansion of S&P 500 Futures Listing Cycle
Weekly NASDAQ-100 Options Now Trading
Monthly Stock Index Update for November

 

Optimize the Roll with the Equity Quarterly Roll Analyzer Tool

Now through Friday, December 17 - Get daily updates and analysis of the Dec '10-Mar '11 equity quarterly futures roll with our online interactive tool. With the Equity Quarterly Roll Analyzer tool you can:

  • View calculations of how rich or cheap the calendar spreads are trading
  • Enter your own dividend and LIBOR assumptions to view impact to implied financing costs
  • Track migration of open interest to the back month contract
  • View intra-day pricing charts


 Access the Equity Quarterly Roll Analyzer tool - www.cmegroup.com/rollpace.

Check out similar tools for other financial products available at CME Group exchanges:

 FX Quarterly Roll Analyzer tool – www.cmegroup.com/fxrollpace
 Treasury Futures Pace of the Roll tool – www.cmegroup.com/ratesroll

For more information, please contact us at EQResearch@cmegroup.com.

 

Expansion of S&P 500 Futures Listing Cycle

Effective Friday, December 17 - The listing cycle for standard S&P 500 futures contracts will be expanded from eight consecutive quarterly contracts to eight consecutive quarterly contracts plus three additional December contracts (so that five December contracts will be listed for trading at a given time).

Based on marketplace feedback, this expansion is an initial step designed to provide participants with added flexibility for their trading needs. It also enables you to trade FLEX options on the new S&P 500 futures contracts, up to five years out.

 

Current Listing Cycle

Listing Cycle Effective December 17, 2010

Dec 2010
Mar 2011
Jun 2011
Sep 2011
Dec 2011
Mar 2012
Jun 2012
Sep 2012

Mar 2011
Jun 2011
Sep 2011
Dec 2011
Mar 2012
Jun 2012
Sep 2012
Dec 2012
Dec 2013
Dec 2014
Dec 2015

 Read the Special Executive Report 5489
 Learn more about FLEX options on Equity Index futures

For more information, please contact Tom Boggs at thomas.boggs@cmegroup.com or at 312-930-3038.

 

Weekly NASDAQ-100 Options Now Trading

European-style weekly options on standard and E-mini NASDAQ-100 futures launched in October 2010, offering expanded trading opportunities on our benchmark equity index products with a weekly expiration available every Friday except the third Friday (the expiration date of American-style quarterly /serial options).

Through Friday, December 3, E-mini NASDAQ-100 weekly options had traded nearly 2,000 contracts.

 Learn more about Weekly options on equity index futures
 View Tom Boggs speaking about Weekly options on our S&P 500 and NASDAQ-100 contracts

For more information, please contact Tom Boggs at thomas.boggs@cmegroup.com or at 312-930-3038.

 

Monthly Stock Index Update for November

Stay on top of our equity Index markets with this monthly summary of our latest volumes, open interest, historical volatility, index sector weightings and correlations, available in the Monthly Stock Index Update.

 View the update for November 2010

For more information, please contact EQresearch@cmegroup.com or 1-800-331-3332.

 

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