New Interactive tools coming for future rolls include:

• Dividend assumptions tool, where you can change the dividend level used in financing calculations
• Hourly breakdowns of trading activity
• And more

Contact us at
EQresearch@cmegroup.com

About These Tools

• E-minis
  Calculations based on E-mini index futures data

   

  E-mini S&P 500

  E-mini NASDAQ-100

  E-mini Dow ($5)

  E-mini S&P MidCap 400

  E-mini S&P Smallcap 600

  E-mini MSCI EAFE

  E-mini MSCI Emerging Mkts

  

  09/08/09*	-4.40	0.37		-2.19	0.11		-60.03	0.38		-2.24	0.24		N/A	N/A		N/A	N/A		N/A	N/A
  09/09/09*	-4.40	0.36		-2.16	0.12		-59.67	0.39		-2.12	0.30		N/A	N/A		-6.16	0.65		0.83	1.26
  09/10/09*	-4.35	0.38		-2.11	0.13		-60.60	0.35		-2.06	0.33		-0.85	0.16		-6.38	0.60		1.08	1.40
  09/11/09*	-4.36	0.38		-1.99	0.16		-60.89	0.34		-2.07	0.33		-0.80	0.24		-6.41	0.60		1.15	1.41
  09/14/09*	-4.39	0.36		-1.84	0.19		-59.98	0.37		-2.11	0.32		-0.80	0.24		-6.30	0.63		1.52	1.59
  09/15/09*	-4.42	0.35		-1.73	0.22		-59.85	0.37		-2.07	0.33		-0.86	0.16		-5.28	0.89		2.25	1.91
  09/16/09*	-4.49	0.32		-1.78	0.21		-60.47	0.36		-2.17	0.27		-0.80	0.22		-5.78	0.75		2.77	2.03
  09/17/09*	-4.64	0.27		-1.89	0.19		-61.49	0.31		-2.19	0.27		-0.92	0.08		-6.22	0.64		2.45	1.89

  *Indicates Initial estimate by CME Group. When final calculation based on VWAP is available, asterisk will be removed.
  Data includes block trades consummated and reported each day.
• Nikkei 225
     

   

  Nikkei 225 (YEN)

  Nikkei 225  (USD)

           

  09/08/09*	-30.72	1.04		69.48	87.41
  09/09/09*	-30.57	1.05		62.31	112.70
  09/10/09*	-39.02	0.72		39.61	96.22

  *Indicates Initial estimate by CME Group. When final calculation based on VWAP is available, asterisk will be removed.
  Data includes block trades consummated and reported each day.
  
  ** Implied Forward Correlation calculation is adapted from the article: Spreading Yen- vs. USD-Based Nikkei 225 Futures. The convention adopted for this table assumes a positive correlation value if the strength of USD (vis-à-vis JPY) tends to move in the same direction as the stock index. Implied volatilies are taken from the Vol-based option market on CME Japanese Yen futures and NIKKEI Index Option in the morning.