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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

  

  12/7/2009*	-4.77	0.34		-2.16	0.14		-59.75	0.27		-2.49	0.02		-0.80	0.21		N/A	N/A		N/A	N/A
  12/8/2009*	-4.78	0.34		-2.12	0.15		-61.46	0.31		-2.21	0.18		N/A	N/A		-3.28	1.20		1.58	2.19
  12/9/2009*	-4.72	0.36		-2.01	0.17		-61.12	0.32		-2.21	0.16		N/A	N/A		-3.51	1.15		N/A	N/A
  12/10/2009*	-4.74	0.39		-1.89	0.20		-59.70	0.37		-2.20	0.16		-1.00	-0.05		-4.01	1.02		1.31	2.06
  12/11/2009*	-4.81	0.32		-2.01	0.17		-60.98	0.32		-2.22	0.20		-0.90	0.08		-3.68	1.10		1.81	2.26
  12/14/2009*	-4.76	0.34		-1.93	0.19		-61.11	0.32		-2.27	0.18		-0.85	0.15		-2.97	1.26		2.74	2.53
  12/15/2009*	-4.75	0.34		-1.77	0.22		-60.21	0.35		-2.31	0.17		-0.94	0.03		-2.16	1.46		6.03	3.87
  12/16/2009*	-4.71	0.35		-1.70	0.24		-61.18	0.31		-2.31	0.16		-0.88	0.07		-2.08	1.48		6.27	3.94
  12/17/2009*	-4.74	0.34		-1.95	0.19		-61.46	0.31		-2.32	0.16		-1.00	-0.08		-2.42	1.39		5.77	3.81

  *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)

           

  12/7/2009*	-6.20	0.52		70.73	86.68
  12/8/2009*	-3.66	0.62		71.20	87.92
  12/9/2009*	-7.17	0.49		72.13	94.61
  12/10/2009*	-7.92	0.46		59.85	68.23

  *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.