Select Sector Futures Update

Track Volume and Liquidity Trends in E-mini S&P Select Sector Futures

Discover a liquid, cost-effective and capital-efficient way to manage portfolio sector exposures as well as implement directional views and sector rotation strategies with CME Group's E-mini S&P Select Sector Futures.

This report highlights activity in CME Group's Select Sector futures and includes three sections:

  • Liquidity Analysis: The average bid / ask spread that would have been encountered by a 10-lot and 25-lot order based on a historical analysis of the intraday depth of book in each select sector index contract
  • Activity Summary: Average daily volume and open interest for each contract over the last 30 days, expressed in terms of the number of contracts, notional value and percentage of total
  • Historical Volume and Open Interest: Day-by-day historical statistics across all select sector futures, with associated 3y graph

Questions or comments? Contact Equities@cmegroup.com.

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