Fixing Prices
 

Equity Index Special Fixing Prices For End-of-Month Options, Weekly Options, and Daily Limit Calculations

 
Main U.S. Equity Indices Globex Product Code Fixing Code Futures Fixing Timestamp
E-mini S&P 500 ES ESF - -
E-mini S&P MidCap 400 EMD MDF - -
E-mini S&P SmallCap 600 SMC SMF - -
E-mini Dow (Dow Jones Industrial Average) YM YMF - -
Dow Jones US Real Estate Index RX RLE - -
E-mini NASDAQ-100 NQ NQF - -
E-mini NASDAQ Composite QCN QCF - -
S&P MLP Index MLP MLA - -
S&P Growth SG SFG - -
S&P Value SU SUF - -
E-mini NASDAQ Biotechnology BIO BQF - -
E-mini S&P Select Sectors  
Consumer Discretionary XAY AXF - -
Consumer Staples XAP PAF - -
Energy XAE FXA - -
Financial XAF AFF - -
Healthcare XAV AVX - -
Industrial XAI AIF - -
Materials XAB BAF - -
Technology XAK AKF - -
Utilities XAU AUF - -
International Index  
Nikkei 225 NIY NKF - -

 

About the ESF Calculation*

On expiration days for End-of-Month (EOM) and Weekly options on standard and E-mini S&P 500 futures, CME calculates a special fixing price based on the weighted average trading price of the designated lead month for the E-mini S&P 500 futures in the last 30 seconds (2:59:30 - 3:00:00 p.m.) of trading before the 3:00 p.m. (Chicago Time) options expiration. For the purposes of this calculation, the designated lead month is always the contract month closest to expiration until the Monday prior to expiration, when the designated lead month becomes the second contract month.

About the NQF Calculation*

On expiration days for Weekly options on standard and E-mini NASDAQ-100 futures, CME calculates a special fixing price based on the weighted average trading price of E-mini NASDAQ-100 futures in the last 30 seconds (2:59:30 - 3:00:00 p.m.) of trading before the 3:00 p.m. (Chicago Time) options expiration. For the purposes of this calculation, the designated lead month is always the contract month closest to expiration until the Monday prior to expiration, when the designated lead month becomes the second contract month.

It is disseminated immediately using the symbol NQF and used to determine which of the Weekly options are in-the-money and, therefore, exercisable.

 

Note

*CME disclaims liability for the ESF and NQF Options fixing prices, and no representation or warranty, express or implied, is made concerning the ESF or NQF fixing prices (including, without limitation, the Methodology for its determination and its suitability for any particular use).

FX Fixing Price

European Style - 9AM cst FIX
Final
Date Euro-FX Japanese Yen British Pound Canadian Dollar Swiss Franc Australian Dollar Mexican Peso
06/06/2012 - - - - - - -
11AM cst FIX
Final
Date Euro-FX Japanese Yen British Pound Canadian Dollar Swiss Franc Australian Dollar Mexican Peso
06/06/2012 - - - - - - -
American Style - 2PM cst FIX
Final
Date Euro-FX Japanese Yen British Pound Canadian Dollar Swiss Franc Australian Dollar Mexican Peso
06/06/2012 - - - - - - -
3PM cst FIX
Final
Date Euro-FX Japanese Yen British Pound Canadian Dollar Swiss Franc Australian Dollar Mexican Peso
06/06/2012 - - - - - - -

 

 

 


 

 
 

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