Product Spotlight - Micro E-Mini Options

By Craig Bewick
OCT 16 2020

Instead of recapping the week today, we’re going to take the opportunity to showcase the two new options products at CME Group: the Micro E-mini S&P 500 and Nasdaq-100 options.  These products launched on August 31st and, through Wednesday of this week, had traded over 250k contracts. 

Remember, these products have many of the same characteristics as the E-mini S&P 500 and Nasdaq-100 options but, because the underlying is the Micro Futures contract, are 1/10 the size.  To put that in US Dollar perspective, consider the following. 

Yesterday at about 1:00 PM Chicago time, the at-the-money strike in the Micro E-mini S&P 500 option that expired today was the 3470.  In both the Micro E-mini and E-mini S&P 500 options, the Calls were quoted at 14.5 Bid at 15 Offer and the Puts were quoted at 16.25 @ 16.75.  So, let’s assume a trader could get filled at 14.75 in the Calls and 16.5 in the Puts (there is not guarantee that the trader would get filled at “mid-market” but for the sake of our example, we’re making an assumption). 

If a trader bought one straddle at these prices (Buy one Call and Buy one Put) it would cost them 31.25 points.  In the E-mini option, this would represent a cash outlay of $1,562.50 for this straddle that expires in one day.  In the Micro option, because it’s 1/10 the size, the cash outlay would be $156.25.  So, even in this very simple example, you can see the flexibility that the Micro options provide the trading community in adjusting notional exposure to these major benchmark indexes.

The Micro E-mini options have expirations every Friday, at the end of every month and the traditional quarterly expirations.  Remember, the Friday and Monthly expirations are European style options which means they cannot be exercised early while the quarterly expirations are American style and can be exercised up until expiration.  Use this link for the contract directory and calendar tool to keep track of all of the expirations CME Group offers in its options products.

Finally, as we head into the much-anticipated election a few weeks from now, we leave our readers with the QuikStrike image below of the volatility term structure in the E-mini S&P 500 options market.  Not surprisingly, we see a spike in volatility in the options that expire on November, 4th (the day after the election).  Somewhat more interesting is the sustained elevated level after the election. 

As always, we wish our readers a happy and safe weekend and we’ll see you on Monday. 

ABOUT THE AUTHOR

Craig Bewick has spent 25 years in futures and options markets, starting at CBOT and CME working in risk management, regulatory, technology, product management and client development. 

After 8.5 years with WH Trading LLC, Craig returned to CME Group as the Director, Client Development and Sales, working to educate and promote futures trading. Craig currently writes for InFocus Options Corner.

Connect with Craig at activetrader@cmegroup.com

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