Launched in September 2025, the S&P 500 Month-End complex was created for specific exposure and risk management workflows, with the design centered on precision, scale and efficiency. The SME complex is optimized for users in the following key ways and use cases:

1. Seamless month-end rebalancing for portfolio management

S&P 500 Month-End futures and options contracts specifically align hedging activities directly with month-end and quarter-end rebalancing cycles. This allows managers to precisely hedge their equity exposure against a specific price point and minimize potential tracking error.

2. Risk management

The product is explicitly optimized for focusing liquidity around the BTIC both on-screen (CLOB) and block trading and institutional-sized positions. Key features include:

• Larger contract value: The SME contract multiplier is $100, double that of standard E-mini S&P 500 (ES) contracts.^[2] This allows for greater operational efficiency when executing hedging large portfolios. 
• On- and off-exchange trading: Execution methods are designed to support large trades.

3. Capital efficiency

Market participants can efficiently scale their S&P 500 exposure. The benefits include:

• Margin offset availability: Integration with the CME clearing ecosystem offers significant capital efficiency through margin offsets with other Equity Index contracts^[3] via the SPAN 2 Methodology.

The architecture of the S&P 500 Month-End suite is engineered for larger-scale, date-specific hedging centered on month-end or quarter-end valuation points. For portfolio managers, this feature creates alignment with performance reporting and net asset value (NAV) calculation in addition to minimizing market impact and potential tracking error. Below we detail the BTIC transaction type, how it has been working on other index futures and how it facilitates the month-end point specificity.

Basis Trade at Index Close (BTIC)

• Available on Globex (CME ticker: SMET; Bloomberg: SYYA), BTIC allows participants to trade the SME futures contract at a negotiated basis relative to the official S&P 500 closing index value, where trading is either on screen or via bilateral block. BTIC allows market participants to trade the S&P 500 Month-End futures contract at a negotiated basis relative to the official S&P 500 closing index value.
• In 2025, BTIC trading across major indices such as E-mini S&P 500, E-mini Nasdaq-100, E-mini Russell 1000 Index, E-mini Russell 2000 Index and E-mini Dow Jones Industrial Average Index represented 42% of the month end at MOC (market on close) trading flow on primary cash venues. BTIC volumes, as measured by notional value, of these particular contracts at the end of the month point tended to be double the average daily traded volume for these indices as illustrated in Exhibit 1. 

Market participants can also trade SME futures contracts via EFRP.

• An EFRP is a market-neutral transaction used to transform the vehicle in which an exposure is held. For example, an asset manager holding a long S&P 500 exposure through an ETF can convert an ETF position into an equivalent S&P 500 Month-End futures^[4] position, through private negotiation bilaterally. This ensures precise execution at a pre-agreed price while minimizing market impact and slippage.
• Converting between a capital-intensive ETF or stock basket position to a capital efficient futures contract allows active balance sheet management and return on capital.
• EFRPs are privately negotiated block trades transactions, minimize slippage and breakup risk. EFRPs are governed by Rule 538. For guidance or more information, see the Rule 538 Market Regulation Advisory Notice.

Ability to diversify synthetic financing costs

In general, financing costs tend to peak at the month end point, see Exhibit 2 where the difference between Secured Overnight Financing Rate (SOFR) vs. Fed Funds overnight rates are compared. As equity financing costs change daily, the monthly expirations of the S&P 500 Month-End futures allows market participants to diversify their funding costs.

EFRPs provide an efficient alternative to the traditional repo (repurchase agreements) market. Repo is also a form of collateralised lending whereby a basket of securities acts as the underlying collateral for the loan.

• Synthetic borrowing: A party holding an S&P 500 ETF but needing cash can execute an EFRP to "Sell ETF + Buy S&P 500 Month-End S&P 500 futures contract." This liquidates the ETF for immediate cash while maintaining the long S&P 500 exposure via the futures contract. The "interest rate" is the basis agreed upon in the EFRP.
• Synthetic Lending: A party with excess cash can execute an EFRP to "Sell S&P 500 Month-End futures contract + Buy ETF." This deploys cash into the physical asset while hedging the market risk with a short futures position. The return earned is the basis.
• EFRP is a two-leg transaction priced on a single, negotiated basis and the EFRP's financing rate is transparent (the basis), while the reversal's rate is implicit.

Delta hedge leg of a User Defined Spreads (UDS) – combining options and futures

Market participants can access options through outright options CLOB and trade UDS if they wish, as well as trading option blocks. Delta hedging trades attached to an outright options position or an options strategy can be executed via a User Defined Spread (UDS). A User Defined Spread is created via a request for quotes (RFQs) process, creating a central limit order book (CLOB) for each UDS. Participants can also use the deeply liquid E-mini S&P 500 (ES) futures market to manage the delta risk of SME options positions, creating a liquidity bridge.

For illustrative purposes, exhibit 3 below is an actual example of a “put spread collar” strategy quoted on Globex in the E-mini S&P 500 Week 3 February 2026 options during December 2025, whereby a customer sent an RFQ message to the marketplace, seeking a price on the following structure:

• Sell 1 7250 call
• Buy 1 6750 put
• Sell 1 6350 put

^{Source: CME Group, Quote as December 3, 2025}

S&P 500 Month-End options on futures likewise enable market participants to send a request for quote (RFQ) to the marketplace, notifying the marketplace of interest in a particular strategy.  The resultant User Defined Spread (UDS) populates a central limit order book which may contain up to 40 legs, including the potential for attached futures delta hedges. Traders may hit / take, work day orders or enter good-till-cancel (GTC) orders in these strategies.

In terms of the S&P 500 Month-End, the following design features are of significance:

Settlement: The final settlement price of the S&P 500 Month-End futures is the official S&P 500 Index closing price at 4:00 p.m. ET on the final business date of the month.

Market structure: The design facilitates both on-screen and off-screen trading, both on-screen via a central limit order book and bilaterally through privately negotiated block trades.

Options: Month-End options are American-style and settle into the specific monthly S&P 500 Month-End futures contracts, i.e., November expiry options will settle into November expiry futures. American-style options may be exercised by the buyer any day up to and including the option’s expiration date. Contrary instructions are also permitted. Notably, it gives options users a useful tool to target the month-end closing index price as the expiration point for their option positions and related structures.

The S&P 500 Month-End (SME) futures and options complex is a specialized and specific toolkit for institutional participants who require precise risk management aligned with month-end and quarter-end valuation points. Its unique design, including a large contract multiplier and a futures market structure centered on BTIC functionality, is optimized for hedges with minimal market impact. Utilizing S&P 500 Month-End options, market participants can also target the month-end closing index price for their related structures. Beyond hedging, the SME suite can act as a vehicle for managing financing via EFRP.

_{[1] CLOB - Central Limit Order Book
[2] At the time of writing market levels implies a notional value around $670K
[3] Margin Efficiencies in Cleared Financial Futures
[4] This can also be done using the E-mini S&P 500 futures (ES)
[5] FAQ: S&P 500 Month-End Futures and Options}