- What are the contract specifications for E-mini S&P 500 Tuesday and Thursday (European-style) options?
- What characteristics are shared amongst E-mini S&P 500 European-style options?
- How many new expiries will be available at a given time?
- What are the contract codes for E-mini S&P 500 European-style options?
- What are the underlying instruments for E-mini S&P 500 European-style options?
- What determines whether European-style options are exercisable?
- How is the fixing price determined?
- How do the fixing price and the futures daily settlement price inter-relate with one another?
- Does the listing of these new contracts affect the European option listing cycle?
- How is the listing cycle changing?
- Will any of these changes effect existing contract expiries?
- What is the first holiday effected by this change?
- How many different European-style option expiries will be listed at a given time?
- How far in advance can traders expect holiday listings available?
- Why is U.S. Memorial Day not affected by this new approach?
- What are all of the holidays affected by this change during 2022?
- Will any other indices be affected by the listing changes affecting E-mini S&P 500 European-style options?
- When can traders expect new Tuesday or Thursday contract expirations to become available?
- Where can I find Bloomberg contract codes for Tuesday and Thursday E-mini S&P 500 futures option expiries?
1. What are the contract specifications for E-mini S&P 500 Tuesday and Thursday (European-style) options?
Tuesday Weekly Options on E-mini® Standard and Poor's 500 Stock Price Index Futures – Week 1 through Week 5 (European style)
Thursday Weekly Options on E-mini® Standard and Poor's 500 Stock Price Index Futures – Week 1 through Week 5 (European style)
|
Underlying Futures Contract/Commodity Code |
Each option is exercisable into one E-mini Standard and Poor's 500 Stock Price Index Futures / ES |
|
Trading Unit |
$50 x E-mini Standard and Poor's 500 Stock Price Index |
|
Trading and Clearing Hours |
CME Globex: Pre-open: Sunday 5:00 p.m. - 6:00 p.m. Eastern Time/ET Monday – Thursday 5:45 p.m. - 6:00 p.m. ET Open: Sunday 6:00 p.m. – Friday 5:00 p.m. ET with a daily maintenance period from 5:00 p.m. - 6:00 p.m. ET CME ClearPort: Sunday 6:00 p.m. - Friday 6:45 p.m. ET with no reporting Monday - Thursday 6:45 p.m. – 7:00 p.m. ET |
|
CME Globex and CME ClearPort Code |
Tuesday Weekly Options on E-mini Standard and Poor's 500 Stock Price Index Futures: E1B, E2B, E3B, E4B, E5B Thursday Weekly Options on E-mini Standard and Poor's 500 Stock Price Index Futures: E1D, E2D, E3D, E4D, E5D |
|
Listing Schedule |
Tuesday weekly contracts listed for 2 weeks Thursday weekly contracts listed for 2 weeks |
|
Termination of Trading |
Trading of Tuesday Weekly Options terminates at 4:00 p.m. ET on Tuesday of the contract week Trading of Thursday Weekly Options terminates at 4:00 p.m. ET on Thursday of the contract week |
|
Minimum Price Increment |
Regular tick: 0.25 index points = $12.50 for premium above 5.00 index points Reduced tick: 0.05 index points = $2.50 for premium below 5.00 index points |
|
Price Basis |
Prices are quoted and traded in Index points |
|
Block Minimum Threshold |
250 contracts - subject to a 15-minute reporting window |
|
Strike Price Listing Schedule |
100 index point integer multiples: -50% to +30% of the prior day’s settlement price on the underlying future contract, when listed 50 index point integer multiples: -40% to +20% of the prior day’s settlement price on the underlying future contract (<366 DTE) 10 index point integer multiples: -25% to +10% of the prior day’s settlement price on the underlying future contract (<186 DTE) 5 index point integer multiples: -15% to +5% of the prior day’s settlement price on the underlying future contract (<35 DTE) Dynamic strike allowed on 5 point intervals |
|
Exercise Procedure |
European Style. Exercisable only on expiration day. Contrarian instructions are prohibited. |
|
Settlement at Expiration |
Option exercise results in a position in the underlying cash-settled futures contract. Options which are in-the-money on the last day of trading are automatically exercised. A 4:00 p.m. ET (3:00 p.m. CT) price fixing based on the weighted average traded price fixing (symbol ESF) of the E-mini Standard and Poor's 500 Stock Price Index futures in the last 30 seconds of trading on expiration day (3:59:30 p.m.-4:00:00 p.m. ET) will be used to determine which options are in-the-money. |
|
Settlement Method |
Deliverable |
|
CME Globex Matching Algorithm |
F: First In, First Out (FIFO) |
2. What characteristics are shared amongst E-mini S&P 500 European-style options?
E-mini S&P 500 European-style options at CME (which by definition can only be exercised on expiration day), prohibit contrarian instructions (the abandonment of in-the-money options or the exercise of out-of-the-money options). At expiration, all in-the-money options are automatically exercised, whereas all out-of-the-money options are automatically abandoned.
Without the possibility of contrarian instruction, both the options buyer and the writer have certainty about respective positions in the underlying futures contract following the expiration of option positions. The writer does not need to wait for assignment notices, which offers a degree of certainty around exercise.
Market participants familiar with the behavior and specification of existing E-mini S&P 500 European-style options can expect a similar profile for these new expiries, which expire on a Tuesday or Thursday.
3. How many new expiries will be available at a given time?
Generally, the two nearest Tuesday and Thursday E-mini S&P 500 European-style option contracts will be available at a given time.
Occasionally, an additional Tuesday or Thursday expiration date may be listed in advance, in addition to the one nearest contract, to accommodate holidays. More details are provided in question 12.
4. What are the contract codes for E-mini S&P 500 European-style options?
The chart below details contracts codes for differing E-mini S&P 500 European-style option contracts.
CONTRACT |
options on E-MINI Standard and poor’s 500 stock price index futures |
Monday |
At any given time, the four nearest weeks of E1A, E2A, E3A, E4A, E5A will be listed for trading. |
Tuesday |
At any given time, the two nearest weeks of E1B, E2B, E3B, E4B, E5B will be listed for trading. |
Wednesday |
At any given time, the four nearest weeks of E1C, E2C, E3C, E4C, E5C will be listed for trading. |
Thursday |
At any given time, the two nearest weeks of E1D, E2D, E3D, E4D, E5D will be listed for trading. |
Friday |
At any given time, the four nearest weeks of EW1, EW2, and EW4 (weeks one, two, and four) and nine of the nearest weeks of EW3 (week three) will be listed for trading. |
EOM |
Monthly contracts listed for six consecutive months (EW) |
Quarterly |
Quarterly contracts (Mar, Jun, Sep, Dec) (ES) listed for nine consecutive quarters and 3 additional December contract months. |
5. What are the underlying instruments for E-mini S&P 500 European-style options?
The underlying instrument for all E-mini S&P 500 European-style options is the nearest expiring quarterly E-mini S&P 500 futures contract as of the expiration of the option.
6. What determines whether European-style options are exercisable?
On their expiration day, European-style options will be automatically exercised if the options are determined to be “in-the-money” using a volume-weighted average fixing price calculated by the Exchange at 4:00 p.m. Eastern Time (ET). This fixing price is calculated and disseminated by CME daily under the symbol “ESF.”
7. How is the fixing price determined?
The fixing price is the volume-weighted average price of trading in E-mini S&P 500 futures, traded during the 30-second period leading up to 4:00 p.m. ET. Only outright trades of the S&P 500 futures in the corresponding contract month shall be included in the calculation. Spread trades involving the corresponding contract month of the E-mini S&P 500 futures shall be disregarded for the purpose of the fixing calculation.
For example, at expiration, if the volume-weighted average price of the underlying futures contract was determined to be 4200.01, an E-mini S&P 500 or Weekly call option with a strike price of 4200 would be automatically exercised; the seller of a call option with a strike price of 4200 would be automatically assigned. As discussed earlier, contrarian instructions are prohibited for these contracts.
8. How do the fixing price and the futures daily settlement price inter-relate with one another?
The E-mini S&P 500 fixing price, ESF, is used to determine exercise and assignment of the expiring option. It has two-decimal digit precision. Any options that are at least 0.01 index point in the money will be exercised.
A futures positions created as a result of the exercise of the options, that is not otherwise offset with other futures positions, will be marked to market at the daily settlement price of the underlying futures. The daily settlement price of E-mini S&P 500 Index futures is in increments of 0.25 index point. The daily settlement price of the futures does not factor into the exercise and assignment of the Tuesday and Thursday Weekly options.
9. Does the listing of these new contracts affect the European option listing cycle?
Yes, all Weekly European-style options will now handle holiday conflicts slightly differently, as of April 25, 2022.
End-of-Month European options listings will be unaffected.
10. How will the existing listing cycle be impacted?
Prior to April 25, 2022, the Exchange adjusted the options expiration that falls on a scheduled US holiday to the previous trading day, with the exception of Monday options being adjusted to the ensuing Tuesday if the expiration Monday is a holiday. The options are listed using the Monday, Wednesday, and Friday options contract code, notwithstanding the expiration adjustments due to the scheduled holiday.
As of April 25, 2022, to avoid confusion, options expiration impacted by scheduled US holidays will be listed with the contract code corresponding to the actual day of expiration.
For example, US Independence Day in 2022 falls on Monday, July 4, 2022. An option with an expiration date of Tuesday, July 5, 2022 was listed ahead of time to accommodate the holiday, using contract code E1BN2, instead of the Monday commodity code E1AN2.
11. Will any of these holiday schedule changes effect existing contract expiries?
The changes only apply to newly listed expiries after April 25, 2022.
12. What is the first holiday effected by this change?
The first holiday effected by this change is Juneteenth National Independence Day.
No expiration was listed on June 20th, 2022, when the holiday was observed. The next Monday expiry was June 27th, instead.
Concurrently, the exchange also listed a Tuesday June 21st expiry, with CME Globex code E3BM2, to provide coverage around this holiday.
13. How many different European-style option expiries will be listed at a given time?
Four contracts are available for the following expiry types:
- Monday weeklies
- Wednesday weeklies
- Friday weeklies (weeks 1, 2 & 4)
In addition, six End-of-month expiries and nine Friday Week 3 expiries are available.
Two Tuesday and two Thursday expiries will be available at a given time under most circumstances. To accommodate holiday coverage, occasionally an additional expiry will be scheduled on a Tuesday or Thursday.
14. How far in advance can traders expect holiday listings available?
Aside from regular listings, traders can expect the following holiday listing availability:
- A Tuesday expiry will be newly available four weeks in advance to accommodate Monday or Wednesday holidays.
- A Thursday expiry will be newly available four weeks in advance to accommodate Friday holidays, unless the holiday lands on a third Friday (whereby it would be available months in advance).
- Monday, Wednesday and Friday expiries continue to be available four weeks in advance to accommodate Tuesday or Thursday holidays.
15. Why is U.S. Memorial Day not affected by this new approach?
Memorial Day occurs on May 30, 2022; this holiday will not be affected. An ‘End-of-Month’ option, expiring on Tuesday, May 31st, already provides coverage around this holiday.
16. What are all of the holidays affected by this change during 2022?
The complete list of holidays effected by this change during 2022 are:
- Juneteenth National Independence Day
- U.S. Independence Day, July 4th
- U.S. Labor Day
- Christmas
The above holidays occur on a Monday. Therefore, a contract expiring on a Tuesday, with a corresponding Tuesday contract code, will be listed four weeks in advance. The contract codes and expiration dates to cover these holidays are listed below.
- E3BM2 (June 21, 2022)
- E1BN2 (July 5, 2022)
- E1BU2 (September 6, 2022)
- E4BZ2 (December 27, 2022)
17. Will any other indices be affected by the listing changes affecting E-mini S&P 500 European-style options?
No. Other indices, such as Nasdaq-100 and Russell 2000, will not change their listing approach at this time.
18. When can traders expect new Tuesday or Thursday contract expirations to become available?
The nearest two expiring Tuesday (Thursday) options will be listed at all times. To facilitate position rolling, the next nearest Tuesday (Thursday) expiry will be listed on the last day of trading of the nearest Tuesday (Thursday) option contract.
19. Where can I find Bloomberg contract codes for Tuesday and Thursday E-mini S&P 500 futures option expiries?
View the Bloomberg cheat sheet here.
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All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
