- Which new E-mini Factor futures are available?
- What are the underlying indices of these contracts?
- Why are these contracts being launched now?
- Are these contracts eligible for block trading?
- What is the minimum block size for these new contracts?
- Are the new E-mini Factor futures EFP eligible?
- What are the 871m tax implications for E-mini Factor futures?
- What are the product codes and tickers, including the underlying index tickers?
- How is the final settlement price determined?
- What are the margin requirements for additional E-mini Factor futures?
- What are the margin offsets for E-mini Factor futures?
Now live
E-mini S&P 500 and Dow Jones Factor futures
1. Which new E-mini Factor futures are available?
Six new E-mini Factor futures are now available for trading:
2. What are the underlying indices of these contracts?
The underlying indices for the above futures are respectively as follows:
| Contract | Underlying index | Methodology | Constituents* |
|---|---|---|---|
| E-mini S&P 500 Growth Index futures | S&P 500 Growth Index | S&P U.S. Style Indices Methodology | 147 |
| E-mini S&P 500 Value Index futures | S&P 500 Value Index | S&P U.S. Style Indices Methodology | 437 |
| E-mini S&P 500 Quality Index futures | S&P 500 Quality Index | S&P Quality Indices Methodology | 100 |
| E-mini S&P 500 Momentum Index futures | S&P 500 Momentum Index | S&P Momentum Indices Methodology | 99 |
| E-mini S&P 500 Low Volatility Index futures | S&P 500 Low Volatility Index | S&P Low Volatility Indices Methodology | 100 |
| E-mini Dow Jones U.S. Dividend 100 Index futures | Dow Jones U.S. Dividend 100 Index | Dow Jones Dividend Indices Methodology | 99 |
*Index constituents as of August 14, 2026. Subject to change.
3. Why are these contracts being launched now?
CME Group has expanded the E-mini Factor futures suite in response to client demand. The growth in factor based investing has been a structural trend in the equity markets and complementary to the existing offering of E-mini S&P Select Sector futures. We are seeing growth in existing Factor futures offering across other indices such as E-mini FTSE Russell 1000 and 2000 Growth & Value futures. This launch represents an expansion of our offering into S&P and Dow Jones indices.
4. Are these contracts eligible for block trading?
Yes, these contracts are eligible for outright block trades, derived block trades and BTIC block trades.
Note the minimum price increment for outright block trades and derived block trades is one cent. The minimum price increment for BTIC block will conform to the minimum price increment as stated in the individual contract specifications. Please see the latest Rule 526 MRAN.
5. What is the minimum block size for these new contracts?
The minimum block size is 50.
6. Are the new E-mini Factor futures EFP eligible?
Yes. As CME Group futures contracts, these additional Equity Index futures are eligible for Exchange For Related Position (EFRP) trades. They can be utilized in a privately negotiated EFP trade where the physical side can be a related ETF. For more questions on EFPs, please see the latest Rule 538 MRAN.
7. What are the 871m tax implications for E-mini Factor futures?
International investors/market participants must ensure compliance with applicable law including tax obligations arising from the application of § 871(m) Internal Revenue Code. CME Group does not provide legal or tax advice to international investors (or any other person) and advises such investors to check with their own legal/tax counsel or via their brokers.
8. What are the product codes and tickers, including the underlying index tickers?
| Index | UNDERLYING INDEX TICKER | FUTURES TICKER | BTIC BLOCK TRADE TICKER | BLOOMBERG FRONT-MONTH FUTURES TICKER | REFINITIV FRONT-MONTH FUTURES TICKER | |
|---|---|---|---|---|---|---|
| E-mini Factor futures | S&P 500 Growth Index | SGX | SPGR | SPGT | SMWA Index | 0#SPGR: |
| S&P 500 Value Index | SVX | SPV | SPVT | ISPA Index | 0#SPV: | |
| S&P 500 Quality Index | SPXQUP | SPQ | SPQT | YSYA Index | 0#PQS: | |
| S&P 500 Momentum Index | SP500MUP | SPMO | SPMT | XMOA Index | 0#SPMO: | |
| S&P 500 Low Volatility Index | SP5LVI | SPLV | SPLT | SSLA Index | 0#SPLV: | |
| Dow Jones U.S. Dividend 100 Index | DJUSDIV | DJD | DJDT | DCDA Index | 0#JDD: |
9. How is the final settlement price determined?
These E-mini Factor futures settle the same way as the other Equity Index futures listed on our exchanges. On expiration day, typically the third Friday of the quarterly contract month, the expiring Equity Index futures will settle to the Special Opening Quotation (SOQ) of the respective underlying index, which is calculated with the official opening price of each constituent in the index. The same methodology is used for the E-mini S&P 500 and other popular U.S. Equity Index futures.
10. What are the margin requirements for E-mini Factor futures?
The margin requirements below are in line with other Equity Index futures listed at CME Group in SPAN2 margin model and subject to change by CME Clearing.
Find out more about margin requirements.
11. What are the margin offsets for E-mini Factor futures?
| SHORT LEG | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| ES | NQ | RTY | SPGR | SPV | SPQ | SPMO | SPLV | DJD | ||
| LONG LEG | ES | N/A | 83.5% (3:2) | 76% (1:3) | 85.5% (1:3) | 78% (1:3) | 84% (1:5) | 62% (1:4) | 71.5% (1:3) | 52% (1:3) |
| NQ | 80% (2:3) | N/A | 70% (1:4) | 83.5% (1:5) | 66% (1:5) | 66.5% (1:5) | 62.5% (1:5) | 60.5% (1:5) | 42% (1:4) | |
| RTY | 77.5% (3:1) | 72.5% (4:1) | N/A | 72% (4:5) | 78% (4:5) | 76% (3:5) | 61.5% (2:3) | 68% (4:5) | 54.5% | |
| SPGR | 81% (3:1) | 84% (5:1) | 70% (5:4) | N/A | 67.0% | 77% (3:4) | 67% (4:5) | 57.0% | 41% (5:4) | |
| SPV | 82.5% (3:1) | 70.5% (5:1) | 77.5% (5:4) | 71.5% | N/A | 82.5% (3:4) | 54% (4:5) | 81.5% | 55.5% (5:4) | |
| SPQ | 84% (5:1) | 70.5% (5:1) | 75% (5:3) | 78% (4:3) | 77% (4:3) | N/A | 60.0% | 71.5% (4:3) | 48.5% (5:3) | |
| SPMO | 60.5% (4:1) | 59.5% (5:1) | 62.5% (3:2) | 68.5% (5:4) | 49% (5:4) | 58.5% | N/A | 42% (5:4) | 42.5% (3:2) | |
| SPLV | 76% (3:1) | 64.5% (5:1) | 66.5% (5:4) | 66.0% | 82.0% | 76.5% (3:4) | 47.5% (4:5) | N/A | 52.5% (5:4) | |
| DJD | 55% (3:1) | 46% (4:1) | 53.5% | 49.5% (4:5) | 56.5% (4:5) | 54.5% (3:5) | 50% (2:3) | 51.5% (4:5) | N/A | |
The above margin offsets are as of September 23, 2026 and subject to change.
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 legal advice, investment advice or the results of actual market experience. Where regulatory matters are summarized, they represent CME Group’s good faith understanding of the applicable requirements.
