- What are Nasdaq-100 and Russell 2000 Annual Dividend Index futures?
- Why is CME Group choosing to launch these products?
- What is the underlying index to each of the contracts, and where can I find the methodology?
- What are dividend index points?
- Over what period are the dividend points in the index accumulated?
- How are “special” or “extraordinary” dividends treated?
- What are the contract specifications for these Dividend futures?
- What are the codes?
- What are the fees?
- What are the margin requirements?
- Are margin offsets available between these dividend futures and other CME equity index contracts?
1. What are Nasdaq-100 and Russell 2000 Annual Dividend Index futures?
The Nasdaq-100 Annual Dividend Index futures and the Russell 2000 Annual Dividend Index futures both calculate the accumulation of all ordinary gross dividends paid on the Nasdaq-100 and Russell 2000 index constituent stocks that have gone ex-dividend over a 12-month period. The amounts are expressed as dividend index points.
2. Why is CME Group choosing to launch these products?
The demand to trade and risk manage dividend exposure via listed dividend futures has accelerated over the last few years. This has been evidenced by the S&P 500 Dividend futures complex’s ADV at CME Group growing from 1.3K contracts in 2019 to circa 5K contracts at the start of 2022.1 The demand to have this listed instrument available on other U.S. benchmark indices has resulted in the proposed launch.
3. What is the underlying index to each of the contracts, and where can I find the methodology?
The underlying index for Nasdaq-100 Annual Dividend Index futures is the Nasdaq-100 Dividend Point index. The methodology for the index can be found here.
The underlying index for Russell 2000 Annual Dividend Index futures is the Russell 2000 Dividend Index. The methodology for the index can be found here.
4. What are dividend index points?
Dividend index points specifically refer to the level of index points that are directly attributable to the dividends of index constituents. They typically only capture regular dividends and calculate this on the ex-date of the respective constituents within each index.
5. Over what period are the dividend points in the index accumulated?
Specifically, the cumulation period for an annual contract starts on the day after the expiration of the mostly recently expired contract, and continues up to and including the expiration day of the nearest subsequent contract, typically the 3rd Friday of December. All regular dividends for each constituent stock going “ex” within the cumulation period will be included in the annual dividend index after conversion into dividend index points.
6. How are “special” or “extraordinary” dividends treated?
In general, “special” or “extraordinary” dividends are not included as dividend points in the respective annual dividend indices. Instead, the underlying parent cash index adjusts for this event with a divisor change – i.e., if the Russell 2000 index adjusts for a special dividend by making a divisor change than the annual dividend index won’t capture that particular dividend event. For more details, please refer to the respective index methodology rules (linked in Q3 above).
7. What are the contract specifications for these Dividend futures?
|Contract Title||Russell 2000 Annual Dividend Index Futures||Nasdaq-100 Annual Dividend Index Futures|
|CME Globex and CME ClearPort Code||RDA||NDA|
|Trading 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
CME Globex: 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.
|Contract Size||$500 x Russell 2000 Annual Dividend Index (R2000DIV)||$100 x Nasdaq-100 Annual Dividend Point Index (NDXDIV)|
|Price Quotation||U.S. dollars and cents per index point|
|Minimum Price Increment and Financial Equivalent||Outright:
0.05 index points = $25.00
0.01 index points = $5.00
0.10 index points = $10.00
0.05 index points = $5.00
|Minimum Price Fluctuation||0.05||0.10|
|Final Settlement Price Fluctuation||0.01||0.01|
|Listing Schedule||Six (6) annual December contract months|
|Initial Listing Schedule||Dec 22, Dec 23, Dec 24, Dec 25, Dec 26, Dec 27|
|Termination of Trading||Trading terminates at 9:30 a.m. ET on the 3rd Friday of the contract month|
|Block Trade Minimum Threshold||50 contracts subject to a 15-minute reporting window|
|CME Globex Matching Algorithm||F-FIFO 100%|
8. What are the codes?
|PRODUCT||UNDERLYING INDEX||CME GLOBEX||BLOOMBERG FRONT MONTH||REUTERS|
|Russell 2000 Annual Dividend Index Futures||R2000DIV||RDA||RDI||01#RDA:|
|Nasdaq-100 Annual Dividend Index Futures||NDXDIV||NDA||ODL||01#NAD:|
9. What are the fees?
Nasdaq-100 and Russell 2000 Annual Dividend index futures are listed on the CME DCM and follow the CME Fee Schedule.
10. What are the margin requirements?
Based on current market conditions and subject to change, the margin requirement for the two contracts is 5%, as of April 8, 2022.
11. Are margin offsets available between these dividend futures and other CME equity index contracts?
There is a 45% margin offset between Nasdaq-100 and Russell 2000 Annual Dividend futures vs. their respective parent contracts, E-mini Nasdaq-100 and Russell 2000 futures. This is an estimate based on current market conditions and is subject to change. See all other Equity index margin offsets here.
Learn more about margins:
- Source CME – period covers 1 Jan 2022 – 8 Mar 2022
Equity Index Dividend futures
Read about Equity Index Dividend futures, an efficient tool to hedge or express a view on the U.S. dividend market.
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.