E-mini Russell 2000 Monday and Wednesday Weekly Options (European-Style)


1. What are the contract specifications for E-mini Russell 2000 Monday and Wednesday (European-Style) options?

Russell 2000 Monday and Wednesday options are E-mini-sized option contracts with a $50 multiplier. These contracts are European style, with a 4 p.m. Eastern Time (ET) expiry on Mondays and Wednesdays. 

CONTRACT 

E-mini Russell 2000 Monday and Wednesday Weekly Options (European-Style)

CME Globex/CME ClearPort CODE

Mondays: R1A, R2A, R3A, R4A, R5A

Wednesdays: R1C, R2C, R3C, R4C, R5C

CONTRACT UNIT

$50 x E-mini Russell 2000 futures contract

LISTING SCHEDULE

At any given time, four nearest weeks will be listed for trading:

R1A, R2A, R3A, R4A, R5A (Monday) 

R1C, R2C, R3C, R4C, R5C (Wednesday)

sTRIKE PRICE LISTING SCHEDULE

5 index point integer multiples, when listed:  -15% to +5% of the prior day’s settlement price on the underlying futures contract.

10 index point integer multiples, when listed:  -25% to +10% of the prior day’s settlement price on the underlying futures contract.

50 index point integer multiples, when listed:  -50% to +30% of the prior day’s settlement price on the underlying futures contract.

EXERCISE PROCEDURE

European style

BLOcK MINIMum

40

REPORTING WINDOW

RTH-5 minutes

ETH-15 minutes

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 price fixing based on the weighted average traded price fixing (symbol: RTF) of the E-mini Russell 2000 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. Contrary exercise instructions are prohibited. Option exercise results in a position in the underlying futures contract.

2. When will the E-mini Russell 2000 Index Monday and Wednesday Weekly options (European-Style) be listed for trading?

Pending regulatory review, E-mini Russell 2000 Monday and Wednesday European options will begin trading on trade date October 4, 2021.

3. What characteristics do E-mini Russell 2000 Monday and Wednesday Weekly options (European-Style) share with existing Friday / EOM European options on Russell 2000 futures?

Similar to existing European-style Russell 2000 options at CME (which by definition can only be exercised on expiration day), both of the new Monday and Wednesday Weekly options prohibit contrarian instructions (the abandonment of in-the-money options, or the exercise of out-of-the-money options). Thus, at expiration, all in-the-money options are automatically exercised, whereas all options not in-the-money are automatically abandoned.

Without the possibility of contrarian instructions, both the options buyer and the writer have certainty about respective positions in the underlying futures contract following the expiration of option positions. In particular, the writer does not need to wait for assignment notices – thus offering a degree of certainty around exercise. 


Market participants familiar with the behavior and specification of existing European-style Russell 2000 options can expect a similar profile for these Monday and Wednesday European-Style options. 

4. How do the listing schedules and commodity codes for new E-mini Russell 2000 Monday and Wednesday options differ from existing Russell 2000 options?

CONTRACT

E-MINI RUSSELL 2000

Monday

At any given time, four nearest weeks of R1A, R2A, R3A, R4A, R5A will be listed for trading.

Wednesday

At any given time, four nearest weeks of R1C, R2C, R3C, R4C, R5C will be listed for trading.

Weekly

At any given time, three nearest weeks of R1E, R2E, and R4E (Weeks 1, 2, and 4) and three nearest weeks of R3E (Week 3) will be listed for trading.

EOM

Monthly contracts listed for three consecutive months (RTM).

Quarterly

Three months in the March Quarterly Cycle (Mar, Jun, Sep, Dec) (RTO).

5. What are the trading and clearing hours for E-mini Russell 2000 Index Monday and Wednesday Weekly options (European-Style)?

CME Globex: Sunday – Friday 6:00 p.m. - 5:00 p.m. Eastern Time (ET) with a daily maintenance period from 5:00 p.m. - 6:00 p.m. ET

Pre-open Sunday: 5:00 p.m. - 6:00 p.m. ET,

Pre-open Monday – Thursday: 5:45 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. to 7:00 p.m. ET

6. What are the underlying instruments for the E-mini Russell 2000 Index Monday and Wednesday Weekly options (European-Style)?

The underlying instrument for the E-mini Russell 2000 Monday and Wednesday Weekly options is the nearest-expiring quarterly E-mini Russell 2000 futures contract as of the expiration of the option.

7. What determines whether E-mini Russell 2000 Index Monday and Wednesday Weekly options (European-Style) are exercisable?

On their expiration day, Monday and Wednesday Weekly 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 special fixing price is calculated and disseminated by CME Group daily under the symbol “RTF.”

The fixing price is the volume-weighted average price in Russell 2000 futures, traded during the 30-second period leading up to 4:00 p.m. ET. Only outright trades of the Russell 2000 futures in the corresponding contract month shall be included in the calculation. Spread trades involving the corresponding contract month of the E-mini Russell 2000 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 2200.01, an E-mini Russell 2000 or Weekly call option with a strike price of 2200 would be automatically exercised; the seller of a call option with a strike price of 2200 would be automatically assigned. As discussed earlier, contrarian instructions are prohibited for these contracts.

8. How do the special fixing price and the futures daily settlement price interrelate with one another?

The E-mini Russell 2000 fixing price, RTF, 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. Futures positions, which are created as a result of the exercise of the options and are 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 Russell 2000 Index futures is in increments of 0.10 index point. The daily settlement price of the futures does not factor into the exercise and assignment of the Monday and Wednesday Weekly options.  

9. Are spreads available on E-mini Russell 2000 Index Monday and Wednesday Weekly options (European-Style)?

Yes. Traditional spreads are available for Monday and Wednesday Weekly options, including strangles, straddles, verticals, horizontals, and butterflies.

10. How is the Monday Weekly option expiry affected if a given Monday is a holiday?

Monday options are meant to capture the weekend risk. The “Monday” expiration will be listed with the subsequent trading day (usually a Tuesday) as the expiration, should Monday’s trade date be a holiday.

11. How is the Wednesday Weekly option expiry affected if a given Wednesday is a holiday?

The “Wednesday” expiration will be listed with the prior trading day (usually a Tuesday) as the expiration, should Wednesday’s trade date be a holiday. In general, any equity option, except a Monday Weekly option, will settle on the prior trading day in the event of a market holiday on the regularly scheduled expiration date (Wednesday and Friday Weeklies, Quarterlies, and EOM options). 

12. What additional risk management benefits do these contracts offer?

CME Equity Index options on futures offer around-the-clock liquidity and market depth. All options at CME Group offer market participants flexible, secure trading alternatives to over the counter (OTC) market instruments. The central counterparty clearing model of CME Clearing provides for substantially mitigated counterparty risk. Traders and investors can capitalize on potential margin offsets on futures and options strategies, in addition to leveraging advanced on-screen spreading capabilities. E-mini Russell 2000 Monday and Wednesday Weekly options provide an alternative to OTC trades for capitalizing on market movements related to economic releases or events.

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