E-mini S&P 500 quarterly PM options (European-style) frequently asked questions

E-mini S&P 500 quarterly PM options are European-style option contracts, with a $50 multiplier and a 4 p.m. Eastern Time (ET) expiry on the third Friday of the contract month.

*Please note that the deliverable contract is the nearest unexpired future at the time of option expiration. For example, a September expiry contract would deliver a December futures position, as the September futures expired at 9:30 a.m. ET that day and the nearest unexpired futures would then be a December (ESZ1) futures contract.

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Existing E-mini Quarterly AM expiry options (contract code ES) have a 9:30 a.m. ET expiry and are American-style. Alternatively, E-mini S&P 500 quarterly PM options (EYC) will expire at 4 p.m. ET with a European-style expiry. As a result, there will be two E-mini options expiries in one day, on the third Friday of the month of each quarterly Mar, Jun, Sep, Dec listing cycle. 

For example, the September 17, 2021 ESU1 option (morning expiry, American style) will expire at the same time as its underlying September 17, 2021 ES futures contract, at 9:30 a.m. ET that day. In contrast, the September 17, 2021 EYCU1 option (evening expiry, European-style) will expire at 4 p.m. ET and will deliver a position in its underlying, an ESZ1 futures contract, for in-the-money positions. 

To clarify, the regular E-mini quarterly options expiring into futures expiring on the same day would terminate at 9:30 a.m. ET on the morning of the third Friday of the contract month. The E-mini quarterly PM options will expire at 4 p.m. ET, at which point the next quarterly futures will be the nearest expiring futures and the contract being exercised into/assigned, using the ESF calculation with the same contract month.

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The symbol EYC was chosen to distinguish the E-mini S&P 500 quarterly PM options from other European-style options. 

E-mini S&P 500 quarterly PM options (EYC) share an expiration date with E-mini S&P 500 quarterly AM options, which are American-style. However, EYC shares a common European-style and PM expiry with other Monday, Wednesday, and Friday options that are non-quarterly. Therefore, a new contract code was deemed appropriate to prevent confusion. An updated summary of standard size option contract codes is listed below.

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CME Globex: Sunday - Friday 6:00 p.m. – 5:00 p.m. Eastern Time (ET)

CME Globex pre-open: Sunday 5:00 p.m. – 6:00 p.m. ET, Monday - Friday 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

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No. Traders who are quoting strategies via user defined spreads (UDS) are not at risk of incomplete fills on only some legs of their strategies. For example, if a trader is quoting an option box strategy, this UDS will trade in its own order book, which will not interact with outright orders or orders from other strategy books. 

As a result, a trader quoting the box strategy can quote this strategy without concern of partial fill on only some legs of the strategy. 

For instance, a trader wishing to quote a calendar roll in a box strategy can do so via an eight-leg box, without concern for partial leg fills on the strategy. A trader can quote up to 40 legs in a UDS. 

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No. Currently, spread instruments involving EYC contracts cannot also contain other E-mini S&P 500 option types in the instrument on CME Globex (ES, EW, E1A. E1C). However, block trading will be available to facilitate spread trading between EYC expiries and other associated E-mini S&P 500 option expiries. These transactions will be subject to Rule 526 and the associated Market Regulation Advisory Notice on block trades and must be submitted for clearing via CME ClearPort. 

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Pending regulatory review, the E-mini S&P 500 quarterly PM options will begin trading on trade date June 28, 2021.    

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