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

1. What are the contract specifications for E-mini S&P 500 quarterly PM options (European-style)?

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.

CONTRACT 

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

CME GLOBEX/CME CLEARPORT CODE

EYC

UNDERLYING FUTURES MULTIPLIER

$50

CONTRACT UNIT

One E-mini S&P 500 futures contract

LISTING SCHEDULE

Four quarterly options on the Mar, Jun, Sep, Dec cycle

STRIKE PRICE LISTING SCHEDULE

Strikes of 100, 200, 1100, 2100, 2200, 3100, 4100, 4200, 5100, 6100, 7100 and 8100 available for each contract month.

EXERCISE PROCEDURE

European-style

BLOCK TRADE MINIMUM THRESHOLD

250 contracts
Reporting window: RTH – 5 mins; ETH/ATH – 15 mins

SETTLEMENT AT EXPIRATION

Option exercise results in a position in the underlying cash-settled futures contract. Options that are in-the-money on the last day of trading are automatically exercised. A 4 p.m. ET 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. Contrary exercise instructions are prohibited. Option exercise results in a position in the underlying futures contract.*

*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.

2. How will this product be different from existing E-mini S&P 500 quarterly options?

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.

3. Why is the contract code EYC, as opposed to following the contract format of other E-mini S&P 500 options?

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.

E-mini S&P 500 Monday

E1A, E2A, E3A, E4A, E5A

E-mini S&P 500 Wednesday

E1C, E2C, E3C, E4C, E5C

E-mini S&P 500 Friday

EW1, EW2, EW3, EW4

E-mini S&P 500 EOM

EW

E-mini S&P 500 quarterly AM

ES

E-mini S&P 500 quarterly PM

EYC

4. Which venues are available for trading E-mini S&P 500 quarterly PM options?

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

5. For traders looking to quote spread strategies on CME Globex, is there a risk of incomplete (partial leg) spread fills?

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. 

6. Can traders transact spread trades between E-mini S&P 500 quarterly PM options (EYC) and other E-mini S&P 500 option contracts on CME Globex?

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. 

7. When will the contracts be listed for trading?

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

About CME Group

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. Comprised of four exchanges - CME, CBOT, NYMEX and COMEX - we offer the widest range of global benchmark products across all major asset classes, helping businesses everywhere mitigate the myriad of risks they face in today's uncertain global economy.

Follow us for global economic and financial news.

CME Group on Twitter

CME Group on Facebook

CME Group on LinkedIn

Equity Index options on futures

CME Equity Index options on futures provide around-the-clock liquidity and extensive product choice on benchmark indices.

LEARN MORE

Micro E-mini futures and options

See how Micro E-mini futures and options can help you precisely manage equity index exposure.

MORE ON FUTURES

MORE ON OPTIONS

E-mini Nasdaq-100 Monday and Wednesday Weekly options

Add versatility to your trading strategies and fine-tune your Nasdaq-100 Index exposure with new E-mini Nasdaq-100 Monday and Wednesday Weekly options.

FIND OUT MORE