As announced on May 4, 2021, and subject to regulatory review, CME Group will delist its standard-size futures and options on futures contracts on the Standard and Poor’s 500 Stock Price Index (“standard-size contracts”) following the expiration of the September 2021 contracts on Friday, September 17, 2021. After the delisting of the standard-size contracts, the E-mini suite of futures and options on the S&P 500 Index will continue to meet the trading and risk management needs of customers.
All forms of trading in the standard-size contracts will terminate at the end of the September 17, 2021 trading day.
Subject to regulatory review, CME will adopt a process to convert any open positions in standard-size contracts remaining at the end of trading on September 17 into equivalent positions in the E-mini S&P 500 Index futures or options on futures, as applicable, over the weekend of September 18 - 19.
For example, one long standard-size S&P 500 December 2021 call option on the S&P 500 futures with a strike price of 4000 will be converted into five long E-mini S&P 500 December 2021 call options with a strike price of 4000. Following completion of this conversion process, the standard-size S&P 500 Index futures and options will be delisted.
Standard-size futures contracts will be converted at the daily settlement price of the contract on September 17, 2021. Standard-size options will be converted at a premium of zero.
All currently listed standard-size contracts, regardless of their expiration date, remain eligible for trading until the end of business on September 17, 2021. Please note that the emergency floor closure precipitated by the COVID-19 pandemic remains in effect. The open outcry trading floor is currently closed. Expiries of standard-size contracts that are available on CME Globex will remain listed for trading on CME Globex until September 17, 2021. Ex-pit transactions, other than Exchanges of Options for Options (EOO) for standard-size contracts, are eligible for submission until the end of business on September 17, 2021.
Yes, portfolio margining of standard-size contracts will remain unchanged until the delisting.
Listing of new options series on the standard-size futures contract will continue as currently scheduled, provided that the newly listed options expire no later than September 17, 2021. Options series with expiration dates after September 17, 2021 will not be listed. The foregoing notwithstanding, new eligible strikes for all listed expirations will continue to be listed pursuant to current strike listing rules.
Please note the below table pertains specifically to the standard-size S&P 500 futures and options. E-mini S&P 500 futures and options, including newly listed contracts as of June 7, 2021, will follow normal listing procedure.
March 2022, June 2022, September 2022, December 2022
March 2023, December 2023
March 2022, June 2022, September 2022, December 2022
September 2021, October 2021
Quarterly PM options:
December 2021, March 2022
No. The open outcry trading floor for the standard-size contracts will not be reopened prior to the delisting.
The Exchange plans for all existing programs for standard-size contracts to remain in effect until the delisting. As appropriate and pending regulatory review, the Exchange will plan to add the corresponding E-mini S&P 500 options to such programs.
Any currently permitted position offsets under CME Rule 855 (“Rule 855”) will remain permitted until trading in the standard-size contract ends on September 17. Please note that futures and European-style options are eligible for offset under Rule 855. American-style options are currently ineligible for offset and will remain so until the delisting.
The Exchange does not charge an exchange fee on Rule 855 offsets for standard-size futures contracts. This practice will remain unchanged.
The Exchange does, however, charge an exchange fee on Rule 855 offsets for standard-size options contracts. The Exchange intends to waive this fee (currently $0.05 per contract leg for both sides), pending regulatory review, until the delisting.
Pending regulatory review, CME will introduce a Market Wide Fee Discount Program for block trades on E-mini S&P 500 options. All market participants will be entitled to the discount through April 2022. This program will lower the E-mini S&P 500 Option Block fee to $0.20 per contract for Members and $0.36 per contact for Non-Members.
Detailed fee information can be found in the CME Fee Schedule.
Pending regulatory review, on June 7, 2021, additional E-mini S&P 500 contracts will be listed for trading to harmonize the listing cycle with that of standard-size contracts, with the exception of the E-mini S&P 500 Quarterly PM Options (European-style), which, pending regulatory review, will be listed on June 28, 2021. This harmonization will allow market participants to manage their positions ahead of the conversion and delisting of the standard-size contracts.
Yes, CME will be extending the listing cycle for E-mini quarterly Futures (ES) as well as E-mini Week 3 (EW3) and quarterly (ES) options. Those extensions, pending regulatory review, are as follows:
Currently there are five quarterly E-mini S&P 500 futures. On June 7, the listing will be extended to nine consecutive quarterly expirations and three additional December expirations.
Also, there are currently four quarterly E-mini S&P 500 options (American-style). On June 7, the listing will be extended to nine consecutive quarterly expirations and three additional December expirations.
Additionally, there are currently three Week 3 E-mini (EW3) S&P 500 options (European style) available. On June 7, the listing will be extended to include nine nearest non-quarterly expirations.
Finally, on June 28, pending regulatory review, E-mini S&P 500 Quarterly PM options (European-style) will be listed with four consecutive quarterly expirations.
Yes, strike price listing rules are being harmonized within the different expiration types. The 100-point increment strikes will be available for all E-mini S&P 500 options when each expiration is listed. The 50-point increment strikes will be available for E-mini options within 366 days to expiration. The 10-point increment strikes will be available for E-mini options within 186 days to expiration. The 5-point increment strikes will be available for E-mini options within 35 days to expiration. However, all strikes currently listed for trading for each expiration will remain listed for trading.
Subject to regulatory review, CME will permit block trading in E-mini S&P 500 options on futures. The minimum block trade quantity for E-mini S&P 500 options on futures will be set at 250 contracts, where each leg of an options spread trade must meet the minimum block quantity threshold. The block trade reporting window will be 5-minutes during RTH and 15-minutes during ETH/ATH.
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