- 31 Aug 2020
- By CME Group
- Topics: Equity Index
Options on Micro E-mini S&P 500 and Nasdaq-100 futures contracts are now available to trade at CME Group.
- Why is CME Group choosing to launch these products?
- How will these products be different from the classic E-mini options?
- Are there plans to launch options on Micro E-mini Russell 2000 and Micro E-mini Dow futures?
- What are the preliminary contract specifications?
- What are the codes for these products?
- What are the vendor options codes?
- How many contracts will be listed at a given time?
- What are the trading hours on CME Globex?
- What are the exercise procedures for these contracts?
- What is the methodology for determining the expiration day special fixing price?
- What are the fees for Micro E-mini contracts?
- Are these products included in the CME Equity Product Volume Discounts?
- Can the Micro E-mini options be offset against the classic E-mini counterparts?
- How can I see prices for Micro E-mini futures and options?
- Where can I find Micro E-Mini option market data?
- How can I get access to CME Globex?
- Where can I find more information on Micro E-mini products?
Micro E-mini futures launched in May 2019 and have been the most successful product launch in CME Group history. Since the launch of Micro E-mini futures, more than 360M contracts have traded, offering participants more access to the most liquid Equity Index markets while providing more precision and capital efficiency to the individual trader’s portfolio.
Building on the success of the Micro E-mini futures contract, CME Group plans to introduce options on these liquid futures contracts to provide another tool for participants to express their view on the equity market.
Source: CME Group as of August 25, 2020.
E-mini S&P 500 and E-mini Nasdaq-100 options are among the most popular options on futures contracts in the world. They have been in market since 1997 and 1999, respectively, and have provided liquidity and risk-management capabilities since their launch. Options on Micro E-mini futures will further add to this ecosystem by allowing greater precision at a lower capital cost with these “smaller-sized” options contracts.
Similar to the differences between E-mini and Micro E-mini futures contracts, these recently announced Micro E-mini options contracts will be 1/10th the size of their E-mini counterparts.
Based upon market participant feedback and existing volume trends on the Micro E-mini futures, this launch will focus on introducing options on the Micro E-mini S&P 500 and Micro E-mini Nasdaq-100 futures contracts. We will continue to evaluate both the demand for and the underlying ecosystem readiness for other Micro E-mini options.
| Micro E-mini S&P 500 options | Micro E-mini Nasdaq-100 options | |
| Underlying futures | MES | MNQ |
| Underlying futures Multiplier | $5 | $2 |
| Contract unit | 1 MES futures | 1 MNQ futures |
| Listed contracts | 3 Weekly Fridays on the week 1,2, and 4 cycle 2 Weekly Fridays on the week 3 cycle 3 End of Month Options 2 Quarterly Options on the Mar, Jun, Dec, Sep cycle |
|
| Exercise procedure | Quarterly Options: American Style Non-Quarterly Options: European Style | |
| Settlement at expiration | Option exercise results in a position in the underlying cash-settled futures contract | |
These specifications are subject to change and all relevant regulatory approvals.
| Minimum price increments | ||
|---|---|---|
| Regular tick | Reduced tick | |
| Micro E-mini S&P 500 options | 0.25 index points = $1.25 for premium above 5.00 index points | 0.05 index points = $0.25 for premium at or below 5.00 index points |
| Micro E-mini Nasdaq-100 options | 0.25 index points = $0.50 for premium above 5.00 index points | 0.05 index points = $0.10 for premium at or below 5.00 index points |
These specifications are subject to change and all relevant regulatory approvals.
| Quarterly | EOM | Friday Weekly | |
|---|---|---|---|
| Micro E-mini S&P 500 options | MES | EX | EX1-EX4 |
| Micro E-mini Nasdaq-100 options | MNQ | MQE | MQ1-MQ4 |
| Option Subclass | CME Globex Code | Bloomberg OMON Options Display | Thomson Reuters |
|---|---|---|---|
| Micro E-Mini S&P 500 Options | |||
| Quarterlies | MES | HWAA Index OMON | 1MED |
| End-Of-Month | EX | HWOA Index OMON | 1EX |
| Friday Weekly 1-4 | EX1-EX4 | HXSA Index OMON | 1EX1W-1EX4W |
| Micro E-Mini Nasdaq-100 Options | |||
| Quarterlies | MNQ | HWBA Index OMON | 1MQN |
| End-Of-Month | MQE | HIWA Index OMON | 1MQE |
| Friday Weekly 1-4 | MQ1-MQ4 | HWYA Index OMON | 1MQ1W-1MQ4W |
We will list five Friday weeklies (two of which are non-Quarterly third Fridays), three End-of-Months, and two quarterly contracts.
| Contract | How many are listed? |
|---|---|
| Weekly | At any given time, three nearest weeks of EX1 <MQ1>, EX2 <MQ2>, and EX4 <MQ4> (Weeks 1, 2 & 4) and two nearest weeks of EX3 <MQ3> (Week 3) will be listed for trading |
| EOM | Monthly contracts listed for three consecutive months for expiration on the last business day of the month. |
| Quarterly | Two months in the March Quarterly Cycle (Mar, Jun, Sep, Dec) that will expire on the third Friday of the quarterly month |
Assuming that today is September 1, 2020, the below illustrates what the listing cycle would look like. As shown, Micro E-mini options can provide flexibility and precision to participants with the 5 Fridays listed along with an expiration ~6 months away.
Sunday – Friday 5:00 p.m. – 4:00 p.m. CT with a trading halt from 3:15 p.m. – 3:30 p.m. CT
Exercise procedures for options on Micro E-mini futures will mimic their E-mini options counterparts:
| Weekly | End-of-Month | Quarterly | |
|---|---|---|---|
| American | |||
| European |
American: An option can be exercised until 5:30pm CT on any business day that the option is traded. Option exercise results in a position in the underlying cash-settled futures contract. Please contact your broker/FCM as they may have an earlier deadline for same-day exercise.
In-the-money options, in the absence of contrarian instructions delivered to the CME Clearing by 5:30 p.m. CT on the day of expiration, are automatically exercised into expiring cash-settled futures, which settle to the SOQ calculated the morning of the third Friday of the contract month.
European: Exercisable only on expiration day.
Options which are in-the-money on the last day of trading are automatically exercised. A 3 p.m. CT price fixing based on the weighted average traded price fixing (symbol ESF & NQF) of the E-mini S&P 500 futures and E-mini Nasdaq-100 futures in the last 30 seconds of trading on expiration day (2:59:30 p.m.-3:00:00 p.m. CT) will be used to determine which options are in-the-money
The fixing price is the volume-weighted average price in E-mini S&P 500 futures, traded during the 30-second period leading up to 3:00 p.m. CT. Only outright trades of the E-mini S&P 500 futures in the corresponding contract month shall be included in the calculation. Spread trades involving the corresponding contract month of the E-mini S&P 500 futures shall be disregarded for the purpose of the fixing calculation.
This fixing price will be disseminated immediately using the symbol “ESF” for S&P 500 & “NQF” for Nasdaq-100.
Micro E-mini S&P 500 & Nasdaq-100 products will be part of the Micro E-mini Equity Index futures and options suite according to the CME Fee Schedule.
No - similar to the Micro E-mini futures contracts, options volume will not count towards the current E-mini volume-based fee discounts available to members.
Yes, European-style Options on Micro E-mini futures are offset eligible versus their E-mini counterparts at 10:1 ratio (50:1 ratio for MES:SP). This can only be applied to offsetting positions. Request can be made by your clearing broker directly to the CME Clearing House.
Delayed quotes will be available online on the CME Group website. You can also access quotes through major quote vendors.
The Micro E-Mini S&P 500 options market data will be published on MDP 3.0 channel 323. The Micro E-Mini Nasdaq-100 options market data will be published on MDP 3.0 channel 319.
Please Note: channel 323 re-uses multicast network configuration from the decommissioned channel ID 346. With this launch, the multicast IP will now distribute market data for the CME DCM. Previously, it was used for the CBOT DCM.
To access CME Globex, you must have a relationship with a CME Clearing member firm.
Visit cmegroup.com/microeminioptions for the latest information. You can fill out the form on this page to stay informed of Micro E-mini product updates.
*Pending regulatory approval.
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