S&P 500 Quarterly PM Options (European-Style): Frequently Asked Questions


1. What are the contract specifications for S&P 500 Quarterly PM (European-Style) options?

S&P 500 Quarterly PM options are a standard size option contract with a $250 multiplier.  These contracts are European style, with a 4 p.m. Eastern Time (ET) expiry on the third Friday of the contract month. 

CONTRACT 

S&P 500 Quarterly PM Options (European-Style)

CME Globex/CME ClearPort CODE

YPC

UNDERLYING FUTURES MULTIPLIER

$250

CONTRACT UNIT

One Standard Size 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, and 4100 available for each contract month.

EXERCISE PROCEDURE

European Style

BLOCK TRADE MINIMUM THRESHOLD

50 contracts
Reporting Window: RTH – five 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 4:00 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 June expiry contract would deliver a September future position, as the June future expired at 9:30 a.m. ET that day, and the nearest unexpired future would then be a September (SPU1) futures contract.

2. How will these products be different from existing S&P 500 Quarterly options?

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

For example, the June 18, 2021 SPM1 option (morning expiry, American style) will expire at the same time as its underlying, June 18, 2021 SP future, at 9:30 a.m. ET that day. In contrast, the June 18, 2021 YPCM1 option (evening expiry, European style) will expire at 4 p.m. ET and will deliver a position in its underlying, a SPU1 futures contract, for in-the-money positions. 

To clarify, the regular Quarterly options expiring into futures expiring on the same day would terminate at 9:30 a.m. ET the morning of the third Friday of the contract month. The Quarterly PM options will expire at 4:00pm 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 YPC, as opposed to following the contract format of other Standard Size S&P 500 options?

The symbol YPC was chosen to distinguish the S&P 500 Quarterly PM options from other European-style options. 

S&P 500 Quarterly PM options (YPC) share an expiration date with S&P 500 Quarterly AM options, which are American style. However, YPC 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. 

S&P 500 Monday

S1A, S2A, S3A, S4A, S5A

S&P 500 Wednesday

S1C, S2C, S3C, S4C, S5C

S&P 500 Friday

EV1, EV2, EV3, EV4

S&P 500 EOM

EV

S&P 500 Quarterly AM

SP

S&P 500 Quarterly PM

YPC

4. Which venues are available for trading S&P 500 Quarterly PM options?

CME Globex: Sunday - Friday 6:00 p.m. – 5:00 p.m. Eastern Time (ET) with a trading halt from 4:15 p.m. – 4:30 p.m. ET

CME Globex pre-open: Sunday 5:00 p.m. – 6:00 p.m. ET, Monday - Friday 4:15 p.m. – 4:30 p.m. and 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 S&P 500 Quarterly PM options (YPC) and other Standard Size S&P 500 option contracts on CME Globex?

No. Currently, spread instruments involving YPC contracts cannot also contain other S&P 500 standard size option types in the instrument on Globex (SP, EV, S1A. S1C). However, block trading is available to facilitate spread trading amongst YPC expiries and other associated S&P 500 standard size option expiries. These transactions can be submitted for clearing via CME ClearPort. 

7. When will the contracts be listed for trading?

Pending regulatory review, the S&P 500 Quarterly PM options will begin trading on trade date March 8, 2021.    

8. Will S&P 500 Quarterly PM E-Mini size contracts be listed?

No. The current listing is exclusively for standard size options. 

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