12 min read


8 SEP 2021

Trading the S&P 500

By Craig Bewick

About the S&P 500

With the proliferation of index providers, traders seeking to gain exposure to global equities are presented with many different options. The Standard and Poor’s 500 (S&P 500) is widely regarded as the best single gauge of large-cap equities in the world’s largest economy, the United States.

CME Group products based on S&P 500

CME Group has contracted with S&P Dow Jones Indices to list several different trading instruments that are based directly on the price of the S&P 500:

  • E-mini S&P 500 futures (ES), which have a notional value of $50*Current Index Value
  • Options on the E-mini S&P 500 futures, with expirations every Monday, Wednesday, and Friday, as well as monthly and quarterly expirations
  • Micro E-mini S&P 500 futures (MES) which, at 1/10 the size of the E-mini, have a notional value per contract of $5*Current Index Value
  • Options on Micro E-mini S&P 500 futures with expirations every Friday, month and quarter available

If a trader seeks exposure to THE benchmark index of large-cap equities in the United States, there’s nothing more correlated to the S&P 500 than the S&P 500!

Index choice matters - Not all indices are the same

Given the prominence of the S&P 500 Index as the leading equity benchmark globally, it’s easy to understand the importance of the S&P 500 Index to an equity portfolio manager and institutions alike.  However, there are significant features of this leading benchmark of interest to the individual investor, active trader, and day trader.

Historical analysis

With its extensive history, traders can perform price and strategy analysis and back testing on up to six decades of index data.

Perfect correlation

If a trader seeks exposure to THE benchmark index of large-cap equities in the United States, there’s nothing more correlated to the S&P 500 than the S&P 500! Relying on an index that is “highly correlated” to the S&P 500 can expose a trader to tracking error and the potential frustration of “being right on the trade but wrong because of the trading instrument.”  Instruments like the E-mini and Micro E-mini S&P 500 futures contracts settle exactly to the index value at expiration, eliminating this potential frustration.

Unparalleled liquidity

With over $11 trillion benchmarked to the index and associated trading instruments, CME Group liquidity providers are able to provide consistently tight and efficient markets nearly 24 hours a day in the S&P 500 futures and options that trade more than $350 billion in value per day.

Options market

The deep, liquid futures markets help facilitate liquid options markets on both the E-mini and Micro E-mini S&P 500 futures.

CME Group product characteristics


  • The combination of ES and MES futures and options allows traders to precisely adjust their notional exposure to the S&P 500.
  • Multiple options expirations allow for even greater flexibility and the opportunity to assume very specific positions in advance of economic events and report releases..


  • As mentioned above, ES and MES futures offer deep, liquid, and efficient markets.
  • As you can see in the screenshot below – which was taken from CME Direct, CME Group’s trading front end – the difference between the bid and offer in both the ES and MES is one-tick wide at .25 of an index point.
    • The .25 is the minimum allowable difference (the market is as “tight” as it can be) and represents $1.25 in the MES and $12.50 in the ES.
    • The notional value represented by the prices below is $22,173.75 (MES) and $221,737.50 (ES).
    • Therefore, the bid/offer spread as a percent of the notional exposure is .006%.
    • This efficiency of execution is important as execution costs in illiquid products can dwarf other fees, such as commissions.

* Source: CME Direct 2:15 p.m. Central Time, 8/20/2021

  • CME Group also provides efficient “roll” markets. If a trader seeks to maintain their exposure to the S&P 500 through a futures expiration, they can efficiently execute that transaction through the spread market at CME Group:

CME Clearing

As with all futures and options products traded at CME Group, every trade is guaranteed by CME Clearing, mitigating bilateral counterparty risk in all transactions. CME Group has over 170 years of experience in providing fair, transparent, and competitive markets and associated risk management capabilities.

Global distribution

CME Group has an established, global network of brokers and liquidity providers contributing to around-the-clock liquidity.

How do I trade S&P 500 Futures and Options at CME Group?

With an expansive network of brokers, it is easier than ever for an individual to open an account to trade CME Group futures. For an individual to trade futures at CME Group, they simply must have a futures-enabled trading account with their broker. Most brokers have streamlined the account opening process, making it possible to open an account within a day or two in many cases. A list of brokers that offer CME Group futures can be found at cmegroup.com/activetrader/findabroker online.

For more information, visit https://www.cmegroup.com/microemini


Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only be undertaken by investors who are Eligible Contract Participants (ECPs) within the meaning of Section 1a(18) of the Commodity Exchange Act. Futures and swaps each are leveraged investments and, because only a percentage of a contract’s value is required to trade, it is possible to lose more than the amount of money deposited for either a futures or swaps position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles and only a portion of those funds should be devoted to any one trade because traders cannot expect to profit on every trade. 

CME Group, the Globe Logo, CME, Globex, E-mini, CME Direct, CME DataMine and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc. CBOT is a trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is a trademark of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other trademarks are the property of their respective owners.

The information within this communication has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this communication are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience.  All matters pertaining to rules and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning contract specifications.

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