Equity Index Derived Blocks
Privately negotiated derived blocks provide access to Equity Index futures liquidity to execute large trades with a built-in delta hedge. Now available on 19 Sector futures contracts.
Add flexibility
Trade in large quantities with a longer reporting period to allow counterparties to hedge their exposure.
Enjoy integrated hedging
A hedging transaction is built into every derived block trade, with four pre-defined hedging methods to help reduce risk and better contribute to a tighter market.
Access liquidity
Derived block trades allow you to source liquidity from related markets, to provide greater liquidity to eligible futures.
What are derived blocks?
A derived block is a block trade in which the price and quantity of the trade depends on hedging transactions in an eligible related market.
- Parties agree to the pre-defined notional or number of contracts and the markets in which the hedging transaction will take place.
- Parties agree to a basis price to be added to the index price of the resultant delta hedge in the related market.
- Permitted hedging instruments include stock baskets and ETFs.
- Pre-defined hedging methods are Volume Weighted Average Price (VWAP), Time Weighted Average Price (TWAP), Percentage of Volume and Limit Price.
Which products are eligible?
Derived blocks are available on all Equity Index Sector futures:
- E-mini S&P Consumer Discretionary Select Sector Index futures
- E-mini S&P Consumer Staples Select Sector Index futures
- E-mini S&P Communication Services Select Sector Index futures
- E-mini S&P Energy Select Sector Index futures
- E-mini S&P Financial Select Sector Index futures
- E-mini S&P Healthcare Select Sector Index futures
- E-mini S&P Industrial Select Sector Index futures
- E-mini S&P Materials Select Sector Index futures
- E-mini S&P Real Estate Select Sector Index futures
- E-mini S&P Technology Select Sector Index futures
- E-mini S&P Utilities Select Sector Index futures
- E-mini S&P Regional Banks Select Industry futures
- E-mini S&P Insurance Select Industry futures
- E-mini S&P Biotechnology Select Industry futures
- E-mini S&P Oil & Gas Exploration & Production Select Industry futures
- E-mini S&P Retail Select Industry futures
- Dow Jones US Real Estate Index futures
- E-mini Nasdaq-100 Biotechnology Index futures
- E-mini PHLX Semiconductor Sector Index futures
Resources
How derived blocks work
Learn the fundamentals of a derived block trade, see how it differs from a standard block trade, and view a trade example.
CME Direct trading grid
Download the Equity Index Derived Blocks trading grid
- Right click on the link below
- Save the files as an .XML on your computer
- In CME Direct, select import view in the main menu
- Import the grid into CME Direct
- Under Menu, click on Save Window Layout
Not on CME Direct? Get started.
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