Position Limits for S&P 500 and E-mini S&P 500 Futures and Options on Futures, effective September 23, 2013.
Contract Name |
Rule Chapter |
Commodity Code |
All Month Aggregate Ratio Into Futures Equivalents Leg (1) |
All Month Limit (In Net Futures Equivalents) Leg (1) / Leg (2) |
Standard and Poor's 500 Stock Price Index |
351 & 351A |
SP |
28,000 |
|
S&P 500 European Style “End-of-Month” Option |
351A |
EV |
28,000 |
|
S&P 500 European Style Wk 1 |
351A |
EV1 |
28,000 |
|
S&P 500 European Style Wk 2 |
351A |
EV2 |
28,000 |
|
S&P 500 European Style Wk 4 |
351A |
EV4 |
28,000 |
|
American FLEX Options on Standard and Poor's 500 Stock Price Index |
351A |
XP |
28,000 |
|
European Flex Options on Standard and Poor's 500 Stock Price Index |
351A |
YP |
28,000 |
|
E-mini Standard and Poor's 500 Stock Price Index |
358 & 358A |
ES |
5 (ES) to 1 (SP) - Five E-mini contracts are equivalent to one corresponding full-sized contract, and positions in full-sized and E-mini-sized contracts will be aggregated for the purpose of determining compliance with the contracts’ position limit. |
140,000 E-mini/28,000 standard S&P futures |
E-mini S&P 500 European Style “End-of-Month” Option |
358A |
EW |
5 (EW) to 1 (SP) - Five E-mini contracts are equivalent to one corresponding full-sized contract, and positions in full-sized and E-mini-sized contracts will be aggregated for the purpose of determining compliance with the contracts’ position limit. |
140,000 E-mini/28,000 standard S&P futures |
Contract Name
|
Rule Chapter
|
Commodity Code
|
All Month Aggregate Ratio Into Futures Equivalents Leg (1)
|
All Month Limit (In Net Futures Equivalents) Leg (1) / Leg (2)
|
E-mini S&P 500 European Style Wk 1
|
358A
|
EW1
|
5 (EW1) to 1 (SP) - Five E-mini contracts are equivalent to one corresponding full-sized contract, and positions in full-sized and E-mini-sized contracts will be aggregated for the purpose of determining compliance with the contracts’ position limit.
|
140,000 E-mini/28,000 standard S&P futures
|
E-mini S&P 500 European Style Wk 2
|
358A
|
EW2
|
5 (EW2) to 1 (SP) - Five E-mini contracts are equivalent to one corresponding full-sized contract, and positions in full-sized and E-mini-sized contracts will be aggregated for the purpose of determining compliance with the contracts’ position limit.
|
140,000 E-mini/28,000 standard S&P futures
|
E-mini S&P 500 European Style Wk 4
|
358A
|
EW4
|
5 (EW4) to 1 (SP) - Five E-mini contracts are equivalent to one corresponding full-sized contract, and positions in full-sized and E-mini-sized contracts will be aggregated for the purpose of determining compliance with the contracts’ position limit.
|
140,000 E-mini/28,000 standard S&P futures
|
E-mini Standard and Poor's 500 EURO DENOMINATED
|
358B
|
EME
|
5 (EME) to 1 (SP) - Five E-mini contracts are equivalent to one corresponding full-sized contract, and positions in full-sized and E-mini-sized contracts will be aggregated for the purpose of determining compliance with the contracts’ position limit.
|
140,000 E-mini/28,000 standard S&P futures
|
Contract Name
|
Rule Chapter
|
Commodity Code
|
All Month Aggregate Ratio Into Futures Equivalents Leg (1)
|
All Month Limit (In Net Futures Equivalents) Leg (1) / Leg (2)
|
S&P 500/ Growth Index
|
355 & 355A
|
SG
|
1 (SG) + 1 (SU) to 1 (SP) - For purpose of aggregation: One S&P 500 futures contract shall be deemed equivalent to one S&P 500 Growth futures contract plus one S&P 500 Value futures contract.
|
28,000
|
S&P 500/ Value Index
|
356 & 356A
|
SU
|
1 (SG) + 1 (SU) to 1 (SP) - For purpose of aggregation: One S&P 500 futures contract shall be deemed equivalent to one S&P 500 Growth futures contract plus one S&P 500 Value futures contract.
|
28,000
|