• CME Group announces an increase in the position limits for S&P 500 Stock Price Index futures and E-mini S&P 500 Stock Price Index futures effective September 23, 2013

      • To
      • Members, Member Firms and Market Users
      • From
      • Research and Product Development
      • #
      • SER-6815
      • Notice Date
      • 09 September 2013
      • Effective Date
      • 23 September 2013
    • CME Group announces an increase in the position limit for S&P 500 Stock Price Index (“S&P 500”) futures and E-mini S&P 500 Stock Price Index (“E-mini S&P 500”) futures effective September 23, pending regulatory review. 
       
      The all month position limit for S&P 500 futures will increase from 20,000 futures contracts to 28,000 futures contracts. The all month position limit for E-mini S&P 500 futures will increase from 100,000 futures contracts to 140,000 futures contracts.
       
      The change in the S&P 500 futures and E-mini S&P 500 futures position limits will impact the position limits for options on S&P 500 futures and options on E-mini S&P 500 futures, as well as the position limits for E-mini Euro Denominated S&P 500 futures, S&P 500 / Growth Index futures and S&P 500 / Value Index futures.
       
      A table is included in the Appendix to this Special Executive Report that indicates the new position limits for the relevant futures and options on futures contracts impacted by this position limit change.
       
      These contracts are listed by and subject to the rules of CME.
       
       
      Please contact Mr. John Nyhoff, Research & Product Development at 312-930-2310; or
      Ms. Lucy Wang, Director, Financial Research & Product Development at (312)648-5478
       if you have any inquiries regarding this matter.
       
       
       
      APPENDIX
       
      Position Limits for S&P 500 and E-mini S&P 500 Futures and Options on Futures, effective September 23, 2013.
       

      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

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