Frequently Asked Questions

E-Mini S&P Select Sector Index Futures

1. What are E-mini S&P Select Sector Index futures?

As their name suggests, E-mini S&P Select Sector futures track the suite of benchmark Select Sector Indices offered by Standard & Poor’s, as a way to measure performance in individual market sectors. The CME Group E-mini S&P Select Sector futures are benchmarked to and expire against the exact indices that the Select Sector SPDR ETFs are designed to track. Here is a list of the E-mini S&P Select Sector Index Futures:

  • XAZ – Communication Services
  • XAY - Consumer Discretionary
  • XAP - Consumer staples
  • XAE - Energy
  • XAF - Financial
  • XAV - Healthcare
  • XAI - Industrial
  • XAB - Materials
  • XAR – Real Estate
  • XAK - Technology
  • XAU – Utilities

These contracts are packaged in an attractive cash-settled index futures format, with the usual tax and margin treatment of other US broad-based index futures contracts. E-mini S&P Select Sector Index futures are listed for electronic trading nearly 24 hours a day on the CME Globex platform through outright and BTIC futures and are also eligible for traditional and BTIC Block trading.

2. What are the benefits of these contracts?

E-mini S&P Select Sector futures are low cost with low tracking error and zero management fees.

Asset managers, may use these contracts to execute sector rotation strategies as an overlay to their core board market exposure. Because they are futures contracts, margining efficiencies may be available that are not found by holding the underlying basket of stocks or ETFs. Asset managers can use these instruments to adjust portfolio sector weights more efficiently.

For hedge funds, proprietary trading firms and trading desks, these contracts expand equity index opportunities available at CME Group to include the full suite of sector rotation strategies. The margin offsets available on E-mini S&P Select Sector Index futures versus broad market equity index futures means more efficient use of capital — freeing up funds that can be put to use pursuing other strategies.

This suite of products also introduces potential for additional arbitrage opportunities versus baskets of stocks and corresponding ETFs.

Market participants can enjoy flexible execution and greater liquidity access via a central limit order book, block trades or Exchange for Physical (EFP) trades. 

3. How do E-mini S&P Select Sector Index futures improve upon alternatives?

Futures generally come with lower initial capital requirements, and therefore enjoy a higher leverage ratio compared to alternatives such as ETFs. Futures traders deposit performance bond (e.g., margin) to secure the transaction. Equity securities like ETFs are subject to the Federal Regulation T margin requirements, which base margin on statutory minimums  applied to the outstanding values of the instruments — and thus can be substantially higher than the amount required by futures.

If you’re trading other equity index futures and options products from CME Group, you may be eligible for additional margin efficiencies. The SPAN (Standard Portfolio Analysis of Risk) system developed by CME Group (and used industry wide) identifies and calculates margin offsets, credits that can significantly reduce the amount of initial margin required on combinations of like-moving instruments.

Additionally, like other CME Group financial futures the E-mini S&P Select Sector Futures are Section 1256 contracts and may be eligible for 60/40 capital gains tax treatment.

4. What are the margin requirements for E-mini S&P Select Sector Index futures?

The margin requirements below are in line with other equity index futures listed at CME Group exchanges. Note that CME Clearing may change the collateral requirements without advance notice.

  Margin Margin as Percent of Notional Value Approximate Leverage Ratio  
E-mini Select Sector Futures Contract Initial Maintenance Initial Maintenance or Hedge Initial Maintenance or Hedge Futures Price Multiplier Notional Value
XAZ - Communication Services $3,520 $3,200 5.70% 5.18% 17.54 19.29 246.95 $250 $61,737.50
XAY - Consumer Discretionary $5,500 $5,000 4.83% 4.39% 20.69 22.76 1137.9 $100 $113,790
XAP - Consumer Staples $1,815 $1,650 3.27% 2.98% 30.56 33.61 554.6 $100 $55,460
XAE - Energy  $3,850 $3,500 5.84% 5.31% 17.11 18.83 658.9 $100 $65,890
XAF - Financial $4,070 $3,700 5.20% 4.73% 19.22 21.14 312.85 $250 $78,213
XAV - Health Care $4,180 $3,800 4.61% 4.19% 21.72 23.89 907.7 $100 $90,770
XAI - Industrial $3,575 $3,250 4.85% 4.41% 20.62 22.68 737.1 $100 $73,710
XAB - Materials $2,805 $2,550 4.88% 4.43% 20.51 22.56 575.2 $100 $57,520
XAK - Technology $4,180 $3,800 5.67% 5.16% 17.62 19.38 736.6 $100 $73,660
XAU - Utilities $2,145 $1,950 3.62% 3.30% 27.59 30.35 591.8 $100 $59,180
XAR - Real Estate $1,760 $1,600 4.05% 3.68% 24.67 27.14 173.7 $250 $43,425

as of March 25, 2019

5. What are the available margin offsets between the E-mini S&P Select Sector futures or against the broad market equity index futures, and how do they work?

The below table depicts the available margin offsets that the Select Sector futures enjoy against each other, as well as against the broad-based index futures contracts. The percentage value in the grid speaks to the amount of notional offset between the two contracts, where the parenthetical reference is the offset contract position ratio for the pair (Row:Column). 

For example, every one S&P 500 contract (SP) held against ten S&P Select Sector Materials contracts (XAB) will receive a 60% margin offset; while the Energy Select Sector (XAE) will provide an 65% offset to the Russell 2000 contract (RTY) on a one-for-one basis. To illustrate an inter-sector example, a trader will need to hold three Technology Select Sector contracts (XAK) against two Consumer Discretionary Select Sector contracts (XAY) to enjoy a 70% margin offset.

Margin offsets affect both initial and performance margin in the same manner and ratio.

  Broad Based Index S&P Select Sectors 
XAB 60% (10:1) 40% (6:5) 75% (12:5) 65% (1:1) 65% (3:2) x 60% (2:1) 65% (1:1) 72% (1:1) 70% (3:2) 50% (1:1)   55% (1:1) 35% (1:1) 55% (1:1) 40% (1:1)
XAE 55% (5:1) 45% (4:5) 45% (6:1) 55% (1:1) 65% (1:1) 60% (1:2) x 40% (1:2) 50% (1:2) 60% (1:1) 50% (1:3)   55% (1:1)   40% (1:2) 60% (1:1)
XAF 65% (10:1) 50% (1:1) 65% (12:5) 55% (1:1) 65% (2:1) 65% (1:1) 40% (2:1) x 65% (1:1) 60% (2:3) 45% (1:1)   60% (1:1)   65% (1:1) 60% (1:1)
XAI 70% (10:1) 55% (6:5) 78% (12:5) 65% (1:1) 77% (3:2) 72% (1:1) 50% (2:1) 65% (1:1) x 65% (1:1) 50% (1:1)   60% (1:1) 25% (1:1) 60% (1:1) 60% (1:1)
XAK 60% (15:1) 80% (2:1) 70% (17:5) 65% (1:1) 60% (5:2) 70% (2:3) 60% (1:1) 60% (3:2) 65% (1:1) x 45% (1:1)   60% (3:2) 25% (3:2) 70% (3:2) 65% (1:1)
XAP 55% (10:1) 25% (6:5) 60% (12:5) 55% (1:1) 50% (2:1) 50% (1:1) 50% (3:1) 45% (1:1) 50% (1:1) 50% (1:1) x 50% (1:1) 50% (1:1) 55% (1:1) 40% (1:1) 25% (1:1)
XAU                     50% (1:1) x 30% (1:1) 60% (1:1)    
XAV 65% (10:1) 50% (1:1) 60% (12:5) 60% (1:1) 62% (3:2) 55% (1:1) 55% (1:1) 60% (1:1) 60% (1:1) 60% (2:30 50% (1:1) 30% (1:1) x   60% (1:1) 50% (1:1)
XAR 40% (25:2) 20% (1:1) 50% (12:5) 50% (2:1) 45% (2:1) 35% (1:1)     25% (1:1) 25% (2:3) 55% (1:1) 60% (1:1)   x 35% (1:1)  
XAY 65% (10:1) 70% (6:5) 75% (12:5) 60% (1:1) 70% (3:2) 55% (1:1) 40% (2:1) 65% (1:1) 60% (1:1) 70% (2:3) 40% (1:1)   60% (1:1) 35% (1:1) x 65% (2:1)
XAZ 45% (10:1) 60% (2:1)   50% (1:1) 65% (1:2) 40% (1:1) 60% (1:1) 60% (1:1) 60% (1:1) 65% (1:1) 25% (1:1)   50% (1:1)   65% (1:2) x

as of March 25, 2019

For example: As of August 30, 2018, the E-mini Materials and E-mini Consumer Staples Select Sector futures margin break is administered at a 1:1 ratio. For a spread of one long E-mini Materials Select Sector futures versus one short E-mini Consumer Staples Select Sector futures, the net margin credit is 40 percent of the gross margin of the positions. Using the table from the previous question:

= 55% x[$2,805+ $3,300]

= 55% x $6,105

= $3,358

CME Clearing scans the portfolio of futures positions for offsets. For this spread position with an identifiable offset, the margin requirement is equivalent to 55 percent of the outright margins.

6. What are the underlying reference instruments for the contracts?

E-mini S&P Select Sector Index futures are based on the benchmark S&P Select Sector indices, widely followed as leading indicators of U.S. equity market sector performance. These indexes represent the same underlying reference instruments tracked by the Select Sector SPDR ETFs.

7. What is the composition/methodology of the indices?

S&P Select Sector indices use a widely accepted methodology that divides the constituents of the S&P 500 Index into ten Select Sector indices. Details about the methodologies can be found on the Standard & Poor’s website at

8. How do these indices compare to the S&P 500 Index, and why is that significant?

The indices on which E-mini S&P Select Sector Index futures are based are sub-portfolios of the S&P 500 Index. The entire universe of constituent stocks in the S&P 500 Index is divided among the nine Select Sector indices.* As a result, these contracts offer compelling benefits for sector rotation strategies and potential arbitrage opportunities.

9. Do these contracts have a market maker program in place?

CME Group has instituted a market maker program for quoting the E-mini S&P Select Sector Index futures and BTIC on E-mini Select Sector Index futures to ensure a liquid, two-sided market, especially during the U.S. trading hours.  Also, to augment the traditional order book market making that occurs, CME Group has firm commitments from several US broker-dealers who will make two-sided markets for traditional and BTIC block trades. Block market maker contacts is available here.

10. What is the contract size?

E-mini S&P Select Sector Index futures are sized comparably to other E-mini equity index futures contracts listed at CME (typically in $20,000 – $80,000 range in terms of notional value per contract). Each E-mini S&P Select Sector Index futures contract has a multiplier of $100 per index point except for the E-mini Financial Select Sector futures, E-mini Real Estate Select Sector contracts, and E-mini Communication Services Select Sector futures, which have multipliers of $250 per index point.

By using these multipliers, the futures contracts generally are comparable to 1,000 shares of the equivalent Select Sector SPDR ETFs; 2,500 shares of the Financial, Communication Services, and Real Estate Select Sector SPDR ETFs.

11. What is the tick size of these futures contracts?

The minimum tick for the E-mini S&P Select Sector Index futures is 0.10 index points, comparable to the penny increments of the ETFs. The exceptions (due to the larger contract multiplier) are the E-mini Financial, E-mini Real Estate Select Sector futures contracts, and E-mini Communication Services Select Sector futures, which have minimum ticks of 0.05 index points.

12. What are the trading hours?

Like other E-mini equity index future contracts, these contracts are available virtually 24 hours a day on the CME Globex platform, Monday through Friday 5:00 p.m. Central Time (CT) the previous day to 4:00 p.m. CT with a trading halt from 3:15 p.m. – 3:30 p.m. CT.

13. How is the final settlement price determined?

E-mini S&P Select Sector Index futures settle the same way as the other equity index futures listed on our exchanges. On expiration day, typically the 3rd Friday of the quarterly contract month, the expiring equity index futures will settle to the Special Opening Quotation (SOQ) of the respective underlying S&P Select Sector Index, which is calculated with the official opening price of each constituent in the index. The same methodology is used for the E-mini S&P 500 and other popular U.S. equity index futures.

14. Are these contracts eligible for block trading?

Yes, both for traditional block trades as well as BTIC block trades.  BTIC block trades are a special block trading provision was introduced on certain equity index futures and stands for Basis Trade at Index Close (BTIC)., BTIC block trade enable market participants to execute a futures transaction on the E-mini S&P Select Sector contracts relative to the official cash index closing value of the underlying index — in essence, a basis trade based on the close of the underlying index in the spot market that day. The minimum block trade is 50 contracts in each of the E-mini S&P Select Sector Index futures contracts.

Benefits of BTIC block trades include:

  • Enhanced flexibility to manage index exposure before the spot market closes
  • Control and convenience to privately negotiate a trade with a selected eligible counterparty
  • Risk management provided by CME Clearing

15. How can I see prices for E-mini S&P Select Sector Index futures?

Delayed quotes are available online at the CME Group web site ( You can also access quotes through several major quotes vendors. Symbols for Bloomberg and Reuters are provided below:

E-mini S&P Select Sector Futures Contract

Underlying Index Ticker

CME Futures Ticker

CME BTIC Block Trade Ticker

Bloomberg Front-Month Futures Ticker

Thomson Reuters Front-Month Futures Ticker

Communication Services






Consumer Discretionary






Consumer Staples


















Health Care


















Real Estate


















16. How can I get access to CME Globex?

To access CME Globex, you must have a relationship with a CME Clearing Member Firm. For more information on getting connected to CME Globex, please visit

17. Will CME Group offer options on E-mini S&P Select Sector Index futures?

No options contracts are currently in development, but they could be considered as liquidity builds in the futures contracts.

18. Are the E-mini S&P Select Sector Futures EFP eligible?

Yes.  As a CME Group futures contract all eleven E-mini S&P Select Sectors are eligible for Exchange For Related Position (EFRP) trades. As a reminder, there are three types of EFRP trades governed by CME Group Rule 538 – an Exchange for Physical (EFP), an Exchange for Risk (EFR) and Exchange of Option for Option (EOO).  CME Group E-mini S&P Select Sector futures can be utilized in a privately negotiated EFP trade where the physical side can be, but is not limited to, the corresponding Select Sector SPDR ETF.  For more questions on EFPs please see the latest Rule 538 MRAN here


* Note that although there are 10 sectors in the GICS methodology, the S&P Technology Select Sector Index represents the combined Information Technology and Telecomm Services sectors and their constituent stocks.