Equity Options on Futures: E-mini S&P 500 options blocks are here

E-mini S&P 500 (ES) options blocks bring greater flexibility and capital efficiency to trading strategies

S&P 500 options trades are often negotiated in a delta-neutral manner, frequently involving a synthetic combo. Trading OTC has allowed participants to make capital commitments in a private, bilateral negotiation. Now delta-neutral E-mini S&P 500 options blocks may provide a more capital-efficient listed alternative to OTC combos.

Understanding delta-neutral ES options blocks

  • Block E-mini S&P 500 futures as part of a delta-neutral E-mini S&P 500 options on futures trade.
  • 100% of the trade can be privately negotiated and consummated, and subsequently reported to CME Group.1
  • Each S&P 500 option leg in a block trade must satisfy the 250-contract minimum.2
  • Reporting time window now extended from 5 to 15 minutes during non-US hours for all block-eligible equity index futures and options products.3

Introduction to Equity Options Blocks Enhancements

Key benefits

Increase capital efficiency

Save with margin offsets on listed, delta-neutral covered futures and options block trades for relief from common OTC charges related to Basel, RWA, and SLR.

Manage exposure with no break-up risk

Mitigate counterparty credit exposure and get a 100% match guarantee with a delta-neutral covered options block at CME Group. The trade is bilateral with no need to expose the trade.

Reduce paperwork 

No ISDA or CSA documentation is required to execute a covered futures and options block trade at CME Group, making more seamless execution possible.

Get a delta-neutral proxy for OTC combos

Trading delta-neutral is the preferred convention for larger S&P 500 options trades requiring capital commitment. Covered options block trades can replace the need for an OTC synthetic combo.

View a delta-neutral block trade ticket in CME Direct

Questions? Contact us

Sources

  1. http://www.cmegroup.com/rulebook/files/cme-group-Rule-526.pdf
  2. While the number of covering futures contracts can be below the option leg minimum of 250, the delta of the futures contracts must equal the net delta of the option legs.
  3. Non-US trading hours are between 4pm-7am CT Monday-Friday on regular business days and at any time on the weekends.

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