Select Sector Futures Update

  • By CME Group

Track Volume and Liquidity Trends in E-mini S&P Select Sector Futures

Discover a liquid, cost-effective and capital-efficient way to manage portfolio sector exposures as well as implement directional views and sector rotation strategies with CME Group's E-mini S&P Select Sector Futures.

This report highlights activity in CME Group's Select Sector futures and includes three sections:

  • Liquidity Analysis: The average bid / ask spread that would have been encountered by a 10-lot and 25-lot order based on a historical analysis of the intraday depth of book in each select sector index contract
  • Activity Summary: Average daily volume and open interest for each contract over the last 30 days, expressed in terms of the number of contracts, notional value and percentage of total
  • Historical Volume and Open Interest: Day-by-day historical statistics across all select sector futures, with associated 3y graph

Questions or comments? Contact

View report

About CME Group

As the world’s leading derivatives marketplace, CME Group is where the world comes to manage risk. Comprised of four exchanges - CME, CBOT, NYMEX and COMEX - we offer the widest range of global benchmark products across all major asset classes, helping businesses everywhere mitigate the myriad of risks they face in today's uncertain global economy.

Follow us for global economic and financial news.

CME Group on Twitter

CME Group on Facebook

CME Group on LinkedIn