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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 Equities@cmegroup.com.

View report

All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.

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