Main U.S. Equity Indices | Globex Product Code | Fixing Code | Futures Fixing | Timestamp |
---|---|---|---|---|
E-mini S&P 500 Japan Close Fixing | ES | EJF | - | - |
E-mini S&P 500 London Close Fixing | ES | EEF | - | - |
E-mini S&P 500 | ES | ESF | - | - |
E-mini S&P 500 ESG | ESG | EGF | - | - |
E-mini S&P MidCap 400 | EMD | MDF | - | - |
E-mini S&P SmallCap 600 | SMC | SMF | - | - |
E-mini Dow ($5) Futures London Close Fixing | YM | YYF | - | - |
E-mini Dow (Dow Jones Industrial Average) | YM | YMF | - | - |
Dow Jones US Real Estate Index | RX | RLE | - | - |
E-mini NASDAQ-100 Futures London Close Fixing | NQ | NNF | - | - |
E-mini NASDAQ-100 | NQ | NQF | - | - |
E-mini NASDAQ Composite | QCN | QCF | - | - |
S&P Growth | SG | SFG | - | - |
S&P Value | SU | SUF | - | - |
S&P MLP Total Return Index | SLP | SLF | - | - |
E-Mini Russell 1000 Index | RS1 | R1F | - | - |
E-Mini Russell 1000 Growth Index | RSG | RGF | - | - |
E-Mini Russell 1000 Value | RSV | RVF | - | - |
E-mini Russell 2000 Index Futures London Close Fixing | RTY | RYF | - | - |
E-Mini Russell 2000 Index | RTY | RTF | - | - |
E-Mini Russell 2000 Growth | R2G | 2GF | - | - |
E-Mini Russell 2000 Value | R2V | 2VF | - | - |
E-mini IPOX 100 U.S. Index | IPO | IOF | - | - |
E-mini NASDAQ Biotechnology | BIO | BQF | - | - |
E-mini S&P Select Sectors | ||||
Communication Services | XAZ | XZF | - | - |
Consumer Discretionary | XAY | AXF | - | - |
Consumer Staples | XAP | PAF | - | - |
Energy | XAE | FXA | - | - |
Financial | XAF | AFF | - | - |
Healthcare | XAV | AVX | - | - |
Industrial | XAI | AIF | - | - |
Materials | XAB | BAF | - | - |
Real Estate | XAR | XRF | - | - |
Technology | XAK | AKF | - | - |
Utilities | XAU | AUF | - | - |
International Index | ||||
E-mini FTSE 100 Index (GBP) | FT1 | FTF | - | - |
E-mini FTSE China 50 Index | FT5 | FTH | - | - |
E-mini USD Denominated FTSE 100 Index | FTU | FTG | - | - |
E-mini FTSE Developed Europe Index | DVE | DVF | - | - |
E-mini FTSE Emerging Index | EI | EIF | - | - |
Nikkei 225 | NIY | NKF | - | - |
Nikkei 225 London Close Fixing | NIY | NEF | - | - |
Yen Denominated TOPIX | TPY | YDI | - | - |
ESF Calculation*
On expiration days for End-of-Month (EOM) and Weekly options on standard and E-mini S&P 500 futures, CME calculates a special fixing price based on the weighted average trading price of the nearest expiring month for the E-mini S&P 500 futures in the last 30 seconds (2:59:30 - 3:00:00 p.m.) of trading before the 3:00 p.m. (Chicago Time) options expiration. This calculation always uses the nearest contract until it is no longer available for trade.
EEF Calculation*
The EEF is a fixing price that is based on a volume weighted average price of the nearest expiry for the E-mini S&P 500 futures in the 30 seconds preceding 4:30 PM London Time (4:29:30-4:30:00 PM). This calculation always uses the nearest contract until it is no longer available for trade.
EJF Calculation*
The EJF is a fixing price that is based on a volume weighted average price of the nearest expiry for the E-mini S&P 500 futures in the 30 seconds preceding 3:00 PM Tokyo Time (2:59:30-3:00:00 PM). This calculation always uses the nearest contract until it is no longer available for trade.
NQF Calculation*
On expiration days for Weekly options on standard and E-mini NASDAQ-100 futures, CME calculates a special fixing price based on the weighted average trading price of E-mini NASDAQ-100 futures in the last 30 seconds (2:59:30 - 3:00:00 p.m.) of trading before the 3:00 p.m. (Chicago Time) options expiration. This calculation always uses the nearest contract until it is no longer available for trade.
Note
*CME disclaims liability for the ESF, EEF, EJF, or NQF Options fixing prices, and no representation or warranty, express or implied, is made concerning the ESF, EEF, EJF, or NQF fixing prices (including, without limitation, the Methodology for its determination and its suitability for any particular use).
FX Currency Pair | Product Code | Fixing Code | 10am NY | Timestamp (CT) |
---|---|---|---|---|
EUR/USD | 6E | ZYTL | - | |
JPY/USD | 6J | ZYJL | - | |
GBP/USD | 6B | ZYBL | - | |
CAD/USD | 6C | ZYDL | - | |
CHF/USD | 6S | ZYSL | - | |
AUD/USD | 6A | ZYAL | - | |
MXN/USD[1] | 6M | ZYM | - | |
NZL/USD | 6N | ZNEL | - | |
RUB/USD[2] | 6R | ZRU | - | |
ZAR/USD | 6Z | ZRA | - | |
CZK/USD | CKO | ZCZ | - | |
HUF/USD | HUF | ZFR | - | |
PLN/USD | PLN | ZPZ | - | |
CZK/EUR | ECK | ZKE | - | |
EUR/GBP | RP | ZRP | - | |
EUR/JPY | RY | ZRY | - | |
EUR/CHF | RF | ZRF | - | |
HUF/EUR | EHF | ZHU | - | |
PLN/EUR | EPZ | ZPE | - | |
ILS/USD | ILS | ZIS | - |
For more information on how CME Group calculates FX fixing prices, please see the “CME Group FX Fixing Price Methodology Guide".
Please go to www.cmegroup.com/10am for more information.
[1] The MXN/USD ZYM calculation occurs at 11:30 am Central Time (12:30 pm NY Time)
[2] The RUB/USD ZRU calculation occurs at 12:30pm Moscow (4:30am CT or 3:30 am CST)
US Treasury | Contract | Globex Product Code | Futures Fixing | Timestamp |
---|---|---|---|---|
2-Year T-Note Futures | - | ZT | - | - |
3-Year T-Note Futures | - | Z3N | - | - |
5-Year T-Note Future | - | ZF | - | - |
10-Year T-Note Future | - | ZN | - | - |
Ultra 10-Year U.S. Treasury Note Futures | - | TN | - | - |
U.S. Treasury Bond Futures | - | ZB | - | - |
Ultra U.S. Treasury Bond Futures | - | UB | - | - |
SWAP Futures | ||||
2-Year USD MAC Swap Futures | - | T1U | - | - |
5-Year USD MAC Swap Futures | - | F1U | - | - |
7-Year USD MAC Swap Futures | - | S1U | - | - |
10-Year USD MAC Swap Futures | - | N1U | - | - |
20-Year USD MAC Swap Futures | - | E1U | - | - |
30-Year USD MAC Swap Futures | - | B1U | - | - |
Note
Use of Fixing Prices are dictated by the CME Data Terms of Use. CME disclaims liability and no representation or warranty, express or implied, is made concerning the fixing prices.