Fixing Prices

Equity Index Special Fixing Prices For End-of-Month Options, Weekly Options, and Daily Limit Calculations

 
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 Fixing Price

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)