CME E-mini S&P 500 options product summary
About CME’s E-mini S&P 500
An electronically traded futures contract one fifth the size of standard S&P futures, CME-listed E-mini S&P 500 futures and options are based on the underlying Standard & Poor’s 500 stock index. Made up of 500 individual stocks representing the market capitalizations of large companies, the S&P 500 Index is a leading indicator of large-cap U.S. equities.
While the futures contracts have relatively straightforward specs, CME has much more complex offerings of options that are settled into those futures. This allows traders and investors to have OTC-like flexibilities while also taking advantage of the liquidity of a central, electronic exchange market. In this post, we summarize the various option offerings and distinguish them by a few key features.
Option product summary
| Name | Globex Code | Style | Listing Rules | Last Trading Date |
|---|---|---|---|---|
| E-mini S&P 500 Options | ES | American | Quarterly contracts (Mar, Jun, Sep, Dec) listed for 9 consecutive quarters and 3 additional December contract months | Trade terminates on the 3rd Friday of the contract quarter |
| E-mini S&P 500 Quarterly PM Options | EY | European | Quarterly contracts (Mar, Jun, Sep, Dec) listed for 4 consecutive quarters | Trade terminates on the last business day of the contract month |
| E-mini S&P 500 Monday Weekly Options - Week1/2/3/4/5 | E1A, E2A, E3A, E4A, E5A | European | Weekly contracts listed for 5 consecutive weeks | Trade terminates on Monday of the contract month |
| E-mini S&P 500 Thuesday Weekly Options - Week1/2/3/4/5 | E1B, E2B, E3B, E4B, E5B | European | Weekly contracts listed for 5 consecutive weeks | Trade terminates on Tuesday of the contract month |
| E-mini S&P 500 Wednesday Weekly Options - Week1/2/3/4/5 | E1C, E2C, E3C, E4C, E5C | European | Weekly contracts listed for 5 consecutive weeks | Trade terminates on Wednesday of the contract month |
| E-mini S&P 500 Thursday Weekly Options - Week1/2/3/4/5 | E1D, E2D, E3D, E4D, E5D | European | Weekly contracts listed for 5 consecutive weeks | Trade terminates on Thursday of the contract month |
| E-mini S&P 500 EOM Options | EW | European | Monthly contracts listed for 6 consecutive months, plus 4 quarterly months | Trade terminates on the last business day of the contract month |
| E-mini S&P 500 Weekly Options | EW1, EW2, EW3, EW4 | European | 6 weekly contracts listed for week 1/2/4 and 9 weekly contracts listed for week 3 | Trade terminates on Friday of the contract week |
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Liquidity
Though the above option offerings seem to have quite an exhaustive coverage of time-to-expirations, unsurprisingly only few of them have significant trading volumes. In the following screenshot, we show the top traded equity index options and futures as of 24th February 2023. Check here for up-to-date figures.
