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Monthly Stock Index Update - July 08
View historical volatility, ADV & O.I., correlations and more.
Quarterly Roll Summary - Q2 2008
Analysis of roll costs for key equity index contracts.
Latest Research
Improving Equity Index Futures’ Tracking & Performance with Interest Rate Futures - R. Co (PDF)
Hedging the Russell 3000 Index - R. Co (PDF)
North American Equity Markets
Comparing E-mini S&P SmallCap 600 futures & E-mini Russell 2000 futures - R. Co (PDF)
Stock Index Futures Spreading: S&P 500 vs Dow Jones - C. Farra (PDF)
Hedging the Equal Weight (EW) S&P 500 Index - R. Co (PDF)
Hedging the Russell 1000 Index - R. Co (PDF)
International Equity Markets
Quick & Dirty Calculation: Tracking Error for E-mini MSCI EAFE Futures - R.Co (PDF)
Quick & Dirty Guide to Spreading: Dollar-Based vs. Yen-Based Nikkei 225 Futures - R.Co (PDF)
Spreading the Yen- & Dollar-based Nikkei 225 Futures - JAPANESE - R.Co (PDF)
Tracking Performance of Nikkei 225 Futures vs. the Cash Index - R.Co (PDF)
Research by Market Segment/Style
Use this Equity style box tool to look up CME Group research available by market segment and style. Click on the category in which you’re interested to pull up related research on that segment/style.
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Hedging the Russell 1000 Index (PDF)
Combo Hedge for the Russell 3000 Index (PDF)
Hedging the Equal Weight (EW) S&P 500 Index (PDF)
Monthly Stock Index Update (PDF)
International Equities
Spreading Yen-denominated vs. Dollar-denominated Nikkei 225 Futures (PDF)
Tracking Error for MSCI EAFE Futures: Quick & Dirty Calcuation (PDF)
Tracking Performance of Nikkei 225 Futures vs. the Cash Index (PDF)
Feedback
Questions about the Research? Contact the CME Group Product Development & Research Team
Product questions? Contact the CME Group Equity Products team
Block trades for E-mini Russell 2000
Effective through September 19, 2008. More
Reduced fees for spread-traded E-mini options
Effective though December 2008. More.
NEW E-mini S&P SmallCap 600 options
Launches July 28, 2008. More.
Fee Waivers for S&P SmallCap & MidCap Index Products
Available through December 2008. More
