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S&P 500 / Citigroup Value
S&P 500/Citigroup Value futures provide a way to efficiently gain exposure to the value-oriented companies of the S&P 500 Index. They also enable you to:
- Manage the risk associated with value-style equity investments and protect the value of related investments during bear markets
- Benefit from potentially lower trading costs compared to trading individual stocks or Exchange-Traded Funds (ETFs)
- Accommodates a range of strategies, different market environments and varied objectives
- Effectively replicate – together with our other equity products – all your global equity exposure on a single platform
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View free real-time quotes on a variety of electronically traded CME Group products
Fee Incentives & Intercommodity Spreads: S&P SmallCap & MidCap Products
- Fee Waivers on the S&P MidCap 400 and S&P SmallCap 600 contracts
- Tools to Transfer Russell 2000 Open Interest to S&P SmallCap 600 or S&P MidCap 400 Contracts:
- Coming May 19: New EMD-ER2 Intercommodity Spread Tool
- Available now: SMC-ER2 Intercommodity Spread Tool
Reduced Fees on Spread-Traded E-mini Options
ELIGIBLE CONTRACTS (Must Be Traded As Part of a Spread)
American-Style
• E-mini S&P 500 options
• E-mini NASDAQ-100 options
• E-mini S&P MidCap 400 options
European-Style
• End-of-month (EOM) E-mini S&P 500 options
Block trades for E-mini Russell 2000
CME Group is offering an expanded block trade program for E-mini Russell 2000 products. This program is designed to help facilitate an orderly transition of open interest with the end of our contractual listing rights nearing (September 2008). Waivers have been added for certain block transactions.
- Equity Index Products Research Center
- Equity Index Choices resource center
- EOM Options Fixing Price (ESF)
- Equity Fair Value Premiums
- Clearing & Trading Fees
- Performance Bonds/Margins
- Trading Hours
- Product & Vendor Codes
- Future Spreads on CME Globex
- Options Strategies on CME Globex
- CME Rulebook
- CBOT Rulebook
- Find-a-Broker
- Glossary
- Knowledge Center Home
- View Intra Day Block Trades
- Month-End FV Settlement Q&A
| Trade Unit | $250 times the Standard & Poor's 500/CITICORP Value Index | ||||||
| Settle Method | Cash Settled | ||||||
| Point Size | .01 index point = $2.50 | ||||||
| Strike Price Interval | |||||||
| Strike | |||||||
| Limits/Price Banding | Successive 10%, 20%, and 30% price limits based on the average daily close of the cash index in the last month of the preceding quarter. Price limits are effective only for limit moves below the previous day's close. | ||||||
| Tick Size (Minimum Fluctuation) |
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| Trading Hours | Mon/Thurs 5:00 p.m.-3:15 p.m. & 3:30 p.m.-4:30 p.m.; Shutdown period from 4:30 p.m. to 5:00 p.m. nightly; Sun & Hol 5:00 p.m.-3:15 p.m. LTD: 3:15 pm | ||||||
| Listed | The percentage price limit is calculated at the beginning of each calendar quarter. Limit is based on 2.5% of index value. | ||||||
| Product Codes | Clearing=SU Ticker=SU | ||||||
| Minimum Block Size | |||||||
| Product Calendar | Two months in the March Quarterly Cycle. Mar, Jun, Sep, Dec. View current product listings |
Fee Incentives & Intercommodity Spreads: S&P SmallCap & MidCap Products
- Fee Waivers on the S&P MidCap 400 and S&P SmallCap 600 contracts
- Tools to Transfer Russell 2000 Open Interest to S&P SmallCap 600 or S&P MidCap 400 Contracts:
- Coming May 19: New EMD-ER2 Intercommodity Spread Tool
- Available now: SMC-ER2 Intercommodity Spread Tool
Reduced Fees on Spread-Traded E-mini Options
ELIGIBLE CONTRACTS (Must Be Traded As Part of a Spread)
American-Style
• E-mini S&P 500 options
• E-mini NASDAQ-100 options
• E-mini S&P MidCap 400 options
European-Style
• End-of-month (EOM) E-mini S&P 500 options
Block trades for E-mini Russell 2000
CME Group is offering an expanded block trade program for E-mini Russell 2000 products. This program is designed to help facilitate an orderly transition of open interest with the end of our contractual listing rights nearing (September 2008). Waivers have been added for certain block transactions.
- Equity Index Products Research Center
- Equity Index Choices resource center
- EOM Options Fixing Price (ESF)
- Equity Fair Value Premiums
- Clearing & Trading Fees
- Performance Bonds/Margins
- Trading Hours
- Product & Vendor Codes
- Future Spreads on CME Globex
- Options Strategies on CME Globex
- CME Rulebook
- CBOT Rulebook
- Find-a-Broker
- Glossary
- Knowledge Center Home
- View Intra Day Block Trades
- Month-End FV Settlement Q&A
| Contract Month | Product Code | First Trade Date | Last Trade Date | Settlement Date | |
| SEP08 | SUU08 | 03/20/2008 |  |
09/18/2008 | 09/19/2008 |
| DEC08 | SUZ08 | 06/20/2008 | |
12/18/2008 | 12/19/2008 |
Fee Incentives & Intercommodity Spreads: S&P SmallCap & MidCap Products
- Fee Waivers on the S&P MidCap 400 and S&P SmallCap 600 contracts
- Tools to Transfer Russell 2000 Open Interest to S&P SmallCap 600 or S&P MidCap 400 Contracts:
- Coming May 19: New EMD-ER2 Intercommodity Spread Tool
- Available now: SMC-ER2 Intercommodity Spread Tool
Reduced Fees on Spread-Traded E-mini Options
ELIGIBLE CONTRACTS (Must Be Traded As Part of a Spread)
American-Style
• E-mini S&P 500 options
• E-mini NASDAQ-100 options
• E-mini S&P MidCap 400 options
European-Style
• End-of-month (EOM) E-mini S&P 500 options
Block trades for E-mini Russell 2000
CME Group is offering an expanded block trade program for E-mini Russell 2000 products. This program is designed to help facilitate an orderly transition of open interest with the end of our contractual listing rights nearing (September 2008). Waivers have been added for certain block transactions.
- Equity Index Products Research Center
- Equity Index Choices resource center
- EOM Options Fixing Price (ESF)
- Equity Fair Value Premiums
- Clearing & Trading Fees
- Performance Bonds/Margins
- Trading Hours
- Product & Vendor Codes
- Future Spreads on CME Globex
- Options Strategies on CME Globex
- CME Rulebook
- CBOT Rulebook
- Find-a-Broker
- Glossary
- Knowledge Center Home
- View Intra Day Block Trades
- Month-End FV Settlement Q&A
The S&P 500/Citigroup Value Index was launched in 2005 to help address an investor need for exhaustive style indices that can effectively form the basis for index funds and derivatives, providing broad, cost-efficient exposure to a certain style segment.
The S&P 500/Citigroup Value Index and its counterpart, the S&P 500/Citigroup Growth Index, represent roughly equal divisions of the market capitalization of the parent S&P 500 Index into growth and value indices, with a limited number of stocks overlapping between them. Together, the two indices together represent all stocks in the S&P 500 universe, and both follow a conventional, cost-efficient, market capitalization-weighting scheme.
The stocks of the parent S&P 500 Index are evaluated on the basis of seven growth and value measures to determine which style-index each issue should fall into.
- Equity Index Products Research Center
- Equity Index Choices resource center
- EOM Options Fixing Price (ESF)
- Equity Fair Value Premiums
- Clearing & Trading Fees
- Performance Bonds/Margins
- Trading Hours
- Product & Vendor Codes
- Future Spreads on CME Globex
- Options Strategies on CME Globex
- CME Rulebook
- CBOT Rulebook
- Find-a-Broker
- Glossary
- Knowledge Center Home
- View Intra Day Block Trades
- Month-End FV Settlement Q&A