- What are the contract specifications for E-mini Nasdaq-100 Tuesday and Thursday (European-style) options?
- What characteristics are shared amongst E-mini Nasdaq-100 European-style options?
- How many new expiries will be available at a given time?
- What are the contract codes for E-mini Nasdaq-100 European-style options?
- What are the underlying instruments for E-mini Nasdaq-100 European-style options?
- What determines whether European-style options are exercisable?
- How is the fixing price determined?
- How do the fixing price and the futures daily settlement price inter-relate with one another?
- Does the listing of these new contracts affect the European option listing cycle?
- How is the listing cycle changing?
- Will any of these changes effect existing contract expiries?
- How many different European-style option expiries will be listed at a given time?
- How far in advance can traders expect holiday listings available?
- When can traders expect new Tuesday or Thursday contract expirations to become available?
- Where can I find Bloomberg contract codes for Tuesday and Thursday E-mini NASDAQ-100 futures option expiries?
1. What are the contract specifications for E-mini Nasdaq-100 Tuesday and Thursday (European-style) options?
E-mini Nasdaq-100 Tuesday and Thursday options will be available starting October 3, 2022, pending regulatory review.
Tuesday Weekly Options on E-mini® Nasdaq-100 Index Futures – Week 1 through Week 5 (European style)
Thursday Weekly Options on E-mini® Nasdaq-100 Index Futures – Week 1 through Week 5 (European style)
| UNDERLYING FUTURES CONTRACT/COMMODITY CODE | Each option is exercisable into one E-mini Nasdaq-100 Index Futures / NQ |
|---|---|
| TRADING UNIT | $20 x E-mini Nasdaq-100 Index |
| TRADING AND CLEARING HOURS | CME Globex: Pre-open: Sunday 5:00 p.m. - 6:00 p.m. Eastern Time/ET Monday – Thursday 5:45 p.m. - 6:00 p.m. ET Open: Sunday 6:00 p.m. – Friday 5:00 p.m. ET with a daily maintenance period from 5:00 p.m. - 6:00 p.m. ET CME ClearPort: Sunday 6:00 p.m. - Friday 6:45 p.m. ET with no reporting Monday - Thursday 6:45 p.m. – 7:00 p.m. ET |
| CME GLOBEX AND CME CLEARPORT CODE | Tuesday Weekly Options on E-mini Nasdaq-100 Index Futures: Q1B, Q2B, Q3B, Q4B, Q5B Thursday Weekly Options on E-mini Nasdaq-100 Index Futures: Q1D, Q2D, Q3D, Q4D, Q5D |
| LISTING SCHEDULE | Tuesday weekly contracts listed for 2 weeks Thursday weekly contracts listed for 2 weeks |
| TERMINATION OF TRADING | Trading of Tuesday Weekly Options terminates at 4:00 p.m. ET on Tuesday of the contract week Trading of Thursday Weekly Options terminates at 4:00 p.m. ET on Thursday of the contract week |
| MINIMUM PRICE INCREMENT | Regular tick: 0.25 index points = $5.00 for premium above 5.00 index points Reduced tick: 0.05 index points = $1.00 for premium below 5.00 index points |
| PRICE BASIS | Prices are quoted and traded in Index points |
| BLOCK MINIMUM THRESHOLD | 60 contracts - subject to a 15-minute reporting window |
| STRIKE PRICE LISTING SCHEDULE |
Strikes listed 30% of the underlying settlement price above and 80% below the at-the-money strike at 500 index point strike increments when listed. Strikes listed 20% of the underlying settlement price above and 40% below the at-the-money strike at 100 index point strike increments within 96 days to expiration. Strikes listed 10% of the underlying settlement price above and 20% below the at-the-money strike at 50 index point strike increments within 35 days to expiration. Strikes listed 5% of the underlying settlement price above and 10% below the at-the-money strike at 10 index point strike increments within 14 days to expiration. Dynamic strikes allowed at 10 index point strike increment. |
| EXERCISE PROCEDURE | European Style. Exercisable only on expiration day. Contrarian instructions are prohibited. |
| SETTLEMENT AT EXPIRATION |
Option exercise results in a position in the underlying cash-settled futures contract. Options which are in-the-money on the last day of trading are automatically exercised. A 4:00 p.m. ET price fixing based on the weighted average traded price fixing (symbol NQF) of the E-mini Nasdaq-100 Index futures in the last 30 seconds of trading on expiration day (3:59:30 p.m.-4:00:00 p.m. ET) will be used to determine which options are in-the-money. |
| SETTLEMENT METHOD | Deliverable |
| CME GLOBEX MATCHING ALGORITHM | F: First In, First Out (FIFO) |
2. What characteristics are shared amongst E-mini Nasdaq-100 European-style options?
E-mini Nasdaq-100 European-style options at CME Group, which by definition can only be exercised on expiration day, prohibit contrarian instructions. Contrarian instructions is the abandonment of in-the-money options or the exercise of out-of-the-money options. At expiration, all in-the-money options are automatically exercised, whereas all out-of-the-money options are automatically abandoned.
Without the possibility of contrarian instruction, both the options buyer and the writer have certainty about respective positions in the underlying futures contract following the expiration of option positions. The writer does not need to wait for assignment notices, which offers a degree of certainty around exercise.
Market participants familiar with the behavior and specification of existing E-mini Nasdaq-100 European-style options can expect a similar profile for these new expiries, which expire on a Tuesday or Thursday.
3. How many new expiries will be available at a given time?
Generally, the two nearest Tuesday and two nearest Thursday E-mini Nasdaq-100 European-style options contract will be available at a given time.
Occasionally, an additional Tuesday or Thursday expiration date may be listed in advance in addition to the one nearest contract to accommodate holidays. More details are provided in question 12.
4. What are the contract codes for E-mini Nasdaq-100 European-style options?
The chart below details contracts codes for differing E-mini NASDAQ-100 European-style option contracts.
| CONTRACT | OPTIONS ON E-MINI NASDAQ-100 FUTURES |
|---|---|
| Monday | At any given time, the four nearest weeks of Q1A, Q2A, Q3A, Q4A, and Q5A will be listed for trading. |
| Tuesday | At any given time, the one nearest week of Q1B, Q2B, Q3B, Q4B, and Q5B will be listed for trading. |
| Wednesday | At any given time, the four nearest weeks of Q1C, Q2C, Q3C, Q4C, and Q5C will be listed for trading. |
| Thursday | At any given time, the one nearest week of Q1D, Q2D, Q3D, Q4D, and Q5D will be listed for trading. |
| Friday | At any given time, the four nearest weeks of QN1, QN2, and QN4 (weeks one, two, and four) and nine of the nearest weeks of QN3 (week three) will be listed for trading. |
| EOM | Monthly contracts listed for six consecutive months (QNE) |
5. What are the underlying instruments for E-mini Nasdaq-100 European-style options?
The underlying instrument for all E-mini Nasdaq-100 European-style options is the nearest expiring quarterly E-mini Nasdaq-100 futures contract as of the expiration of the option.
6. What determines whether European-style options are exercisable?
On their expiration day, European-style options will be automatically exercised if the options are determined to be “in-the-money” using a volume-weighted average fixing price calculated by the Exchange at 4:00 p.m. Eastern Time (ET). This fixing price is calculated and disseminated by CME Group daily under the symbol “NQF.”
7. How is the fixing price determined?
The fixing price is the volume-weighted average price of trading in E-mini Nasdaq-100 futures, traded during the 30-second period leading up to 4:00 p.m. ET. Only outright trades of the Nasdaq-100 futures in the corresponding contract month shall be included in the calculation. Spread trades involving the corresponding contract month of the E-mini Nasdaq-100 futures shall be disregarded for the purpose of the fixing calculation.
For example, at expiration, if the volume-weighted average price of the underlying futures contract was determined to be 12,250.01, an E-mini Nasdaq-100 Weekly call option with a strike price of 12,250 would be automatically exercised; the seller of a call option with a strike price of 12,250 would be automatically assigned. As discussed earlier, contrarian instructions are prohibited for these contracts.
8. How does the fixing price and the futures daily settlement price inter-relate with one another?
The E-mini Nasdaq-100 fixing price (NQF) is used to determine exercise and assignment of the expiring option. It has two-decimal digit precision. Any options that are at least 0.01 index point in the money will be exercised.
A futures positions created as a result of the exercise of the options, that is not otherwise offset with other futures positions, will be marked-to-market at the daily settlement price of the underlying futures. The daily settlement price of E-mini Nasdaq-100 Index futures is in increments of 0.25 index point. The daily settlement price of the futures does not factor into the exercise and assignment of the Tuesday and Thursday Weekly options.
9. Does the listing of these new contracts affect the European option listing cycle?
Yes. As of October 3, 2022, all Weekly European-style Nasdaq-100 options will now handle holiday conflicts slightly differently.
End-of-Month European options listings will be unaffected.
10. How is the listing cycle changing?
Prior to October 3, 2022, for Nasdaq-100 options, the Exchange adjusts the options expiration that falls on a scheduled U.S. holiday to the previous trading day, with the exception of Monday options being adjusted to the ensuing Tuesday if the expiration Monday is a holiday. The options are listed using the Monday, Wednesday, and Friday options contract code, notwithstanding the expiration adjustments due to the scheduled holiday.
Starting October 3, 2022, to avoid confusion, Nasdaq-100 options expiration impacted by scheduled U.S. holidays will be listed with the contract code corresponding to the actual day of expiration.
For example, Christmas falls on a Sunday during 2022, and the holiday is observed on Monday December 26. An option with an expiration date of Tuesday, December 27, 2022, will be listed ahead of time to accommodate the holiday, using contract code E4BZ2, instead of the Monday commodity code E4AZ2.
View the CME Group Holiday Hours page for more information.
11. Will any of these changes effect existing contract expiries?
The changes will only apply to newly listed expiries after October 3, 2022.
12. How many different European-style option expiries will be listed at a given time?
Four contracts are available for the following expiry types:
- Monday weeklies
- Wednesday weeklies
- Friday weeklies (weeks 1, 2, and 4)
In addition, four End-of-Month expiries and three Friday Week three expiries are available.
Two Tuesday expiry and two Thursday expiries will be available at a given time under most circumstances. To accommodate holiday coverage, occasionally an additional expiry will be scheduled on a Tuesday or Thursday.
13. How far in advance can traders expect holiday listings available?
Aside from regular listings, traders can expect the following holiday listing availability:
- A Tuesday expiry will be newly available four weeks in advance to accommodate Monday or Wednesday holidays.
- A Thursday expiry will be newly available four weeks in advance to accommodate Friday holidays, unless the holiday lands on a third Friday (whereby it would be available months in advance).
- Monday, Wednesday, and Friday expiries will continue to be available four weeks in advance to accommodate Tuesday or Thursday holidays.
14. When can traders expect new Tuesday or Thursday contract expirations to become available?
The nearest two expiring Tuesday (Thursday) options will be listed at all times. To facilitate position rolling, the next nearest Tuesday (Thursday) expiry will be listed on the last day of trading of the nearest Tuesday (Thursday) option contract.
15. Where can I find Bloomberg contract codes for Tuesday and Thursday E-mini NASDAQ-100 futures option expiries?
The Bloomberg codes will be available closer to launch. You can view all other Bloomberg codes here.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
