- What are the contract specifications for E-mini Russell 2000 Tuesday and Thursday (European-style) options?
- What characteristics are shared amongst E-mini Russell 2000 European-style options?
- How many new expiries will be available at a given time?
- What are the contract codes for E-mini Russell 2000 European-style options?
- What are the underlying instruments for E-mini Russell 2000 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?
- How will the existing listing cycle be impacted?
- Will any of these holiday schedule changes effect existing contract expiries?
- How many different Tuesday / Thursday European-style option expiries will be listed at a given time?
- How far in advance can traders expect holiday listings available?
- Will any other indices be affected by the listing changes affecting E-mini Russell 2000 European-style options?
- When can traders expect new Tuesday or Thursday Russell 2000 contract expirations to become available?
- Where can I find Bloomberg contract codes for Tuesday and Thursday E-mini Russell 2000 futures option expiries?
1. What are the contract specifications for E-mini Russell 2000 Tuesday and Thursday (European-style) options?
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 Russell 2000 Index Futures / RTY |
| Trading Unit | $50 x E-mini Russell 2000 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 Russell 2000 Index futures: Thursday Weekly options on E-mini Russell 2000 Index futures: |
| Listing Schedule |
Tuesday weekly contracts listed for two 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: 0.10 index points = $5 for premium above 5.00 index points Reduced tick: 0.05 index points = $2.50 for premium below 5.00 index points |
| Price Basis | Prices are quoted and traded in Index points |
| Block Minimum Threshold | 40 contracts - subject to a 15-minute reporting window |
| Strike Price Listing Schedule |
100 index point integer multiples: -80% to +30% of the prior day’s settlement price on the underlying future contract, when listed 50 index point integer multiples: -40% to +20% of the prior day’s settlement price on the underlying future contract (<96 DTE) 25 index point integer multiples: -20% to +15% of the prior day’s settlement price on the underlying future contract (<66 DTE) 10 index point integer multiples: -15% to +10% of the prior day’s settlement price on the underlying future contract (<35 DTE) 5 index point integer multiples: -10% to +5% of the prior day’s settlement price on the underlying future contract (<10 DTE) Dynamic strike allowed on 5 point intervals |
| 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 (3:00 p.m. CT) price fixing based on the weighted average traded price fixing (symbol RTF) of the E-mini Russell 2000 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 Russell 2000 European-style options?
E-mini Russell 2000 European-style options at CME (which by definition can only be exercised on expiration day), prohibit contrary instructions (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 contrary instructions, 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 Russell 2000 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 Russell 2000 European-style option 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.
4. What are the contract codes for E-mini Russell 2000 European-style options?
The chart below details contracts codes for differing E-mini Russell 2000 European-style option contracts.
| CONTRACT | OPTIONS ON E-MINI E-MINI RUSSEL 2000 INDEX FUTURES |
|---|---|
| Monday | At any given time, the four nearest weeks of R1A, R2A, R3A, R4A, R5A will be listed for trading. |
| Tuesday | At any given time, the two nearest weeks of R1U, R2U, R3U, R4U, R5U will be listed for trading. |
| Wednesday | At any given time, the four nearest weeks of R1C, R2C, R3C, R4C, R5C will be listed for trading. |
| Thursday | At any given time, the two nearest weeks of R1D, R2D, R3D, R4D, R5D will be listed for trading. |
| Friday | At any given time, the three nearest weeks of R1E, R2E, and R4E (weeks one, two, and four) and three of the nearest weeks of R3E (week three) will be listed for trading. |
| EOM | Monthly contracts listed for three consecutive months (RTM) |
| Quarterly | Quarterly contracts (Mar, Jun, Sep, Dec) (RTO) listed for three consecutive quarters. |
5. What are the underlying instruments for E-mini Russell 2000 European-style options?
The underlying instrument for all E-mini Russell 2000 European-style options is the nearest expiring quarterly E-mini Russell 2000 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 RTF.
7. How is the fixing price determined?
The fixing price is the volume-weighted average price of trading in E-mini Russell 2000 futures, traded during the 30-second period leading up to 4:00 p.m. ET. Only outright trades of the Russell 2000 futures in the corresponding contract month shall be included in the calculation. Spread trades involving the corresponding contract month of the E-mini Russell 2000 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 1750.01, an E-mini Russell 2000 Weekly call option with a strike price of 1750 would be automatically exercised; the seller of a call option with a strike price of 1750 would be automatically assigned. As discussed earlier, contrary instructions are prohibited for these contracts.
8. How do the fixing price and the futures daily settlement price inter-relate with one another?
The E-mini Russell 2000 fixing price, RTF, 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 Russell 2000 Index futures is in increments of 0.10 index points. The daily settlement price of the futures does not factor into the exercise and assignment of the Tuesday and Thursday Weekly options.
9. How will the existing listing cycle be impacted?
Weekly European-style Russell 2000 options will now handle holiday conflicts slightly differently; End-of-Month European-style option listings will not be affected.
Prior to February 27, 2023, for E-mini Russell 2000 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 February 27, 2023, to accommodate options expiring every day of the week, and to avoid confusion, Russell 2000 options expiration impacted by scheduled U.S. holidays will be listed with the contract code corresponding to the actual day of expiration.
10. Will any of these holiday schedule changes effect existing contract expiries?
The changes will only apply to newly listed expiries after February 27, 2023.
11. How many different Tuesday / Thursday European-style option expiries will be listed at a given time?
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.
12. 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 continue to be available four weeks in advance to accommodate Tuesday or Thursday holidays.
13. Will any other indices be affected by the listing changes affecting E-mini Russell 2000 European-style options?
This change for E-mini Russell 2000 Index options will synchronize the listing approach with that already utilized for E-mini S&P 500 and E-mini Nasdaq-100 index options. No other indices will be affected at this time.
14. When can traders expect new Tuesday or Thursday Russell 2000 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 Russell 2000 futures option expiries?
View the Bloomberg cheat sheet 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.
