The S&P 500 Equal Weight Index is a stock index constructed from the constituents of the large cap S&P 500 Index.  

After S&P 500 inclusion, the S&P Equal Weight Index invests an equal dollar value into each name in the index. Rather than the index being heavily weighted to the largest companies, the index invests approximately 0.2% weight in each constituent at the quarterly rebalance.

Investing in the parent S&P 500 Index has become largely dominated by the largest technology securities “The Magnificent Seven”: Alphabet, Amazon, Apple, Meta, Microsoft, Nvidia and Tesla. The S&P Equal Weight Index fulfills the value proposition of breadth of market investing removing some of the large-cap bias of the parent index.  

There are 500 companies in the index. Due to different share listing types, there may actually be more than 500 names from time to time. At time of writing, the S&P 500 parent index actually had 503 stocks, where three of those companies had multiple share classes. For those companies having multiple share class lines in the index, each share class line is assigned a weight that is proportional to its float-adjusted market capitalization (FMC), with weights set to 1/500 = 0.2% for each company in the index at rebalancing.

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Post quarterly reconstitution, weighting in each constituent will fluctuate in proportion to each name's relative performance to the rest of the basket. Stock weightings fluctuate with price until being reset at the next quarterly rebalance.

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The S&P 500 is a market-capitalized index methodology. The S&P 500 Equal Weight uses the starting securities but invests an equal dollar amount in each stock. As the S&P 500 parent index becomes more heavily concentrated towards larger securities, the S&P 500 Equal Weight Index can differ substantially in weight, risk profile and performance.

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The exchange has received overwhelming client demand for a liquid large-cap trading product with lower mega-cap bias to directly access equity market breadth. The E-mini S&P 500 Equal Weight Index futures contract meets this value proposition.

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E-mini S&P 500 Equal Weight futures will be listed on the customary U.S. Equity Index futures cycle – there will be five concurrent futures that expire against the opening index value on the third Friday of March, June, September and December. The tick increments are below:

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Sunday – Friday 5:00 p.m. – 4:00 p.m. Central Time (CT) with a trading halt from 4:00 p.m. – 5:00 p.m. CT

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Daily settlement for the E-mini S&P 500 Equal Weight futures are based on the 30-second volume-weighted average price (VWAP) of Globex trades between 14:59:30 and 15:00:00 Central Time (CT).

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Final settlement value is based on the Special Opening Quotation (SOQ) on the third Friday of the contract month. The SOQ is based on the opening price of each component stock in the relative index, regardless of when those stocks open.

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Yes. They will be subject to a 50 minimum block and BTIC block threshold. Block trades are subject to MRAN Rule 526.

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E-mini S&P 500 Equal Weight futures will be part of the E-mini Equity Index futures suite according to the CME Fee Schedule.

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Yes. E-mini S&P 500 Equal Weight futures volume will count towards the current volume-based fee discounts available to members.

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Given the high correlations to the traditional S&P 500 and similar volatility profiles, we expect outright margins on a notional adjusted basis and associated inter-commodity offsets to track very closely to the traditional S&P 500 futures (ES), please find the landing page for latest ES margins.

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CME Group plans to introduce a market maker program to assure continuous two-sided markets are quoted on-screen throughout the trading day beginning February 26, 2024.

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Delayed quotes will be available online on the CME Group website. You can also access quotes through major quote vendors.

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To access CME Globex, you must have a relationship with a CME Clearing Member Firm.

CME Group U.S. Equity Index price limits (and corresponding CME and CBOT rules) are designed to coordinate with circuit breakers provisions as applied by the New York Stock Exchange (NYSE). E-mini S&P 500 Equal Weightcontracts will follow the same rules as their E-mini counterparts.

• 7%, 13%, and 20% price limits are applied to the futures fixing price and are effective from 8:30 a.m. CT – 2:25 p.m. CT. Mondays through Fridays. From 2:25 p.m. to 3:00 p.m. CT, only the 20% price limit will be applied to the futures price fixing.
• 7% up-and-down limits are effective 5:00 p.m. - 8:30 a.m. CT. Sundays through Fridays; and 3:00 p.m. - 4:00 p.m. CT, Mondays through Fridays. Between 3:00 p.m. - 4:00 p.m. the 7% price limit will not be allowed to breach the 20% daily limit.
• The fixing price is the volume weighted average price, VWAP, calculated during the 30 seconds of trading from 2:59:30 p.m. – 3:00:00 p.m. CT. View Equity Index Fixing Prices page.

Visit cmegroup.com/equalweight for the latest information. You can fill out the form on this page to stay informed of E-mini S&P 500 Equal Weight futures updates.

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