Frequently asked questions on Nasdaq-100 and Russell 2000 Annual Dividend Index futures

The Nasdaq-100 Annual Dividend Index futures and the Russell 2000 Annual Dividend Index futures both calculate the accumulation of all ordinary gross dividends paid on the Nasdaq-100 and Russell 2000 index constituent stocks that have gone ex-dividend over a 12-month period. The amounts are expressed as dividend index points.

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The demand to trade and risk manage dividend exposure via listed dividend futures has accelerated over the last few years. This has been evidenced by the S&P 500 Dividend futures complex’s ADV at CME Group growing from 1.3K contracts in 2019 to circa 5K contracts at the start of 2022.¹ The demand to have this listed instrument available on other U.S. benchmark indices has resulted in the proposed launch.

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The underlying index for Nasdaq-100 Annual Dividend Index futures is the Nasdaq-100 Dividend Point index. The methodology for the index can be found here.

The underlying index for Russell 2000 Annual Dividend Index futures is the Russell 2000 Dividend Index. The methodology for the index can be found here.

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Dividend index points specifically refer to the level of index points that are directly attributable to the dividends of index constituents. They typically only capture regular dividends and calculate this on the ex-date of the respective constituents within each index.

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Specifically, the cumulation period for an annual contract starts on the day after the expiration of the mostly recently expired contract, and continues up to and including the expiration day of the nearest subsequent contract, typically the 3^rd Friday of December. All regular dividends for each constituent stock going “ex” within the cumulation period will be included in the annual dividend index after conversion into dividend index points.

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In general, “special” or “extraordinary” dividends are not included as dividend points in the respective annual dividend indices. Instead, the underlying parent cash index adjusts for this event with a divisor change – i.e., if the Russell 2000 index adjusts for a special dividend by making a divisor change than the annual dividend index won’t capture that particular dividend event. For more details, please refer to the respective index methodology rules (linked in Q3 above).

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Nasdaq-100 and Russell 2000 Annual Dividend index futures are listed on the CME DCM and follow the CME Fee Schedule.

CME Exchange Fee Schedule

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Based on current market conditions and subject to change, the margin requirement for the two contracts is 5%, as of April 8, 2022.

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There is a 45% margin offset between Nasdaq-100 and Russell 2000 Annual Dividend futures vs. their respective parent contracts, E-mini Nasdaq-100 and Russell 2000 futures. This is an estimate based on current market conditions and is subject to change. See all other Equity index margin offsets here.

Learn more about margins:

• Margins FAQ
• SPAN Methodology

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1. Source CME – period covers 1 Jan 2022 – 8 Mar 2022