Return of the Russell 2000 Frequently Asked Questions

CME will launch the following E-mini Russell 2000® Index futures and options contracts on July 10, 2017.

• E-mini Russell 2000 Index futures
• E-mini Russell 2000 Growth Index futures
• E-mini Russell 2000 Value Index futures
• BTIC E-mini Russell 2000 Index futures
• BTIC E-mini Russell 2000 Growth Index futures
• BTIC E-mini Russell 2000 Value Index futures
• Options on E-mini Russell 2000 Index futures

Yes. As is customary, ICE will be afforded a roll-off period to facilitate the smooth and orderly transition of trading Russell 2000 futures to CME. For a short period, there will be two separate Russell 2000 futures products in the market: the new contract at CME (beginning July 10) and the current contract at ICE. While the Russell 2000 futures at CME and at ICE will have the same contract specs, these will be two distinct futures products with separate tickers and vendor codes and will only trade at their respective exchanges.

CME’s exclusive rights commence on July 1, 2017, meaning ICE will not be legally allowed to list new expirations as of this date. As of close of trading on June 30, any contract with zero open interest will be delisted by ICE. At any point, thereafter, once the open interest of any remaining ICE contract falls to zero, the contract will be delisted and will no longer trade ICE.

The transition to CME requires a market-based transaction; open positions at ICE will not be transferred to CME without client action. Participants can use Basis Trade at Index Close (BTIC), calendar spreads, or block transactions to easily and seamlessly move positions to CME.

Learn more about BTIC

Yes. Basis Trade at Index Close (BTIC) contracts on the E-mini Russell 2000 futures will be available for trading on Globex as well as via block trades starting on the launch date, July 10. Please note that that minimum block size will be 40 contracts and the minimum tick increment will be 0.05 for both Globex and block trades.

Visit this page for the BTIC and block liquidity provider contact information.

E-mini Russell 2000 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 contract size will be $50 x the index, and the minimum tick increments will be:

Outright: 0.10 Index points= $5.00

Calendar Spread & BTIC: 0.05 index points= $2.50

View full E-mini Russell 2000 Index futures contract specifications

View full Options on E-mini Russell 2000 Index futures contract specifications

For the futures, CME will list five months in the March Quarterly Cycle (Mar, Jun, Sep, Dec).

For the options, CME will list the following expiries:

• Outright: Sunday – Friday 6:00 p.m. – 5:00 p.m. ET with a trading halt from 4:15 p.m. – 4:30 p.m. ET
• BTIC: Sunday – Friday 6:00 p.m. – 4:00 p.m. ET

Daily settlement for E-mini Russell 2000 Index future (RTY) is based on the 30-second volume-weighted average price (VWAP) of Globex trades between 4:14:30 p.m. and 4:15:00 p.m. ET.

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 Russell 2000® Index, regardless of when those stock open.

Yes, the minimum block trade threshold for all Russell 2000 futures and options is 40 contracts.

The Russell 2000 products will be part of the E-mini Equity Index futures and options product suite according to the current CME Fee Schedule. Page 4 of the latest fee schedule (updated July 17, 2017) lists Equity Index product fees, and page 9 lists other fees and discounts.

As far as membership, the products will reside in the GEM Division.

Yes. E-mini Russell 2000 futures and options volume will count towards the current volume-based fee discounts available to members.

View the CME Fee Schedule for more information

Those market participants whom are currently subscribing to the CME DCM market data will receive the E-mini Russell 2000 product data as part of that existing package at no additional charge.  If a participant that is not currently subscribed to the CME DCM market data wishes to access E-mini Russell 2000 market data, they will need to subscribe to CME DCM market data subject to the current market data fee schedule.

The initial margin estimate for outright E-mini Russell 2000 Index futures contract is approximately $2,950 (~4% of the contract notional value) and $80 for the calendar spread. These are preliminary margin estimates as of December 1, 2017 and are subject to change.

Margins and margin credits are based on current market conditions and, thus, are subject to change. Below are the margin credits estimates as of June 30, 2017.

Learn More about Margins:

• Russell 2000 margin credits
• Margins FAQ
• SPAN Methodology

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

View Bloomberg and Thomson Reuters symbols

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

Learn more about connecting to CME Globex

E-mini Russell 2000 futures are likely to be phased into the Message Efficiency Program (MEP) over time, but will not be included in or subject to the MEP at launch.  Those contracts that are included in the MEP must have a minimum of 500,000 messages per day and a minimum ADV of 25,000.  The E-mini Russell 2000 will be reviewed at each quarter end for inclusion into the MEP, and any changes with respect to inclusion will be widely communicated at such time.

Visit cmegroup.com/russell2000 for the latest information. You can fill out the form on this page to stay informed of Russell 2000 product updates.

¹ Applies to E-mini Russell 2000 Index futures, E-mini Russell 2000 Growth Index futures, E-mini Russell 2000 Value Index futures, E-mini Russell 1000 Index futures, E-mini Russell 1000 Growth Index futures, E-mini Russell 1000 Value Index futures (subject to change in the future).