E-mini S&P Select Sector Futures Overview

• Greater than 20x leverage 
• Up to 70% margin offset with S&P 500 futures
• Additional operational efficiencies from working with a single clearing house

Select Sector futures are Section 1256 contracts, treated in the same manner as E-mini and Standard S&P 500 futures contracts with a blended capital gains tax treatment of 60% long-term and 40% short-term regardless of the futures holding period.

Like other CME Group Equity Index futures, Select Sector futures give participants an optimal strategy implementation tool as they are traded at levels representative of the expected carry cost, or the expected all-in financing and dividend expense.

E-mini S&P Select Sector futures afford traders the opportunity to short sector exposure without the constraint of security-based or single-stock-based short sale regulations and locate requirements.

• Block Trades
• Basis Trade at Index Close (BTIC)
• Exchange For Physical (EFP) eligible

Use to efficiently express outright sector-specific views within a portfolio, as well as easily execute relative value or under/over weighting strategies against the broader S&P 500 Index.

Opportunities generally fall into these categories:

• Sector Index vs. Components. Pursue spreading opportunities within a sector by trading individual sector index constituent stocks versus the sector future to create a market and sector neutral position. These relative value trades often have a low correlation to other directional equity strategies, and can help diversify portfolio risk while generating alpha.
• Sector vs. Sector. Enables you to pursue myriad long vs. short expressions through delta-neutral or beta-adjusted spreads — with specific margin offsets available depending on the sector pairing (available online at cmegroup.com/equities).
• Sector vs. Broad-based. Spread an individual sector versus a broad market index (such as the S&P 500) by using multi-legged futures.

Hedge unintended sector risk in stock-specific portfolios and/or to fine-tune a broad market hedging instrument such as S&P 500 futures on a tactical basis.

Employ to efficiently manage cash or gain cheap beta exposure for sector-specific strategies that experience periodic cash contributions and redemptions.

Funds managers may prefer to use E-mini S&P Select Sector futures versus alternatives, as futures do not have embedded annual investment management fees and settle to an actionable price of the index via the Special Opening Quotation.

The program features multiple market makers continuously posting two-sided markets on CME Globex during regular U.S. trading hours.

50 contract minimum

BTIC enables market participants to execute a transaction as a basis trade relative to the official close for the underlying S&P Select Sector Index.

BTIC blocks must be reported using a product's BTIC ticker via CME Direct or CME ClearPort.

EFPs allow for the exchange of a position in the underlying physical instrument (i.e., basket of stocks or ETF) for a corresponding futures position. This enables increased access to liquidity, added risk mitigation, convenience of private negation and reduced or eliminated basis exposure.

All times are listed in Central Time

¹Margin data as of July 20, 2021