FAQ: E-mini S&P 500 ESG futures

S&P 500 ESG Index is a stock index constructed from the constituents of the S&P 500 index with a set of filters that governs the eligibility based on the companies’ adherence to the Environmental, Social and Governance (ESG) standards.

As of each index rebalancing reference date, the constituents of the S&P 500 index are filtered for materially participating in certain industries (e.g. tobacco, controversial weapons) and for possessing a low score in United Nations Global Compact (UNGC).  Further, companies with an S&P DJI ESG Score that falls within the lowest 25% of ESG scores from each GICS Industry Group are also excluded. 

For a full discussion of the stock eligibility and index methodology, please visit the S&P 500 ESG Index page at https://www.spglobal.com/spdji/en/indices/esg/sp-500-esg-index.

Back to Top

No, there are not 500 stocks in the index. The index excludes companies with exposure to key negative ESG activities: Tobacco, Controversial Weapons, and a low UN Global Compact score. The goal of the index is to target 75% of the market capitalization (within each GICS Industry Group of the S&P 500 using the S&P DJI ESG score as the defining characteristic.

As of April 30, 2019, the number of constituents in the index is 316.

Back to Top

Between May 31, 2014 and May 31, 2019, the tracking error between S&P 500 and S&P 500 ESG was 0.74%. 

Back to Top

Environmental, Social and Governance (ESG) is a trend that has been gaining increased implementation in the investment arena. This index is based on the traditional S&P 500 index but filters out non-compliant ESG components.

Back to Top

E-mini S&P 500 ESG 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:

Back to Top

Back to Top

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

Back to Top

Please find more information on daily settlement here.

Back to Top

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.

Back to Top

Yes. They will be subject to a 250 minimum block and BTIC block threshold.

Back to Top

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

Back to Top

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

Back to Top

Margins are based on current market conditions and, thus, are subject to change. Below are the margin estimates as of October 1, 2019.

• Indicative Maintenance Margin: $2,600

Back to Top

Margin credits are based on current market conditions and, thus, are subject to change. Below are the margin credits estimates as of October 1, 2019.

• E-Mini S&P 500 ESG versus E-mini S&P 500 – 87%
• E-Mini S&P 500 ESG versus E-mini Nasdaq 100 – 75%
• E-Mini S&P 500 ESG versus E-mini Dow Jones – 85%
• E-Mini S&P 500 ESG versus E-mini Russell 2000 – 80%
• E-Mini S&P 500 ESG versus Nikkei – 80%

Learn More about Margins:

• Margins FAQ
• SPAN Methodology

Back to Top

CME Group plans to introduce a market maker program to assure continuous two-sided markets are quoted on-screen throughout the trading day beginning November 18, 2019.

Back to Top

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

Back to Top

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

Learn more about connecting to CME Globex

Back to Top

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 ESG contracts 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 – 3:00 p.m. CT. Mondays through Fridays. This only applies to the downside.
• 5% 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 5% price limit will not be allowed to breech the 20% daily limit.

Learn more about connecting to Price Limits

Back to Top

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

Back to Top