Total Return Futures - Frequently Asked Questions

Effective for trade date December 3, 2018, and pending all regulatory review periods, CME will extend the listing cycle for S&P 500 Total Return Index futures and introduce total return futures for the other major U.S. index products as shown in the table below.

*March Quarterly Cycle (Mar, Jun, Sep, Dec)
**Annual expirations refer to December 3^rd Friday expirations

*March Quarterly Cycle (Mar, Jun, Sep, Dec)
**Annual expirations refer to December 3rd Friday expirations

View the full contract specifications here.

The March 2019 contract will be the first expiration listed for the new Total Return futures (Nasdaq, Russell 1000, Russell 2000, Dow). Effective December 3, the following expirations will be listed and available to trade:

March 2019
June 2019
Sep 2019
Dec 2019
March 2020

Total Return futures can be traded as Basis Trade at Index Close (BTIC) contracts on CME Globex as well as via block trades on CME ClearPort. Please note, as is the case with current S&P 500 Total Return futures, the outright futures are not eligible for trading.

Additionally, starting December 3 for S&P 500 Total Return futures, participants can execute BTIC spread trades between two expirations on CME Globex and CME Direct.

The final settlement value for the expiring contract will be equal to the  Special Opening Quotation (SOQ) for the corresponding total return index as determined on the third Friday of the contract expiration month.

Yes, spreads will be listed for S&P 500 Total Return Index futures. More specifically, CME will list all combinations of intracommodity BTIC spreads on CME Globex at a given time. BTIC spreads can also be executed as blocks through CME Direct.

Yes, a new CME fee schedule for the longer-dated maturities will be introduced to accompany the extended listing cycle of S&P 500 Total Return Futures. Effective December 3, 2018, CME will introduce differentiated transaction fees based on the remaining time to expiration for the contract traded. There will be three fee buckets based on the difference (in months) between trade date and contract’s expiration date.  Please note there are no changes to current fees for trading those contracts that are in the first bucket with less than 24 months to expiration. Please also note that Dow Total Return Futures will be charged according to the CBOT fee schedule.

Example: On trade date December 3, 2018, the S&P 500 Total Return futures expirations would fall into the following fee buckets:

Trade date December 3, 2018

No, fees for a given contract will not change intramonth. Because the time to expiration is based on the difference, in months, between trade date and contract expiration date, fees may only change on the first of the month.

Example: After the December 2018 contract expires, there are no changes other than the listing of the March 2022 contract; all other contracts remain in the same fee bucket until the next month.

Trade date December 24, 2018

The initial margin estimate for S&P 500 Total Return Index futures contract is approximately $4,500 (~3.2% of the contract notional value). Below are the initial margin estimates as of November 9, 2018. Please note margin estimates are subject to change.

• S&P 500 Total Return Index Futures: $4,500 (~3.2% of the contract notional value)
• Nasdaq 100 Total Return Index Futures - $4,800 (~6.0% of the contract notional value)
• Russell 1000 Total Return Index Futures - $4,100 (~4.7% of the contract notional value)
• Russell 2000 Total Return Index Futures - $4,150 (~5.4% of the contract notional value)

Margins and margin credits are based on current market conditions and, thus, are subject to change. Below are the margin credits estimates as of November 9, 2018.

• S&P 500 Total Return versus E-mini S&P 500 offset at a 1:1 ratio: 85% credit
• S&P 500 Total Return versus E-mini Dow Jones offset at a 1:1 ratio: 80% credit
• S&P 500 Total Return versus E-mini Nasdaq-100 offset at a 1:1 ratio: 75% credit
• S&P 500 Total Return versus E-mini Russell 2000 offset at a 2:3 ratio: 75% credit
• S&P 500 Total Return versus E-mini Russell 1000 offset at a 1:2 ratio: 80% credit

• Nasdaq-100 Total Return versus E-mini S&P 500 offset at a 2:1 ratio: 75% credit
• Nasdaq-100 Total Return versus E-mini Dow Jones offset at a 3:2 ratio: 60% credit
• Nasdaq-100 Total Return versus E-mini Nasdaq-100 offset at a 2:1 ratio: 80% credit
• Nasdaq-100 Total Return versus E-mini Russell 2000 offset at a 1:1 ratio: 70% credit
• Nasdaq-100 Total Return versus E-mini Russell 1000 offset at a 1:1 ratio: 80% credit

• Russell 1000 Total Return versus E-mini S&P 500 offset at a 3:2 ratio: 80% credit
• Russell 1000 Total Return versus E-mini Dow Jones offset at a 3:2 ratio: 80% credit
• Russell 1000 Total Return versus E-mini Nasdaq-100 offset at a 3:2 ratio: 75% credit
• Russell 1000 Total Return versus E-mini Russell 2000 offset at a 1:1 ratio: 75% credit
• Russell 1000 Total Return versus E-mini Russell 1000 offset at a 1:1 ratio: 85% credit

• Russell 2000 Total Return versus E-mini S&P 500 offset at a 2:1 ratio: 80% credit
• Russell 2000 Total Return versus E-mini Dow Jones offset at a 3:2 ratio: 70% credit
• Russell 2000 Total Return versus E-mini Nasdaq-100 offset at a 2:1 ratio: 70% credit
• Russell 2000 Total Return versus E-mini Russell 2000 offset at a 1:1 ratio: 85% credit
• Russell 2000 Total Return versus E-mini Russell 1000 offset at a 1:1 ratio: 75% credit

• Dow Jones Total Return versus E-mini S&P 500 offset at a 1:1 ratio: 80% credit
• Dow Jones Total Return versus E-mini Dow Jones offset at a 1:1 ratio: 85% credit
• Dow Jones Total Return versus E-mini Nasdaq-100 offset at a 1:1 ratio: 60% credit
• Dow Jones Total Return versus E-mini Russell 2000 offset at a 1:1 ratio: 70% credit
• Dow Jones Total Return versus E-mini Russell 1000 offset at a 1:1 ratio: 80% credit

Margins FAQ
SPAN Methodology