The table below lists the technical specifications for the four futures contracts our algorithms trade. A few terms to know before you read it:
Contract Size is the dollar value of one point of index movement. A $5 multiplier means each 1-point move in the S&P 500 is worth $5 on a Micro contract, versus $50 on a standard E-mini.
Minimum Price Fluctuation (also called a “tick”) is the smallest amount the price can move. For these contracts, that is 0.25 index points.
The standard E-minis (ES, NQ) and the Micro E-minis (MES, MNQ) track the same indices using the same trading logic. The Micros are simply 1/10 the size of their standard counterparts, which is why they require less capital per unit.
All times of day referenced here and elsewhere in this document are Chicago time.
| Micro E-mini S&P 500 | Micro E-mini Nasdaq-100 | E-mini S&P 500 | E-mini Nasdaq-100 | |||||||||
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| Contract Size | $5 x S&P 500 Index | $2 x Nasdaq-100 Index | $50 x S&P 500 Index | $20 x Nasdaq-100 Index | ||||||||
| Trading and Clearing Hours | CME Globex and ClearPort: 5:00 p.m. to 4:00 p.m., Sunday-Friday, with trading halt from 3:15 p.m. to 3:30 p.m., Monday-Friday. | |||||||||||
| Minimum Price Fluctuation Prices are quoted and traded in Index points. |
Outright: 0.25 Index points, equal to $1.25 per contract.
Calendar spread: 0.05 Index points, equal to $0.25 per calendar spread. |
Outright: 0.25 Index points, equal to $0.50 per contract.
Calendar spread: 0.05 Index points, equal to $0.10 per calendar spread. |
Outright: 0.25 Index points, equal to $12.50 per contract.
Calendar spread: 0.05 Index points, equal to $2.50 per calendar spread. |
Outright: 0.25 Index points, equal to $5.00 per contract.
Calendar spread: 0.05 Index points, equal to $1.00 per calendar spread. |
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| Product Code | Globex: MES ClearPort: MES Clearing: MES |
Globex: MNQ ClearPort: MNQ Clearing: MNQ |
Globex: ES ClearPort: ES Clearing: ES |
Globex: NQ ClearPort: NQ Clearing: NQ |
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| Contract Months | Five months in the March Quarterly Cycle (March, June, September, December) | |||||||||||
| Delivery | Delivery is by cash settlement by reference to Final Settlement Price, equal to Special Opening Quotation of Index based on opening prices of Index component stocks. | |||||||||||
| Termination of Trading | Last Day of Trading is 3rd Friday of contract delivery month. Trading in expiring futures terminates at 8:30 a.m. CT on Last Day of Trading. |
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| Price Limits | For each Futures Product for a given delivery month – Price limits for a given Business Day are set by reference to Fixing Price made by Exchange on previous Business Day, equal to volume weighted average price calculated on basis of futures trading activity between 2:59:30 p.m. and 3:00:00 p.m. CT.
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| Exchange Rule | These contracts are listed with and subject to the rules and regulations of CME. | |||||||||||
