This will be the fourth equity index product CME has listed in an "E-mini" version, beginning with E-mini S&P 500 futures in September 1997-now the exchange's second most actively traded futures product.
"CME and Standard & Poor's will enter the third decade of our relationship for trading equity index products in 2002 with a new product designed for today's customers," said Satish Nandapurkar, Managing Director, Products and Services at CME. "The ability to trade E-mini S&P MidCap 400 futures will provide individuals and smaller institutions access to an important portion of the U.S. equity market."
"Index futures have proved their worth as an investment management tool, especially in times of volatile market activity," said Robert Shakotko, Managing Director, Index Services, at Standard & Poor's. "We expect that the new E-mini MidCap contract will bolster the growing popularity of the S&P MidCap 400 index. Over the past five years, mid-caps have been the place for investors to be."
The S&P MidCap 400 index is a benchmark for middle capitalization stocks with market capitalization of between $1 billion and $5 billion, depending on market conditions. It is a market-value weighted index consisting of 400 domestic stocks chosen for appropriate market size, liquidity and industry group representation. S&P MidCap 400 index futures and options have traded on CME since 1992, with average daily volume of more than 1,400 contracts year-to-date through November representing more than $350 million turnover per day. At the end of November, the total market capitalization of the S&P MidCap 400 index was $816 billion, with component stocks having a median market capitalization of $1.7 billion.
Like CME's other E-mini index products, E-mini S&P MidCap 400 futures will be traded on CME's GLOBEX® electronic trading system and will be sized at one-fifth the standard-size version or $100 times the S&P MidCap 400 index price. The newest E-mini stock index contracts will also be "fungible" with the standard contracts in that positions in the smaller contract may be offset against an opposite equivalent dollar value of standard-size S&P MidCap 400 futures.
Two contract months will be listed in the March quarterly cycle, and trading hours will be 3:45 p.m. to 3:15 p.m. the following day, Monday through Friday, with trading opening at 5:30 p.m. on Sundays. The "tick" size or minimum price fluctuation will be 0.10 index points, equivalent to $10.00, or for calendar spreads, 0.05 index points, equivalent to $5.00.
CME has been a leader in stock index futures since it began offering the S&P 500 in 1982, and it currently offers the S&P 500, E-mini S&P 500, S&P/BARRA Growth, S&P/BARRA Value, S&P MidCap 400, Nasdaq -100, E-mini Nasdaq-100, Russell 2000, E-mini Russell 2000, FORTUNE e-50 and Nikkei 225 indexes. CME is the largest exchange in the world for trading stock index futures with approximately a 95 percent market share in all U.S. listed stock index futures and options on futures based on number of contracts traded. [Information on the S&P MidCap 400 index can be found at www.spglobal.com.]
Chicago Mercantile Exchange Inc. (www.cme.com) is an international marketplace that brings together buyers and sellers on its trading floors and GLOBEX® around-the-clock electronic trading system. CME offers futures contracts and options on futures primarily in four product areas: interest rates, stock indexes, foreign exchange and commodities. The exchange moves about $1.5 billion per day in settlement payments and manages $30.1 billion in collateral deposits. CME is a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc.
Standard & Poor's, a division of The McGraw-Hill Companies (NYSE:MHP), provides independent financial information, analytical services, and credit ratings to the world's financial markets. Among the company's many products are the S&P Global 1200, the first real-time, global equity index, the S&P 500, the premier U.S. portfolio index, and credit ratings on more than 220,000 securities and funds worldwide. With more than 5,000 employees located in 18 countries, Standard & Poor's is an integral part of the world's financial architecture. For more information, visit the Web site at standardandpoors.com.
