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E-mini S&P
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<h2 id="history-and-structure">History and structure</h2> <p>The contract was introduced by the <a href="/facts/Chicago_Mercantile_Exchange/D9Ab7tS0">CME</a> on September 9, 1997, after the value of the existing S&P contract (then valued at 500 times the index, or over $500,000 at the time) became too large for many small traders. The E-mini quickly became the most popular equity index futures contract in the world. The original ("big") S&P contract was subsequently split 2:1, bringing it to 250 times the index. Hedge funds often prefer trading the E-mini over the big S&P since the older ("big") contract still uses the <a href="/facts/Open_outcry/sy1GnhuC">open outcry</a> pit trading method, with its inherent delays, versus the all-electronic <a href="/facts/Globex/D9Ab7tS0">Globex</a> system for the E-mini. The current average daily implied volume for the E-mini is over $100 billion, far exceeding the combined traded dollar volume of the underlying 500 stocks.<a class="footnote-ref" id="fnref:1" href="#fn:1"><sup>1</sup></a><a class="footnote-ref" id="fnref:2" href="#fn:2"><sup>2</sup></a><a class="footnote-ref" id="fnref:3" href="#fn:3"><sup>3</sup></a> </p><p>Following the success of this product, the exchange introduced the E-mini NASDAQ-100 contract, at one fifth of the original <a href="/facts/NASDAQ-100/KcosLVyw">NASDAQ-100</a> index-based contract, and many other "mini" products geared primarily towards small speculators, as opposed to large hedgers. </p><p>In June 2005 the exchange introduced a yet smaller product based on the S&P, with the underlying asset being 100 shares of the highly-popular <a href="/facts/Standard_%2526_Poor%2527s_Depositary_Receipts/CUjq0IyU">SPDR</a> <a href="/facts/Exchange-traded_fund/ShD4RpcJ">exchange-traded fund</a>. However, due to the different regulatory requirements, the <a href="/facts/Performance_bond/wKrvldbr">performance bond</a> (or "<a href="/facts/Margin_(finance)/jU0tGBWE">margin</a>") required for one such contract is almost as high as that for the five times larger E-mini contract. The product never became popular, with volumes rarely exceeding 10 contracts a day. </p><p>The E-mini contract trades from Sunday to Friday 5:00pm – 4:00pm (Chicago Time/<a href="/facts/Central_Time_Zone/5UBgAgqS">CT</a>) with a 15-minute trading halt from 3:15pm to 3:30pm CT. From 4:00pm to 5:00pm is a daily maintenance period. </p> <h2 id="outsized-trades">Outsized trades</h2> <p>According to US government investigations, the sale of 75,000 E-mini contracts by a single trader was the trigger to cause the <a href="/facts/2010_Flash_Crash/CCTKcTsb">2010 Flash Crash</a>.<a class="footnote-ref" id="fnref:4" href="#fn:4"><sup>4</sup></a><a class="footnote-ref" id="fnref:5" href="#fn:5"><sup>5</sup></a><a class="footnote-ref" id="fnref:6" href="#fn:6"><sup>6</sup></a> According to the <a href="/facts/Securities_and_Exchange_Commission/IM9Pl2gK">SEC</a>/<a href="/facts/Commodity_Futures_Trading_Commission/CkMVRt4h">CFTC</a> report, the firm "accidentally instructed its trading program to dump them all in a series of sell orders over 20 minutes, rather than spreading the sell orders out over a much longer time period".<a class="footnote-ref" id="fnref:7" href="#fn:7"><sup>7</sup></a> This claim was later addressed by the Chicago Mercantile Exchange, not mentioning any "accident" and implying the program was a methodical hedge whose execution generated "less than 9% of the volume during the" twenty minutes.<a class="footnote-ref" id="fnref:8" href="#fn:8"><sup>8</sup></a><a class="footnote-ref" id="fnref:9" href="#fn:9"><sup>9</sup></a> </p><p>On December 7, 2016, multiple buyers purchased around 16,000 E-mini S&P 500, in what was described as a series of stop orders triggered by a single contract trading at 2225.00.<a class="footnote-ref" id="fnref:10" href="#fn:10"><sup>10</sup></a> The contracts traded as stops, traded "all ... at the same nanosecond", were valued at $1.8 billion. The sequence of trades at new highs was prelude to a sharp market rally for the balance of the day and the two succeeding days. It was the biggest E-mini trade by more than a factor of two in 2016 and attracted comparison to the 2010 flash-crash trade.<a class="footnote-ref" id="fnref:11" href="#fn:11"><sup>11</sup></a> </p> <h2 id="see-also">See also</h2> <ul><li><a href="/facts/E-mini/Rldm5gbs">E-mini</a></li> <li><a href="/facts/NASDAQ_futures/m3zhwnvw">NASDAQ futures</a></li> <li><a href="/facts/Futures_contract/4SD3dKty">Futures contract</a></li> <li><a href="/facts/Performance_bond/wKrvldbr">Performance bond</a></li></ul> <h2 id="external-links">External links</h2> <ul><li><a href="http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_contract_specifications.html">E-mini S&P 500 Futures: CME description</a></li> <li><a href="http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500.html">Quotes, E-mini S&P 500 Futures, CME</a></li></ul> <h2 id="references">References</h2> <ol> <li id="fn:1"><p>CME Group - daily trading volumes, cmegroup.com. <a href="http://www.cmegroup.com/market-data/volume-open-interest/equity-volume.html" target="_blank">http://www.cmegroup.com/market-data/volume-open-interest/equity-volume.html</a> <a href="#fnref:1" class="footnote-back-ref">↩</a></p></li> <li id="fn:2"><p>NYSE - total daily trading dollar volume, nyxdata.com. <a href="http://www.nyxdata.com/nysedata/asp/factbook/viewer_edition.asp?mode=table&key=3141&category=3" target="_blank">http://www.nyxdata.com/nysedata/asp/factbook/viewer_edition.asp?mode=table&key=3141&category=3</a> <a href="#fnref:2" class="footnote-back-ref">↩</a></p></li> <li id="fn:3"><p>NASDAQ total daily trading dollar volume, nasdaqtrader.com. <a href="https://www.nasdaqtrader.com/Trader.aspx?id=DailyMarketSummary" target="_blank">https://www.nasdaqtrader.com/Trader.aspx?id=DailyMarketSummary</a> <a href="#fnref:3" class="footnote-back-ref">↩</a></p></li> <li id="fn:4"><p>Der Spiegel (October 1, 2010). "Einzelner Händler löste Wall-Street-Crash aus" (in German). Retrieved October 2, 2010. <a href="/wiki/Der_Spiegel" target="_blank">/wiki/Der_Spiegel</a> <a href="#fnref:4" class="footnote-back-ref">↩</a></p></li> <li id="fn:5"><p>Report of the Staffs of the CFTC and SEC to the Joint Advisory Committee on Emerging Regulatory Issues sec.gov, May 18, 2010. <a href="https://www.sec.gov/sec-cftc-prelimreport.pdf" target="_blank">https://www.sec.gov/sec-cftc-prelimreport.pdf</a> <a href="#fnref:5" class="footnote-back-ref">↩</a></p></li> <li id="fn:6"><p>Findings Regarding the Market Events of May 6, 2010, sec.gov, September 30, 2010. <a href="https://www.sec.gov/news/studies/2010/marketevents-report.pdf" target="_blank">https://www.sec.gov/news/studies/2010/marketevents-report.pdf</a> <a href="#fnref:6" class="footnote-back-ref">↩</a></p></li> <li id="fn:7"><p>Osipovich, Alexander, "How the Biggest E-mini Futures Trade of 2016 Sent the Market Soaring" (subscription), The Wall Street Journal, December 12, 2016. Retrieved 2016-12-12. <a href="https://www.wsj.com/articles/unraveling-the-mystery-of-last-weeks-massive-e-mini-futures-trade-1481560990" target="_blank">https://www.wsj.com/articles/unraveling-the-mystery-of-last-weeks-massive-e-mini-futures-trade-1481560990</a> <a href="#fnref:7" class="footnote-back-ref">↩</a></p></li> <li id="fn:8"><p>CME Group Statement on the Joint CFTC/SEC Report Regarding the Events of May 6, cmegroup.com, October 1, 2010. <a href="http://investor.cmegroup.com/investor-relations/releasedetail.cfm?ReleaseID=513388" target="_blank">http://investor.cmegroup.com/investor-relations/releasedetail.cfm?ReleaseID=513388</a> <a href="#fnref:8" class="footnote-back-ref">↩</a></p></li> <li id="fn:9"><p>Leinweber, D. (2011), Journal of Portfolio Management, Spring, pp.1–2 <a href="/wiki/Journal_of_Portfolio_Management" target="_blank">/wiki/Journal_of_Portfolio_Management</a> <a href="#fnref:9" class="footnote-back-ref">↩</a></p></li> <li id="fn:10"><p>The Wall Street Journal (December 27, 2016). "Multiple Buyers, Not One, Influenced Most Active E-mini Move of 2016". <a href="/wiki/The_Wall_Street_Journal" target="_blank">/wiki/The_Wall_Street_Journal</a> <a href="#fnref:10" class="footnote-back-ref">↩</a></p></li> <li id="fn:11"><p>Osipovich, Alexander, "How the Biggest E-mini Futures Trade of 2016 Sent the Market Soaring" (subscription), The Wall Street Journal, December 12, 2016. Retrieved 2016-12-12. <a href="https://www.wsj.com/articles/unraveling-the-mystery-of-last-weeks-massive-e-mini-futures-trade-1481560990" target="_blank">https://www.wsj.com/articles/unraveling-the-mystery-of-last-weeks-massive-e-mini-futures-trade-1481560990</a> <a href="#fnref:11" class="footnote-back-ref">↩</a></p></li> </ol>