Changes to ES & MES Settlement Precision. - futures io
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Changes to ES & MES Settlement Precision.


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Changes to ES & MES Settlement Precision.

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 SMCJB 
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As you probably know CME is delisting the SP contract which is the S&P500 Floor Traded contract which is $250 x Index (vs $50 for ES and $5 for MES). The tick size of SP is 0.10 (vs 0.25 for ES) and hence SP (and also ES and MES) is settled in increments of 0.10 index points. With the delisting of SP, CME is changing the settlement increment precision for ES (and MES) from the current 0.1 to 0.25.

Full details of the SP delisting are here.
https://www.cmegroup.com/content/dam/cmegroup/notices/clearing/2021/08/Chadv21-274.pdf

The settlement relevant paragraph is

In connection with the conversion and delisting, CME will amend the daily settlement price rounding convention for the E-Mini Contracts as well as the Micro E-mini Standard and Poor’s 500 Stock Price Index Futures and Options on Micro E-mini Standard and Poor’s 500 Stock Price Index Futures (“Micro E-mini Contracts”). Operational requirements for offsetting E-Mini Contracts, Micro E-mini Contracts and StandardSize Contracts pursuant to CME Rule 855. (“Offsetting Positions for Different-Sized Contracts”) are such that the daily settlement price for each of these contracts is rounded to the nearest 0.10 index point increment for futures and 0.05/0.10 index points for options. These daily settlement increments are based on the minimum trading price increment for the Standard-Size Contract. After delisting the Standard-Size Contracts, that rounding convention will no longer be necessary. Rather, effective immediately upon completion of the conversion and delisting of the Standard-Size Contracts, CME will adjust the daily settlement price rounding increment for the E-Mini Contracts and the Micro E-mini Contracts to 0.25 for futures and 0.05/0.25 for options, which reflects those contracts’ minimum trading price increment. There is no impact to the final settlement value of the E-mini Contracts or Micro E-mini Contracts.

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Last Updated on August 6, 2021


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