E-Mini S&P, often abbreviated to "E-mini" (despite the existence of many other E-mini contracts) and designated by the commodity ticker symbol ES, is a stock market index futures contract traded on the Chicago Mercantile Exchange's Globex electronic trading platform. The notional value of one contract is 50 times the value of the S&P 500 stock index.
It was introduced by the CME 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 latter still uses the open outcry pit trading method, with its inherent delays, versus the all-electronic Globex system. 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.
Following the success of this product, the exchange introduced the E-mini NASDAQ-100 contract, at one fifth of the original NASDAQ-100 index based contract, and many other "mini" products geared primarily towards small speculators, as opposed to large hedgers.
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 SPDR exchange-traded fund. However, due to the different regulatory requirements, the performance bond (or "margin") 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.
The E-Mini contract trades 23 hours a day from 5:00pm – 4:15pm the next day (excluding the 3:15pm – 3:30pm maintenance shutdown), five days a week, on the March quarterly expiration cycle.
According to US government investigations the sale of 75,000 E-mini contracts by a single trader was the trigger to cause the 2010 Flash Crash. This claim was later refuted by the Chicago Mercantile Exchange.
- CME Group - daily trading volumes
- NYSE - total daily trading dollar volume
- NASDAQ total daily trading dollar volume
- Der Spiegel (October 1, 2010). "Einzelner Händler löste Wall-Street-Crash aus" (in German). Retrieved October 2, 2010.
- Report of the Staffs of the CFTC and SEC to the Joint Advisory Committee on Emerging Regulatory Issues, May 18, 2010
- Findings Regarding the Market Events of May 6, 2010 (September 30, 2010)
- CME Group Statement on the Joint CFTC/SEC Report Regarding the Events of May 6
- Leinweber, D. (2011), Journal of Portfolio Management, Spring, pp.1–2