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NEW CME S&P500 Equal Weight Futures Contract


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  #1 (permalink)
 
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 SMCJB 
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Coming Feb 26th E-mini S&P 500 Equal Weight futures

$20/point so notional value of about $125k versus ES notional of $245k, NQ notional of $345k and RTY of $100k
$10 tick.

https://www.cmegroup.com/markets/equities/sp/e-mini-sp-500-equal-weight.html
https://www.cmegroup.com/articles/faqs/faq-e-mini-sp-500-equal-weight-futures.html

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  #2 (permalink)
 
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 AnvilRob 
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I really like this. Hope the options get decent volume.

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  #3 (permalink)
 
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 DowDaddy 
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SMCJB View Post
Coming Feb 26th E-mini S&P 500 Equal Weight futures



$20/point so notional value of about $125k versus ES notional of $245k, NQ notional of $345k and RTY of $100k

$10 tick.



https://www.cmegroup.com/markets/equities/sp/e-mini-sp-500-equal-weight.html

https://www.cmegroup.com/articles/faqs/faq-e-mini-sp-500-equal-weight-futures.html

This is exciting

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  #4 (permalink)
 
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 SMCJB 
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These are live.
No trades yet (been live for about 18 hours). Bid Ask obviously 1 or more market makers currently 4 points/8 ticks wide.

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DowDaddy's Avatar
 DowDaddy 
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SMCJB View Post
These are live.

No trades yet (been live for about 18 hours). Bid Ask obviously 1 or more market makers currently 4 points/8 ticks wide.

Really hope these get popular

If you don't bet, you can't win.

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  #6 (permalink)
 johnnymustard 
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If I understand this correctly, wouldn't it basically function as an Advance/Decline Line when compared to ES?

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 josh 
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johnnymustard View Post
If I understand this correctly, wouldn't it basically function as an Advance/Decline Line when compared to ES?

No, but you have the right idea.

A cap-weighted index like SPX means that if AAPL moves up 3%, the bottom 14 companies could go to zero, poof, out of existence, and the index will be unchanged.

An equal weighted index means that each stock comprises the same percentage slice of the index value. Presumably for SPX this means each stock is weighted 100 percent / 500 stocks => 0.2% each. If AAPL is up 3% and WYNN (worth 300x less than AAPL) is down 3%, these two cancel each other out and the effect on the index is zero. However, if AAPL is up 0.1% and WYNN is down 3%, the index value will be lower.

An advance/decline is a binary up/down, so whether AAPL is up 0.1% or 5%, it just adds a "+1" to the advance/decline value. So, they're equally weighted, but *how much* they're up or down does not affect the advance/decline value, whereas the amount up or down does affect the value of an equal weighted index.

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 Adapter 
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SMCJB View Post
These are live.
No trades yet (been live for about 18 hours). Bid Ask obviously 1 or more market makers currently 4 points/8 ticks wide.

Looks like 6 contracts traded yesterday but the spread has gotten a bit worse!


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  #9 (permalink)
 
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 SMCJB 
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Looks like market makers are only there in regular trading hours.
At 1038 Eastern 2/28 bid ask is 2.5pts/5ticks and 2 lots have traded.

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 NeilVee 
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Is there a SPX equivalent for EWF? ES is to SPX as EWF is to ___?

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