From the March 2014 issue of Futures Magazine • Subscribe!

Pricing E-mini and ETF opportunity

Four stock indexes — the S&P 500, Nasdaq 100, Dow 30 and Russell 2000 — each have futures and options that have the trading advantage of being valued according to the same underlying index. The S&P 500 has the SPDR E-mini S&P 500 futures and SPY exchange-traded fund (ETF). The Nasdaq 100 has the E-mini Nasdaq 100 futures and QQQ ETF. The Dow Jones Industrial Average has the mini-sized Dow 30 futures and DIA ETF. The Russell 2000 has E-mini Russell 2000 futures and IWM ETF.

Each of the four futures contracts has an exchange symbol and a multiple number of dollars per option point. In a separate valuation mode, ETFs are priced as shares in funds that are based on the indexes. ETF share prices are more akin to common stock prices and are traded easily on various stock exchanges. They are as follows:

  • E-mini S&P 500 (ES): $50 per option point
  • E-mini Nasdaq 100 (NQ): $20 per option point
  • Dow 30 mini (YM): $5 per option point
  • E-mini Russell 2000 (TF): $100 per option point

The stock indexes corresponding to the E-minis are SPX, NDX, DJIA and RUT. SPY is one-tenth the size of SPX. QQQ is one-fortieth the size of NDX. DIA is one-hundredth the size of DJIA. IWM is one-tenth the size of RUT. 

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