Using information from the CME Group website, determine the tick size, dollar ti
ID: 2801893 • Letter: U
Question
Using information from the CME Group website, determine the tick size, dollar tick value, and point value for the following contracts (note: be able to show your work in determining these values):
E-mini S&P 500 (/ES), Big S&P 500 (/SP), E-mini Dow (aka $5 Dow) (/YM), E-mini Nasdaq 100 (/NQ)
Wheat (/ZW)
2-year T-Note (/ZT), 10-year T-Note (/ZN)
Look up the initial margin and the maintenance margin for the several of the contracts listed in Q#1 and determine the margin account values (for both long and short positions) if the price moves up 3 ticks.
For the contracts you observed in Q#2, determine the number of ticks movement from the initial margin to the maintenance margin (i.e., how many ticks must the contract go against you for a margin call?). What price for the futures contract will trigger a margin call for the long position? For the short position?
Suppose a contract for the E-mini S&P 500 moves 50 ticks up from its initial price. Who receives the margin call, the long or the short? What is their resulting margin balance and the corresponding variance margin?
Notes:
The margin for the short would move down to $4,325, triggering a margin call with a corresponding variance margin of $625.
You can create this problem for any of the above contracts by picking a number of ticks that is larger than the # of ticks to margin call. Upticks result in margin calls for the short, downticks result in margin calls for the long.
CME Group Month Codes
Month
Code
Month
Code
January
F
July
N
February
G
August
Q
March
H
September
U
April
J
October
V
May
K
November
X
June
M
December
Z
Month
Code
Month
Code
January
F
July
N
February
G
August
Q
March
H
September
U
April
J
October
V
May
K
November
X
June
M
December
Z
Explanation / Answer
1. Every market has a minimum price fluctuation, called a tick. A tick is the least price movement the underlying asset can make. Each tick of movement is worth a specific amount of money depending on the asset being traded. This is called the tick value. Tick size is basically the minimum amount or minimum price that the futures contract will change.
The tick size of the futures trading exchanges is as follows:
The S&P 500 E-mini (ES) futures contract has a tick size of 0.25, so it will move up or down in 0.25 increments.
The Big S&P 500(SP) futures contract has a tick size of 0.10.
E-mini Dow (aka $5 Dow) (/YM)- tick size of 1.
E-mini Nasdaq 100 (/NQ)- tick size of 0.25.
Since the price quotation of a commodity differs from that of exchange, the tick size of Wheat (/ZW) is 1/4 of one cent per bushel
2-year T-Note (/ZT)- tick size of One-quarter of one thirty-second (1/32) of one point,including intermonth spreads
10-year T-Note (/ZN)- tick size of One-half of one thirty-second (1/32) of one point ($15.625, rounded to the nearest cent per contract), except for intermonth spreads.
The dollar tick value specifies that for change in onetick size, how much profit or loss can the futures investor make in his transaction.
The dollar tick value of different futures exchanges areas follows:
E-mini S&P 500 (/ES)- dollar tick value of $12.50 per contract. For each 0.25 (one tick) of movement, your profit or loss will fluctuate by $12.50, per contract.
Big S&P 500 (/SP)- dollar tick value of $ 25 per contract
E-mini Dow (aka $5 Dow) (/YM)- dollar tick value of $ 5 per contract
E-mini Nasdaq 100 (/NQ)- dollar tick value of $ 5 per contract
Wheat (/ZW)- dollar tick value of $ 12.50 per contract
2-year T-Note (/ZT) - dollar tick value of $15.625 per contract
10-year T-Note (/ZN)- dollar tick value of $ 7.8125 per contract
A point is composed of ticks, which are the price movements that occur on the right side of the decimal when looking at the price of a futures contract.
Point values of trading exchanges
E-mini S&P 500 (/ES) - $50
Maintenance margins for each futures exchanges:
E-mini S&P 500 (/ES) - $ 4500
Big S&P 500 (/SP)- $ 22,500
E-mini Dow (aka $5 Dow) (/YM)- $3,350
E-mini Nasdaq 100 (/NQ)- $4500
Wheat (/ZW)- $ 950
2-year T-Note (/ZT)- 2017: $380, 2018- $430
10-year T-Note (/ZN)- $1050
Initial margins:
E-mini S&P 500 (/ES) - $ 4500
Big S&P 500 (/SP)- $ 22,500
E-mini Dow (aka $5 Dow) (/YM)- $6500
E-mini Nasdaq 100 (/NQ)- $2750
Wheat (/ZW)- $ 2500
2-year T-Note (/ZT)- 2017: $810
10-year T-Note (/ZN)- $1,890
Related Questions
drjack9650@gmail.com
Navigate
Integrity-first tutoring: explanations and feedback only — we do not complete graded work. Learn more.