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About CME S&P 500/Citigroup Value Options
Contract Size
The size of the CME S&P 500/Citigroup Value options contract is one CME S&P 500/Citigroup Value futures contract. The contract moves in ticks of 0.10 index points, or $25 per contract. Strike prices are offered in 2.5 point intervals for the nearest two months and 5-point intervals for deferred months. CME S&P 500/Citigroup Value options expire on a quarterly basis and are listed two months out in the March quarterly cycle and two serial months. They are available electronically only, trading on the CME Globex® platform nearly around the clock, around the world. Underlying Index
The S&P 500/Citigroup Value Index was launched in 2005 to help address an investor need for exhaustive style indices that can effectively form the basis for index funds and derivatives, providing broad, cost-efficient exposure to a certain style segment. The S&P 500/Citigroup Value Index and its counterpart, the S&P 500/Citigroup Growth Index, represent roughly equal divisions of the market capitalization of the parent S&P 500 Index into growth and value indices, with a limited number of stocks overlapping between them. Together, the two indices together represent all stocks in the S&P 500 universe, and both follow a conventional, cost-efficient, market capitalization-weighting scheme. The stocks of the parent S&P 500 Index are evaluated on the basis of seven growth and value measures to determine which style-index each issue should fall into: | Growth Factors | Value Factors | 5-Year Earnings per Share Growth Rate
5-Year Sales per Share Growth Rate
5-Year Internal Growth Rate (IGR)
(IGR = ROE x Earnings Retention Rate)
| Book Value to Price Ratio
Cash Flow to Price Ratio
Sales to Price Ratio
Dividend Yield
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For more on these Indexes and their methodology, please visit the Standard & Poor’s Web site.
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