Canonical contract mechanics · CME ES and MES
ES/MES Tick Size, Tick Value, Hours, Expiry & Margin
ES: $50 × 0.25 = $12.50. MES: $5 × 0.25 = $1.25. Those are the current CME outright tick calculations. The multiplier, dated contract, session, settlement boundary and live margin record must all agree before an order is authorized.
- ES multiplier
- $50 per point
- ES tick
- $12.50
- MES multiplier
- $5 per point
- MES tick
- $1.25
The exchange record controls
ES and MES Specifications Reconciled
CME Rulebook Chapters 358 and 353 control the E-mini and Micro E-mini S&P 500 contracts. Both reference the S&P 500 Index and move on the same 0.25-point outright ladder, but MES carries one-tenth of the ES dollar exposure.
| Field | ES | MES | Operational meaning |
|---|---|---|---|
| CME Globex code | ES | MES | Add the month code and year; a continuous-chart alias is not an orderable expiry |
| Contract multiplier | $50 × S&P 500 Index | $5 × S&P 500 Index | Multiply the index-point move by the multiplier and whole contracts |
| Outright minimum increment | 0.25 point = $12.50 | 0.25 point = $1.25 | Stops, targets and limit prices must land on the valid outright ladder |
| Intermonth spread increment | 0.05 point = $2.50 | 0.05 point = $0.25 | The finer spread increment does not permit a 0.05-point outright order |
| Expiration cycle | Quarterly March cycle: March, June, September and December | Confirm the currently listed month and year in the live security definition | |
| Current listed futures (reviewed August 28, 2026) | 21 consecutive March/June/September/December quarterly contracts | 5 consecutive March/June/September/December quarterly contracts | Exchange-determined listings can change; verify the live product specification and security definition |
| Final delivery | Cash settlement | No shares are delivered; an open expiring position is financially settled under the rulebook | |
| Final value | Special Opening Quotation of the S&P 500 | The SOQ uses component opening prices and can differ from the first displayed cash-index value | |
ES and MES calendar spreads may trade in 0.05-point increments under the rulebook. A standard outright futures order still uses 0.25. Verify the instrument type, route and security definition.
Reconcile points and ticks
Two P&L Methods Must Produce the Same Answer
Gross P&L excludes commissions, exchange and clearing fees, bid-ask spread, slippage, data charges, roll cost and liquidation effects.
(exit − entry) × contract multiplier × contracts=long gross P&Lprice change ÷ 0.25 × tick value × contracts=the same gross P&L| Index move | Ticks | One ES | One MES | Four MES |
|---|---|---|---|---|
| 0.25 point | 1 | $12.50 | $1.25 | $5.00 |
| 1.00 point | 4 | $50.00 | $5.00 | $20.00 |
| 7.25 points | 29 | $362.50 | $36.25 | $145.00 |
| 20.00 points | 80 | $1,000.00 | $100.00 | $400.00 |
Worked long example
Buy one ES at 6,420.25 and sell at 6,427.50. The 7.25-point move equals 29 ticks. Point method: 7.25 × $50 = $362.50 gross. Tick method: 29 × $12.50 = the same $362.50. One MES over the identical path is $36.25 gross.
- Entry
- 6,420.25
- Exit
- 6,427.50
- Move
- 29 ticks
- One ES
- $362.50
Sign check: reverse the subtraction for a short. Then compare platform-reported realized P&L with fills and fees rather than assuming the planned entry and exit were achieved.
Open does not mean liquid
The Standard Globex Session Has a Daily Boundary
CME publishes U.S. equity-index futures hours as Sunday through Friday, 5:00 p.m. to 4:00 p.m. Central Time, with a trading halt from 4:00 p.m. to 5:00 p.m. CT. Holiday schedules, exchange notices, price limits, regulatory halts and broker restrictions can shorten or interrupt that availability.
- Use Central Time.Store the exchange timestamp and convert with timezone-aware software; daylight-saving changes can shift a local-clock routine.
- Check the trade date.The evening session belongs to the next CME trade date. Calendar date and trade date are not interchangeable in a journal.
- Resolve the halt.Do not submit into the 4:00–5:00 p.m. CT daily boundary or assume queued orders will behave as a strategy expects.
- Check the holiday bulletin.Normal hours are not proof of a particular holiday session.
- Gate market quality.Measure spread, depth and intended quantity. A valid session can still be unsuitable for the order.
Session fact
Nearly 23 hours is access
It permits response outside the U.S. cash session. It does not promise identical liquidity, volatility or fill quality across the day.
Order fact
Platform state is separate
Connection, market-data entitlement, exchange status, account permission and working-order state each require their own check.
A cash contract still expires
Quarterly Termination Is Tied to the Cash-Market Open
Under Chapter 358, expiring ES trading terminates at the regularly scheduled start of NYSE trading on the business day used for the final settlement price. Under Chapter 353, expiring MES cannot trade after the primary listing exchange opens on that determination day. In the normal calendar, that is 8:30 a.m. CT / 9:30 a.m. ET on the third Friday of March, June, September or December.
The chapters' unscheduled Market Holiday provisions move termination to the immediately preceding business day's NYSE close and substitute that day's Official Index Closing Value. For MES component openings, Chapter 353 sends a component whose primary listing exchange is closed to its next opening and, if it does not trade, uses the last sale subject to Exchange discretion. Recheck the current CME settlement procedure rather than assuming the normal Friday path.
Last ordinary session
Record the exact dated symbol, current holiday calendar and broker cutoff.
Termination
The expiring contract stops at the prescribed cash-market opening boundary.
SOQ calculation
S&P component opening prices feed a Special Opening Quotation; not every stock opens at the same instant.
Cash settlement
Open positions settle financially through variation-margin procedures.
The expiring futures price can differ from the SOQ, and the SOQ can differ from the first continuously displayed S&P 500 value. A broker may require positions closed earlier than CME termination.
Convention is not compulsion
Roll When the Dated Position and Liquidity Plan Require It
CME identifies the customary U.S. equity-index roll date as the Monday before the third Friday of the quarterly expiration month. That convention does not automatically move a position or cancel an order, and it does not require every participant to switch on Monday. Volume and depth migrate between two simultaneously tradable expiries.
Calendar
Compute the boundary
Identify the third-Friday expiry, CME customary roll Monday, holiday exceptions and the broker's earlier cutoff.
Market
Measure both books
Compare spread, depth, traded volume and open interest in the expiring and next quarterly contracts.
Operations
Move orders explicitly
Cancel or replace working orders by dated symbol and verify the expiring position is actually flat.
The two contracts normally trade at different prices because financing, expected dividends and time to settlement enter the futures basis. A chart back-adjustment can make history visually continuous, but it does not erase the cash flow, spread or slippage of a real roll.
Collateral is not a stop
Separate Exchange Margin, Broker Rules and Maximum Loss
CME describes performance bond as collateral that supports obligations; requirements vary with product and market volatility. A clearing firm or retail broker can require more, set a separate intraday rate, withdraw intraday treatment near events or the close, add concentration charges, and liquidate under its agreement. None of those figures limits market loss.
| Layer | Question it answers | What it does not answer |
|---|---|---|
| CME performance bond | What clearing collateral applies to the portfolio under the current margin framework? | Maximum trade loss or personalized safe size |
| Broker initial/overnight | What does this broker require to open or carry the position? | Guaranteed access through stress or a fixed future rate |
| Broker day margin | What reduced intraday collateral may apply under stated hours and conditions? | A loss cap, stop distance or permission to hold beyond the window |
| Variation and cash | Can the account meet debits, calls, fees and adverse marks? | The final size if the planned risk budget is smaller |
| Maximum loss | Path-dependent loss from price, gap, execution, quantity, fees and liquidation | Any published margin number |
authorized contracts = min(risk-budget size, portfolio cap, live margin capacity)andunknown gate = zeroNever hard-code today's margin as a timeless contract specification. Timestamp the CME record, broker schedule, account type, session treatment and any event or concentration add-on at the decision time. Then size from loss tolerance separately.
Fail closed
Authorize the Order Only When Every Field Passes
- Identity: ES or MES, exact month code, year, venue and account permission.
- Price ladder: 0.25-point outright increment; no spread-only tick copied into an outright order.
- Dollar math: ES $50 per point / $12.50 per tick; MES $5 per point / $1.25 per tick.
- Session: current CME status, holiday schedule, price-limit state and broker window checked.
- Liquidity: current spread, depth and executable quantity satisfy written limits.
- Risk: invalidation, stop path, slippage, fees, event gap and portfolio stress fit the budget.
- Lifecycle: roll date, termination date, broker cutoff and open-order migration are recorded.
- Margin: timestamped CME and broker requirements plus cash buffer pass independently.
Order-state output
A missing required field means no order
Do not substitute a continuous symbol, yesterday's margin, a chart line or an assumed broker rule for a live authoritative value. Wait, investigate or return zero contracts.
Sources, methods and editorial disclosure — reviewed August 28, 2026
- CME Rulebook Chapter 358: E-mini S&P 500 Futures for the ES multiplier, outright and spread increments, trading termination and cash settlement.
- CME Rulebook Chapter 353: Micro E-mini S&P 500 Futures for the MES multiplier, increments, trading termination and cash settlement.
- CME E-mini S&P 500 specifications for the current ES listing schedule and product context.
- CME Micro E-mini S&P 500 specifications for the current MES listing schedule and product context.
- CME Equity Index futures guide for current general equity-index trading hours and the daily halt.
- CME Equity Index Roll Dates for the quarterly cycle and customary Monday roll convention.
- CME Final Settlement Procedures for the S&P 500 SOQ method.
- CME Performance Bonds/Margins FAQ for initial, maintenance and variable collateral boundaries.
- CFTC futures risk disclosure for losses beyond deposited funds and additional-margin risk.
Sources were reviewed August 28, 2026. Contract rules and public product records were reconciled on that date; live security definitions, calendars, margin and broker requirements can change and must be rechecked. All prices and P&L examples are hypothetical arithmetic, not forecasts or reported trading results.