| Commodities and Currencies | |||||||
| Code | Name | Quote Sample, Units | Contract Size, Units | Tick (Value in USD) | Margin in USD | Contract Value, Leverage at 5*Margin | Comments |
| CL | Crude Oil | 54.92 USD/Barrel | 1,000 Barrels | 0.01 ($10) | $4,050 | $55K, 2.7x | Traded: NYMEX. QM is a 50%-sized e-miNY-Crude (Globex). |
| EC | Euro CurrencyFX | 1.2622 USD/Euro | 125,000 Euros | 0.0001 ($12.5) | $2,700 | $158K, 11.7x | A foreign exchange vehicle. Traded: IMM, CME Floor, Globex (6E). E7 is a half-sized mini (Globex). |
| HO | Heating Oil | 1.5795 USD/Gallon | 42,000 US Gallons | 0.0001 ($4.2) | $3,375 | $66K, 3.9x | 42,000 US gallons = 1,000 barrels. Tick = 0.01 cent per gallon. Traded: NYMEX. |
| HU | Unleaded Gas | 1.4122 USD/Gallon | 42,000 US Gallons | 0.0001 ($4.2) | $3,375 | $59K, 3.5x | 42,000 US gallons = 1,000 barrels. Tick = 0.01 cent per gallon. Traded: NYMEX. |
| JY | Japanese Yen | 0.009323 USD/JYen | 12,500,000 JYen | 1e-06 ($12.5) | $2,430 | $117K, 9.6x | Traded: IMM, CME Floor, Globex. J7 is a half-sized mini-JY (Globex). |
| NG | Natural Gas | 7.697 USD/million BTU | 10,000 million BTU | 0.001 ($10) | $5,400 | $77K, 2.9x | Tick = 0.1 cent per million BTU. Traded: NYMEX. QG is a 50%-sized e-miNY-NaturalGas (Globex). |
| QM | mini Crude Oil | 54.92 USD/Barrel | 500 Barrels | 0.025 ($12.5) | $2,025 | $27K, 2.7x | Traded: NYMEX ClearPort(r) trading platform. CL is the full-sized Crude. |
| SF | Swiss Franc | 0.8233 USD/SFranc | 125,000 SFrancs | 0.0001 ($12.5) | $1,823 | $103K, 11.3x | Traded: IMM, CME Floor, Globex. |
| Stock Index Futures | |||||||
| Code | Name | Quote Sample, Units | Value of 1 point change in index | Tick (Value in USD) | Margin in USD | Contract Value, Leverage at 5*Margin | Comments |
| DJ | Dow Jones IndAv | 10547 DJIA index | 10 USD | 1 ($10) | $5,400 | $105K, 3.9x | Traded: CBOT. Electronic ticker: ZD. YM is a 1/2 size mini. Introduced in 1997. |
| ER | mini Russell | 569.2 Russell index | 100 USD | 0.1 ($10) | $3,000 | $57K, 3.8x | Traded: Globex, since 2001-Oct-24. |
| ES | mini S&P | 1107.75 SP500 index | 50 USD | 0.25 ($12.5) | $4,000 | $55K, 2.8x | This is a 1/5-size SP. Traded: Globex, since 1997-Sep-09. |
| MD | MidCap SP400 | 592.15 SP400 index | 500 USD | 0.05 ($25) | $15,000 | $296K, 3.9x | Traded: CME Floor, Globex. ME is a 1/5 size mini. |
| ME | mini MidCap | 592.1 SP400 index | 100 USD | 0.1 ($10) | $3,000 | $59K, 3.9x | Traded: Globex, since 2002-Jan-28. |
| ND | Nasdaq 100 | 1475.5 Nasdaq100 index | 100 USD | 0.5 ($50) | $18,750 | $148K, 1.6x | Traded: CME Floor, Globex. NQ is a 1/5 size mini. |
| NQ | mini Nasdaq | 1475.5 Nasdaq100 index | 20 USD | 0.5 ($10) | $3,750 | $30K, 1.6x | This is a 1/5-size ND. Traded: Globex, since 1999-Jun-21. |
| RL | Russell 2000 | 576.85 Russell index | 500 USD | 0.05 ($25) | $15,000 | $288K, 3.8x | Traded: CME floor, Globex. Considered to be low volume, poor liquidity. ER is a 1/5 size mini with high volume, good liquidity. |
| SP | S&P500 | 1107.7 SP500 index | 250 USD | 0.1 ($25) | $20,000 | $277K, 2.8x | Traded: CME Floor, Globex. ES is a 1/5 size mini. |
| YM | mini DowJonesIA | 10547 DJIA index | 5 USD | 1 ($5) | $2,500 | $53K, 4.2x | Traded: CBOT. DJ is the full-size Dow (twice as large). |
| Interest Rate Futures | |||||||
| Code | Name | Quote Sample, Units | Value of 1 point change in quote | Tick (Value in USD) | Margin in USD | Contract Value, Leverage at 5*Margin | Comments |
| ED | EuroDollr (3mo) | 94.725 price index | 2,500 USD | 0.0025 ($6.25) | $945 | $250K, 52.9x | Par value $1,000K USD. Price index= (100 - annual interest rate); change of 1= 100 basis points (1% change in int. rate). Basis point= contract value/(4*10,000) = $25 (4* since 3 mo contract but 12-mo int. rate). Traded: CME Floor, Globex (GE), SGX. |
| TY | T Note (10yr) | 105'185 points | 1,000 USD | 0.5 ($15.625) | $878 | $105K, 23.9x | Par value $100K USD. See Commodity Specs notes 4-6. Quote of 105'185 or 105'18.5 means 105 and 18.5 32nds points. Tick= 1/64 point. Ticker: TY (open auction); ZN (electronic). YN= half-sized mini (electronic). Traded: CBOT. |
| US | T Bond (30yr) | 106'03 points | 1,000 USD | 1 ($31.25) | $1,350 | $106K, 15.7x | Par value $100K USD. See Commodity Specs notes 4-6. Quote of 106'03 means 106 and 3 32nds points. Tick= 1/32 point. Ticker: US (open auction); ZB (electronic). YH= half-sized mini (electronic). Traded: CBOT. |
| Notes: (1) Code= Ticker code for this commodity. To specify a particular contract, append the year and month codes, e.g. ES04Z. Some month codes are H=March, M=June, U=September, and Z=December. (2) Tick= smallest change in quote. The dollar value for one tick is shown in brackets. (3) Margin= initial margin required for position trading. For day-trading, the margin is typically half. Margin amounts change frequently, and may vary from one broker to another. (4) Contract value, Leverage at 5* Margin: Contract value is estimated for most commodities as Quote Sample * Contract Size (or point value). For interest rate vehicles, contract sizes are as noted, and data in this column is tentative. Leverage is estimated by dividing the Contract Value by 5 * Margin. (5) For TY, US the quotes indicate how much a 6%/year note or bond would cost given todays interest rates (quote= 100 points if current interest rate is 6%). The quote is higher than 100 if the current interest rate is less than 6%. (6) For TY, US delivery price = quote/100 * par value * adjustment factor. Adjustment factors are given on CBOT website for specific issues; approximate values 2006-May for TY: 3-5/8%: 0.87; 4-3/4%: 0.93. For US: 4-1/2%: 0.82; 6%: 1.0; 8-1/8%: 1.2. (7) Data was obtained from websites for the Chicago Mercantile Exchange, the Chicago Board of Trade, the New York Mercantile Exchange, TradingCharts.com, and various commodity brokers. Margin and sample quotes were taken from www.TradingCharts.com 2004-Oct-21 (TY, US: 2006-May). Historical futures quotes can be obtained from many sources, such as www.spotmarketplace.com. | |||||||