E-mini S&P mental lapse

Discussion in 'Index Futures' started by El OchoCinco, Aug 22, 2005.

  1. Hey folks, I am having a mental fart today and wanted to ask a question.

    What is the delta for the E-mini S&P futures, the current one being the September contract. I just saw something at ToS that showed a delta of .5 and I cannot find it again.

    Does this contract have a delta of .5 or was I staring at my screen too long?

    Sorry but my brain is just in park today.

  2. Index multiplier is indeed $50.
  3. I know, I was asking about the DELTA, if anyone knows?

  4. Phil,

    ES would have a delta of .5 versus the full sized contract (the big contract has a multiplier of 100 and the small one has a multiplier of 50). However if you are trading ES options then of course ES has a delta of one against whatever the options delta is.

    Thanks for all you help in the past
  5. Thanks for the response. Just to make sure I am following cause I was up late last night, the ES would have a delta of .5 to the index such that a 1 point move in the S&P500 would move the ES .50? ThinkorSwim is showing the ES having a delta of $50. Since 1 point on the E-mini is $50 is it saying a delta of 1.0 exists literally but the $$ value is only a $50 change in the future or what?

    I am mapping out something and I am just not doing something right.

    Sorry if this seems silly but I am just in reverse today...


  6. A 1 point move in the S&P moves the ES 1 point, which is $50 per contract.
  7. THANK YOU! That is exactly what was showing but my pistons were not connecting. Days like these I should not even operate a vehicle LOL. <Feeling dumb>

    So, a 1 point move in the S&P moves the ES 1 point, which is $50 per contract. Could not get my mind out of options mode.

    I appreciate the answer.


  8. Well, the ES delta is 100, all futs have deltas=100... but obviously it's moot as there is no reference to scale unless we use the index multiplier, which is $50.
  9. Sorry, I should know this stuff cold. (I don't trade either product)
    #10     Aug 22, 2005