Index Comparisons from the CME

This is from the CME's newsletter. Remember that the CME has lost the ER2 contract and will soon discontinue trading it and so they are happy to show their competing produce (Small Cap 600) in a favorable light:

Open interest in S&P MidCap 400 futures is up more than 20% since end of August 2007, providing trading opportunities from positive YTD price returns and significant 20-day historical volatility.

The S&P SmallCap 600 Index offers comparable diversification and volatility with a better YTD price return to the Russell 2000.

The NASDAQ-100 Index provides additional diversification potential, with positive YTD price returns and higher volatility.



The CME averages more than a 99% market share for futures and options on Russell 2000 indexes. They will continue to list E-mini Russell 2000 contracts through end of the September 2008 contract month.

In order to keep your business the CME offer the SMC-ER2 InterCommodity Spread to help you transition small-cap open interest from the Russell 2000 products to E-mini S&P SmallCap 600 futures.