Micro S&P 500 Futures Contract - Contract Information - Daily settlement - Expiration and Special Conditions

Oct 12, 2026

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Micro S&P 500 Futures Contract specification covering contract information, trading calendar, and pricing mechanics. Defines the underlying as a standardized futures contract based on the S&P 500 Index, including ticker, contract size calculation, price quotation precision, tick size, contract months, and expiration rules tied to CME Group and B3 sessions. Sets daily mark-to-market settlement formulas, cash settlement at expiration, settlement valuation methodology using exchange rate and index settlement price, and special conditions for extraordinary holidays and other unforeseen situations. Also states governing law and B3 standards application.

LanguageEnglish

CategoryForms

FormatPDF

Pages5

Reading Time2 min

AccessFree to download

1. Contract Information

2. Daily settlement

3. Settlement conditions on expiration

4. Special Conditions

4.a Extraordinary Holiday

4.b Other unforeseen situations

5. Applicable Law

6. Application of B3 standards and regulations

Micro S&P 500 Futures Contract 1. Contract Information | Underlying | Standardized futures contract based on the S&P 500 Index (Index) | | --- | --- | | Ticker | WSP | | Contract size | Value of S&P 500 Future Contract multiplied by the value of a point expressed in United States Dollars (USD), with each point equivalent to USD 2.50 (two dollars and fifty cents) | | Price Quotation | Index points to two decimal places | | Tick size | 0.25 index points | | Contract Months | March, June, September, December | | Expiration Date | Third Friday in the contract month, coinciding with the CME Group expiration date.
In case of holidays or there is no Trading Session at CME Group, the contract’s new Expiration Dateshall be that market’s following trading session day, or any other day defined by, or any other day defined by CME Group.
If the third Friday of the expiration month or the new Expiration Date defined by CME Group is a holiday in Brazil and/or there is no trading session at B3, the contract’s Expiration Date will be the next trading session on which there is a trading session at B3, | | | with due regard for the Special Conditions in clause 4 below. | | --- | --- | | Last Trading Day | Expiration Date | For the purposes of this contract, (i)“Business Day” shall be considered the day for the purposes of transactions conducted in the national financial market, pursuant to Resolution 4880 of December 23, 2020, of the National Monetary Council, as amended from time to time; and (ii)“Trading Session Day”, any of the days in which there is a trading session on according to the calendar released by B3 . 2. Daily settlement Outstanding positions at the end of each trading session will be marked-to-market according to that day’s settlement price (PA) as per B3’s rules, with cash settlement on the following Trading Session Day. The daily settlement shall be calculated up to the expiration date in accordance with the following formulas: a) Daily settlement of trades effected on the day ADt = (PAt − PO) × M × TxC × n b) Daily settlement of outstanding positions ADt = (PAt − PAt−1) × M × TxC × n ADt = daily settlement value for date “t”, in Brazilian Reals (BRL); PAt = settlement price for the contract expressed in Index points on date “t” for the respective contract month; PO = trade price in points; M = price of each Index point, established by B3; TxC = exchange rate of Brazilian Reals (BRL) per U.S. Dollar (USD) calculated and published by B3 for settlement in one day; n = number of contracts; and PAt−1 = settlement price of the contract on date “t-1” for the respective expiration. The daily settlement value (ADt) , calculated as described above shall, if positive, be credited to the buyer and debited from the seller; if negative, it shall be debited from the buyer and credited to the seller. 3. Settlement conditions on expiration Outstanding positions, after the last settlement price, shall be cash settled by B3 by means of the registration of an offsetting transaction (long or short) on the same number of contracts at the S&P 500 Index settlement value provided by CME Group. The settlement value per contract shall be calculated in accordance with the following formula: VL = P × M × TxC VL = cash settlement value in Brazilian Reals (BRL) of each contract; P = Index for settlement, in points, corresponding to the settlement date of the contract; M = price of each index point, established by B3; TxC = exchange rate of Brazilian Reals (BRL) per U.S. Dollar (USD) calculated and published by B3 for settlement in one day. Cash settlement shall be made on the trading session following the expiration date. The S&P 500 Index settlement price (P) is calculated in accordance with the rules for CME Group’s Special Opening Quotation (SOQ) and the methodology for calculating the S&P 500 Index, based on the opening prices of the component stocks on the contract’s expiration date.

FAQs

How is the contract size and price quotation defined?

The contract size equals the value of the S&P 500 futures contract multiplied by the value of a point in USD, with each point equivalent to USD 2.50. Price quotation uses index points to two decimal places and tick size is 0.25 index points.

What are the daily settlement rules during the contract term?

End-of-day positions are marked-to-market using B3 settlement prices. Daily settlement for trades and for outstanding positions uses formulas based on settlement price differences, B3-defined price per index point, BRL/USD exchange rate for one-day settlement, and the number of contracts, with cash debits/credits depending on sign.

How does expiration cash settlement work and how is the expiration date determined?

Outstanding positions are cash settled by B3 via an offsetting transaction at the S&P 500 Index settlement value provided by CME Group. The expiration date is the third Friday in the contract month aligned with CME Group expiration; if holidays or no trading sessions occur at CME or B3, the expiration shifts to the next B3 trading session. The index settlement price is calculated using CME Special Opening Quotation rules based on component stock opening prices.

Oct 12, 2026

Upload by McQueen