What is the difference between the E-Mini S&P500 Cash Future (ESY00) and the closest expiring contract for the E-Mini S&P500 Future (prensently the ESU18)?


The difference is that the “Cash” future is not a real, tradeable instrument. It is simply just a reflection of the S&P 500 Index, or the “spot” price as in other commodity derivatives, which is also not a tradeable instrument in and of itself. The front month futures contract, right now ESU18, is a tradeable instrument but will not trade exactly at the index price because equity futures take into account interest rates and dividends.

This is a great article on the subject —> https://www.cmegroup.com/education/files/understanding-stock-index-futures.pdf

  • $\begingroup$ and is E-mini S&P 500 Continuous Contract an alternative expression for E-Mini S&P500 Cash Future? $\endgroup$ – user66893 Jul 22 '18 at 13:07
  • $\begingroup$ I would say no, the continuous contract is all of the front month futures contracts (which are not the same as the "cash" price) spliced together, so a continuous futures contract will not necessarily be identical to the spot price. Also, there are many ways to create a continuous contract, so that too makes it different than the "cash" future. By the way, "cash future" is a very misleading term, if it is available, you might just want to reference the index itself to avoid any confusion. $\endgroup$ – Jared Marks Jul 22 '18 at 16:28

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