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Micro S&P 500 Futures Contract Structured Rollover Transaction

  • The product

    The Micro S&P 500 Futures Contract Structured Rollover Transaction enables investors to hedge against unwanted price fluctuations, while limiting their losses under adverse market conditions.

    Created with the purpose of facilitating investors' day-to-day operations, the structured rollover transaction does not consist of a new contract but rather a mechanism that allows to trade two maturities simultaneously, thus maintaining the features of the contracts unchanged.

    Typically, structured rollover transactions are carried out by investors wishing to migrate their positions to a longer maturity date due to, i.e., lack of liquidity in certain maturities. In addition, rollover transactions are also widely used by investors who wish to trade price differentials between maturities when they are seeking arbitrage between them, or even directional speculation.

  • Specifications
    UnderlyingS&P 500 Stock Index calculated by Standard and Poor’s
    Contract sizeS&P 500 Index Futures Contract multiplied by the index point value in Brazilian Reals, each point USD2.50
    QuotationIndex points
    Tick size0.05 index point
    Round-lot1 contract
    Contract monthsMarch, June, September and December.
  • Benefits
    • Reduces risk by allowing trading in two different maturities in a single transaction.
    • Adds another price arbitrage tool between maturities.
    • Facilitates trading of price differential