Investment fund managers, market makers, investment banks and treasuries trade the S&P 500 Futures contract as a cross-listing with CME, that is, the contract follows the same size, tick size, expiration and settlement price.

Although the spread risk between the settlement price at B3 and at CME is part of the contract, a large difference in points affects price marking  and, consequently, the transaction cost especially when the contract is rolled over.

This distortion can be caused by a time mismatch between B3 and CME and by the absence of a market maker during the price setting call.

Setting the settlement price will follow daylight savings time in Chicago and the price will no longer be defined by valid orders and trades in the closing call, but will take into account valid trades and orders executed during a continuous trading session over a five-minute period.

Therefore, operational risks will be reduced and will impact transaction costs positively.

S&P 500 Futures is a derivative that allows an investor to trade today the expected future price for the stock portfolio represented by the S&P 500 Index – one of the most representative indices in the global financial market. 

The S&P 500 Futures contract is the result of a partnership between B3 and the CME Group and is very similar to the E-mini S&P 500 Futures contract traded on the Chicago Stock Exchange. The key similarities are in size, tick size and expiration. The contract complements B3's index derivatives portfolio with another underlying asset benchmarked to a foreign equity index.