Derivatives & Instruments Catalog

A breadth-first catalog of listed and OTC derivatives — the instruments, the payoffs, the pricing models, and the venues where they trade. This is a reference: an agent that needs to know “what is the Cboe ticker for the Russell 2000 mini future” or “what models price rough volatility” should land here first and follow links into family pages or T4 deep dives.


1. Futures and forwards

A future is a standardized exchange-listed forward: an obligation to buy or sell a notional quantity of an underlying on a future date at a price fixed today, with daily mark-to-market through a clearinghouse. Forwards are the OTC bilateral equivalent.

1.1 Equity index futures

TickerUnderlyingExchangeContract sizeNotes
ESS&P 500CME$50 × indexWorld’s most actively traded futures; ADV ~2,000,000 contracts/day; 4 quarterly + 4 monthly listed
MESS&P 500 microCME$5 × index1/10 size of ES; retail-friendly
NQNasdaq-100CME$20 × indexTech-heavy proxy
MNQNasdaq-100 microCME$2 × index
RTYRussell 2000CME$50 × indexSmall-cap proxy
M2KRussell 2000 microCME$5 × index
YMDow Jones Industrial AverageCBOT-CME$5 × index
NKDNikkei 225 (USD)CME$5 × index
NIYNikkei 225 (JPY)SGX¥500 × indexAsian gateway listing
FDAXDAX 40Eurex€25 × indexFrankfurt blue-chip
FESXEURO STOXX 50Eurex€10 × indexEurozone proxy
ZFTSE 100ICE Futures Europe£10 × indexLondon blue-chip
K200KOSPI 200Korea ExchangeKRW 250,000 × indexOne of the most-traded index futures globally by volume
NIFTYNifty 50NSE / SGX (mirror)₹/USD per indexIndian benchmark

Quarterly cycle is the March-June-September-December IMM cycle; ES and MES also list weekly options expiring against the futures.

1.2 Interest rate futures

TickerUnderlyingExchangeNotes
ZT2-year US Treasury noteCBOT-CME$200,000 face value
ZF5-year US Treasury noteCBOT-CME$100,000 face
ZN10-year US Treasury noteCBOT-CME$100,000 face; deepest fixed-income contract
TY10-year (synonym)CBOT-CME
ZBUS Treasury bond (15–25y)CBOT-CME$100,000 face
UBUltra T-bond (>25y)CBOT-CME$100,000 face
FGBLBund (10y German)Eurex€100,000 face
Bobl5y GermanEurex€100,000 face
Schatz2y GermanEurex€100,000 face
Long Gilt10y UKICE Futures Europe£100,000 face
Short Sterling3M GBPICE Futures EuropeNow SONIA-based since 2022
JGB 10yJapanese 10yOSE / TFX¥100,000,000 face
FFFed funds (30-day average)CBOT-CME$5,000,000 notional
ZQSOFR 3M (replacing ED Eurodollar wound down June 2023)CME$1,000,000 notional

SOFR (Secured Overnight Financing Rate) futures replaced Eurodollar (3M LIBOR USD) futures in the LIBOR-to-SOFR transition; the last 3M USD LIBOR setting was 2023-06-30.

1.3 Energy futures

TickerUnderlyingExchangeSize
CLWTI light sweet crudeNYMEX1,000 barrels
BrentBrent crude (ICE)ICE Futures Europe1,000 barrels
NGHenry Hub natural gasNYMEX10,000 MMBtu
HONY Harbor ULSD (heating oil)NYMEX42,000 gallons
RBRBOB gasolineNYMEX42,000 gallons
TTFDutch TTF natural gasICE EndexEuropean gas benchmark
JKMLNG Japan/Korea MarkerICE / PlattsAsian LNG benchmark

1.4 Metals

TickerUnderlyingExchangeSize
GCGoldCOMEX (CME)100 troy ounces
SISilverCOMEX5,000 troy ounces
HGCopper (US)COMEX25,000 lbs
PLPlatinumNYMEX50 troy ounces
PAPalladiumNYMEX100 troy ounces
LME CopperCopper (UK)LME25 metric tons; daily prompt dates

LME (London Metal Exchange) trades Cu, Al, Zn, Pb, Sn, Ni; the March 2022 nickel short squeeze (driven by Tsingshan exposure) saw LME suspend trading and annul trades, drawing FCA + Bank of England review.

1.5 Agricultural futures

TickerUnderlyingExchangeSize
ZCCornCBOT5,000 bushels
ZWSoft red winter wheatCBOT5,000 bushels
KEHard red winter wheatKCBT (CME)5,000 bushels
MWEHard red spring wheatMGEX5,000 bushels
ZSSoybeansCBOT5,000 bushels
ZMSoybean mealCBOT100 short tons
ZLSoybean oilCBOT60,000 lbs
SBSugar #11ICE US112,000 lbs
KCCoffee C arabicaICE US37,500 lbs
CCCocoaICE US10 metric tons
CTCotton #2ICE US50,000 lbs
LELive cattleCME40,000 lbs
GFFeeder cattleCME50,000 lbs
HELean hogsCME40,000 lbs

1.6 Currency futures

TickerPairExchangeNotes
6EEUR/USDCME€125,000
6BGBP/USDCME£62,500
6JJPY/USDCME¥12,500,000
6AAUD/USDCMEA$100,000
6CCAD/USDCMEC$100,000
6SCHF/USDCMECHF 125,000
6MMXN/USDCMEMXN 500,000
6NNZD/USDCMENZ$100,000
BTCBitcoinCME (since 2017)35,000–$100,000
ETHEtherCME50 ETH

1.7 Volatility futures

TickerUnderlyingExchangeNotes
VXCboe Volatility Index (VIX)Cboe Futures Exchange (CFE)VIX measures 30-day expected vol of SPX from option prices
VVIXVol of VIXCboe (calculated)
OVXOil VIXCboe (calculated)
GVZGold VIXCboe (calculated)
VStoxxEURO STOXX 50 volEurexEuropean VIX analog

2. Options

An option is the right (not obligation) to buy (call) or sell (put) an underlying at a strike price by an expiry date. American options exercise any time before expiry; European exercise only at expiry; Bermudan exercise on a discrete schedule.

2.1 Exercise style — concrete examples

  • SPX (S&P 500 index option, Cboe) — European, cash-settled.
  • SPY (SPDR S&P 500 ETF option) — American, physical (deliver shares).
  • AAPL (Apple equity option) — American, physical.
  • NDX, RUT, DJX, XSP (Mini-SPX, 1/10 SPX) — European, cash-settled.

2.2 Equity-index options (cash-settled European)

SPX, NDX, RUT, DJX. Cboe lists all four; SPX is the flagship and the underlying-of-record for the VIX calculation. XSP is 1/10 the SPX size, retail-friendly, same European cash-settled mechanics.

2.3 Single-stock options

Listed on the 16 US options exchanges (Cboe, C2, Cboe BZX, Cboe EDGX, Nasdaq ISE, Nasdaq GEMX, Nasdaq MRX, Nasdaq PHLX, Nasdaq BX, Nasdaq Options Market, NYSE American, NYSE Arca, MIAX, MIAX Pearl, MIAX Emerald, MEMX Options). All listings are American-style physical-settled except a small handful of quarterly-settled FLEX variants.

2.4 ETF options

By 2024 ADV: SPY > QQQ > IWM > EEM > FXI > USO > GLD. All American-style physical-settled. SPY weekly expirations are the highest-volume options contract in the world by some volume metrics.

2.5 Treasury options (on futures)

TYZ (option on ZN 10y future), ZNZ family, options on ZB, ZT, ZF. Bermudan-equivalent (American on a future deliverable into a basket of notes/bonds via cheapest-to-deliver mechanics).

2.6 FX options

OTC (the bulk of global FX option volume) plus listed on CME (options on the 6E/6B/6J/etc. futures). OTC FX options widely use the Garman-Kohlhagen 1983 model (Black-Scholes adapted for two interest rates).

2.7 Commodity options on futures

Options on CL, NG, GC, HG, ZC, ZS, KC, etc. — same exchange as the underlying future.

2.8 Weekly, daily, and 0DTE

Cboe launched Tuesday/Thursday SPX expirations in 2022 to complement the existing Monday/Wednesday/Friday weeklies, giving SPX a daily-expiring options series. By 2024 the share of SPX option notional traded on zero-days-to-expiration (0DTE) contracts hit ~50% of daily SPX option volume, dominated by short-dated systematic strategies.

2.9 LEAPS

Long-Term Equity Anticipation Securities: options with 1–2.5 years to expiry. Listed on equities (AAPL, MSFT, NVDA, etc.) and SPX/SPY. Used for long-dated directional exposure and as building blocks for stock-replacement strategies.

2.10 Mini options

The Mini-SPX (XSP) is the canonical example. Listed in 2013, 1/10 of full SPX, European cash-settled. Designed to bring SPX-style settlement mechanics to retail account sizes.


3. The Greeks

GreekSymbolDefinitionWhat it measures
DeltaΔ∂V/∂SSensitivity of option value to underlying price
GammaΓ∂²V/∂S²Curvature: how fast delta changes
ThetaΘ∂V/∂tTime decay
Vegaν∂V/∂σSensitivity to implied volatility
Rhoρ∂V/∂rSensitivity to interest rate

Higher-order:

  • Vanna = ∂²V/(∂S ∂σ) — cross sensitivity to spot and vol; central to vanna-volga FX pricing.
  • Vomma (volga) = ∂²V/∂σ² — convexity in vol; large for OTM options.
  • Charm = ∂²V/(∂S ∂t) — delta decay.
  • Color = ∂²Γ/∂t — gamma decay.
  • Speed = ∂³V/∂S³ — third-order spot sensitivity.

4. Volatility surface

The implied vol surface is the map (strike, expiry) → implied vol. Observed features:

  • Skew — vol increases as strike falls below ATM (equity index “smirk” driven by crash-risk demand for OTM puts).
  • Smile — symmetric U-shape around ATM, common in FX.
  • Term structure — vol vs expiry; contango (vol rising in expiry) or backwardation (falling).

Parameterizations and models:

  • SVI (Stochastic Volatility Inspired, Gatheral 2004) — 5-parameter arbitrage-free parameterization of a single-expiry vol smile.
  • SABR (Stochastic Alpha Beta Rho, Hagan–Kumar–Lesniewski–Woodward 2002) — stochastic-vol model dominant in interest-rate derivatives; closed-form approximations for the implied-vol surface make it standard for caps, floors, and swaptions.
  • Heston (Heston 1993) — stochastic vol with CIR-like vol-of-vol process; semi-closed-form via characteristic function and FFT.
  • Rough volatility (Gatheral–Jaisson–Rosenbaum 2018) — instantaneous vol modeled as fractional Brownian motion with Hurst exponent H ≈ 0.1; matches the steep ATM-vol term structure of equity indices. Rough Heston and rough Bergomi are the two leading implementations.

5. Swaps

A swap is a contract to exchange cash flows on a notional principal. Almost all are OTC; CDS and IRS have been heavily standardized post-2009 under Dodd-Frank Title VII and EMIR mandatory clearing.

5.1 Interest rate swap (IRS)

Fixed-for-floating: one party pays a fixed coupon, the other a floating reference rate (SOFR, €STR, SONIA, TONA). Notional outstanding globally is estimated at $500 trillion+. Basis swaps exchange one floater for another (SOFR vs Fed Funds Effective; €STR vs EURIBOR fallback; cross-tenor 3M vs 6M).

5.2 Currency swap / cross-currency basis swap (CRS / CCBS)

Exchange principal and interest payments in different currencies. CCBS quotes the basis spread on top of one leg’s risk-free rate; widened dramatically during USD funding stress events (2008, March 2020).

5.3 Credit default swap (CDS)

Buyer pays a periodic premium; on a credit event of the reference (failure to pay, bankruptcy, restructuring under ISDA definitions), seller pays par minus recovery. Standardized contract templates from ISDA Markit; CDX IG and CDX HY are the North American investment-grade and high-yield credit indices; iTraxx Europe and iTraxx Crossover are the European analogs. Major dealers include JPMorgan Chase, Goldman Sachs, Deutsche Bank, Barclays, Citi.

5.4 Inflation swap

Zero-coupon inflation swap: at maturity one party pays [(CPI_T / CPI_0)^(1/T) − 1] vs the other paying a fixed breakeven rate. Year-on-year inflation swaps pay the annual rate. References include US CPI-U NSA, UK RPI, Eurozone HICP ex-tobacco.

5.5 Equity swap / total return swap (TRS)

One leg pays the total return (price + dividends) of an equity or basket, other pays a floating rate. Heavily used for synthetic exposure and shorting; the 2021 Archegos collapse demonstrated the systemic risk of concentrated TRS positions hidden from cash-market disclosure.

5.6 Variance swap

Payoff at maturity = (realized variance − strike variance) × variance notional. Provides pure exposure to realized variance independent of path. Replicated statically from a continuum of European options (Carr-Madan log-contract decomposition).

5.7 Volatility swap

Payoff = (realized vol − strike vol). Square-root of variance, harder to hedge statically; typically priced by approximation from the variance-swap surface plus a vol-of-vol convexity adjustment.

5.8 Dispersion swap

Payoff = (variance of the index) − Σ wᵢ × (variance of component i). Trades the correlation structure of an index; long dispersion ≈ short implied correlation.

5.9 Correlation swap

Direct payoff on average pairwise correlation of a basket.

5.10 Forward starting swap

IRS where the floating leg starts on a future date; building block for caps/floors and swaptions.

5.11 Overnight Index Swap (OIS)

Floating leg = compounded overnight rate (SOFR, €STR, SONIA, TONA). Post-2008, the OIS discount curve replaced LIBOR-flat for risk-free discounting in derivative collateralization.


6. Caps, floors, swaptions

  • Cap = strip of caplets, each a European call on the reference rate over an accrual period. Buyer is protected against rising rates.
  • Floor = strip of floorlets, each a European put. Buyer is protected against falling rates.
  • Collar = long cap + short floor (or vice versa).
  • Swaption = option to enter a swap at a future date. Payer swaption = right to pay fixed (i.e., a call on swap rates). Receiver swaption = right to receive fixed. European (single exercise) and Bermudan (discrete exercise schedule) are both standard.
  • Cancelable swap = swap + Bermudan receiver/payer swaption embedded so one side can cancel.

7. Exotic options

7.1 Barrier options

  • Knock-in (up-and-in, down-and-in) — option activates only if the underlying crosses the barrier.
  • Knock-out (up-and-out, down-and-out) — option dies if barrier is hit.
  • Reverse barriers — barrier is in-the-money relative to strike.
  • American (continuously-monitored) vs discrete (e.g., daily close) monitoring — pricing differs materially; continuous-monitoring closed-form (Merton-Reiner-Rubinstein 1991) understates discrete-barrier prices and needs the Broadie-Glasserman-Kou 1997 correction.

7.2 Asian options

Payoff depends on the average underlying price over a window. Arithmetic-average Asians have no closed-form under Black-Scholes (sum of lognormals is not lognormal) and require Monte Carlo or moment matching; geometric-average Asians have closed-form. Asian-style settlement is common in commodities markets where end-of-month average prices are the convention.

7.3 Lookback options

Payoff depends on the maximum or minimum of the underlying over the option life. Floating-strike (payoff = S_T − min) and fixed-strike variants.

7.4 Cliquet / ratchet options

Series of forward-starting options whose strikes reset at each cliquet date. Locks in periodic gains. Embedded in many capital-protected structured notes.

7.5 Compound options

Option on an option (call on call, call on put, put on call, put on put). Geske 1979 closed-form under Black-Scholes.

7.6 Chooser options

Holder chooses, at a future date, whether the contract becomes a call or a put with given strike and expiry.

7.7 Rainbow / multi-asset options

Payoff depends on multiple underlyings — best-of, worst-of, basket (weighted sum), spread (S₁ − S₂). Worst-of put is a popular building block in auto-callable structured notes.

7.8 Quanto options

Foreign-asset option settled in domestic currency at a fixed FX rate (i.e., FX risk stripped out). E.g., a JPY-quanto Nikkei call pays in USD based on the Nikkei index value with no yen FX exposure.

7.9 Digital / binary options

Cash-or-nothing: pays a fixed cash amount if ITM, zero otherwise. Asset-or-nothing: pays the asset value if ITM, zero otherwise. Vanilla calls/puts decompose into asset-or-nothing minus cash-or-nothing positions.

7.10 One-touch / no-touch

Pays if (one-touch) or only if not (no-touch) the underlying ever touches a barrier during the option life. Popular as packaged FX retail products.

7.11 Range accruals

Coupon accrues for each day the underlying stays within a range. Embedded in many structured notes.

7.12 Auto-callable, target-redemption, kick-out structures

Auto-callable notes pay an above-market coupon and redeem early if the underlying breaches a call barrier on observation dates. TARN (target accrual redemption note) terminates when accumulated coupons hit a target.


8. Structured products

  • Capital-protected notes — par-at-maturity + participation in upside through a packaged call.
  • Reverse convertibles — above-market coupon with downside conversion if the linked equity falls below a strike at expiry; effectively a short put bundled with a bond.
  • Range accrual notes — coupon stream from an embedded range accrual.
  • Worst-of auto-callables — coupon tied to the worst performer in a basket; the most popular structured-product format globally by issuance volume.
  • Snowball notes — accumulating coupon with auto-call features; became infamous in 2022 China when sharp CSI 500 declines triggered retail-investor knock-ins.
  • Variable annuity guarantees — embedded options in life insurance wrappers: GMDB (guaranteed minimum death benefit), GMIB (income), GMAB (accumulation), GMWB (withdrawal). All are long-dated equity puts on insurers’ balance sheets; collectively “GMxB”.

9. Credit derivatives

  • Single-name CDS — protection on one reference entity.
  • Index CDS — CDX IG, CDX HY, iTraxx Europe, iTraxx Crossover.
  • CDS index tranches — equity (0–3%), mezzanine (3–7%, 7–10%), senior (10–15%, 15–30%), super-senior (30–100%). Correlation trading using the Gaussian copula model (Li 2000) was a primary contributor to the 2008 financial crisis: model fragility under simultaneous defaults plus opacity of correlation assumptions.
  • CLN — credit-linked note — funded version: investor buys a note whose redemption is tied to default of a reference; embeds a short CDS.
  • CDO — collateralized debt obligation — tranched claims on a pool of bonds, loans, or other CDOs. Subprime mortgage CDOs (especially CDOs of ABS) were the epicenter of 2007–2008 losses. Synthetic CDOs package CDS rather than cash bonds.
  • N-th to default basket — pays out on the N-th credit event in a basket; correlation-sensitive.

10. Commodity spreads

  • Crack spreads — refining margin proxies. Gasoline crack = RBOB − WTI (or 3-2-1 crack = 3 bbl crude → 2 bbl gasoline + 1 bbl heating oil). Heating oil crack = HO − WTI.
  • Crush spread — soybean processing margin: soybean oil + soybean meal − soybeans (board crush, in industry terms).
  • Spark spread — power generator margin: power price − (heat rate × natural gas price).
  • Dark spread — coal generator margin: power − coal × heat rate.
  • Calendar spreads — same commodity, different expiries; trades the forward curve’s slope (contango vs backwardation).

11. Crypto derivatives

  • CME bitcoin futures (BTC) — listed December 2017; $5 × BTC index; cash-settled against the BRR (Bitcoin Reference Rate, CME-CF).
  • CME ether futures (ETH) — listed February 2021; 50 ETH per contract.
  • Perpetual futures (perps) — non-expiring futures with a funding-rate mechanism that anchors price to spot. Pioneered by BitMEX 2016; now dominant on Binance, Bybit, OKX, Deribit, Hyperliquid. Aggregate daily perp volume in 2024–25 ran $50–100 billion notional.
  • Options — Deribit dominates (>$60 billion open interest by 2024); CME offers mini and micro BTC/ETH options.
  • DeFi options protocols — Lyra (Optimism + Arbitrum Layer 2, AMM-based), Dopex, Premia, Aevo (formerly Ribbon Finance after the 2023 merger), Hegic.

12. Pricing models

ModelYearAuthorsUse
Black-Scholes-Merton1973Fischer Black, Myron Scholes, Robert MertonEuropean vanilla under GBM (geometric Brownian motion); Merton + Scholes Nobel 1997 (Black died 1995, ineligible)
Binomial / CRR1979Cox, Ross, RubinsteinDiscrete-time tree, supports American + path-dependent
Trinomial1986BoyleAdds a middle branch for stability
Local volatility1994Dupireσ(S,t) deterministic function; fits today’s vol surface exactly
Heston1993HestonStochastic vol, CIR-style; characteristic function closed-form
SABR2002Hagan, Kumar, Lesniewski, WoodwardStochastic α β ρ; closed-form smile approximation; industry standard for rate vol
Stochastic Local Vol (SLV)2007+Henry-Labordère and othersCombines local vol fit with stochastic-vol dynamics
Jump diffusion1976MertonGBM + Poisson jumps
Kou jump2002KouJumps with double-exponential size distribution
Variance gamma1990Madan, SenetaPure Lévy process (no Brownian component)
CGMY2002Carr, Geman, Madan, YorTempered stable Lévy generalization
Rough Heston2016+El Euch, RosenbaumHurst H ≈ 0.1, fractional kernel
Rough Bergomi2018Bayer, Friz, GatheralCited 2018 paper; pure stochastic-vol with fractional driver
HJM1992Heath, Jarrow, MortonForward-rate-curve framework
LIBOR Market Model / BGM1997Brace, Gatarek, MusielaLIBOR forward rates as basic state variables
SOFR market model2021+VariousLMM adapted to backward-looking SOFR
Longstaff-Schwartz2001Longstaff, SchwartzRegression-based Monte Carlo for American options

Monte Carlo is the workhorse for high-dimensional and path-dependent problems; PDE methods (Crank-Nicolson, ADI, finite element) dominate low-dimensional models with American exercise.


13. Major derivatives exchanges

ExchangeHeadquartersFlagship contracts
CME GroupChicagoES, NQ, RTY, ZN, ZB, CL, GC, BTC; merged CME + CBOT (2007) + NYMEX/COMEX (2008); $10+ trillion ADV notional
Cboe Global MarketsChicagoSPX, VIX, equity options; Cboe Volatility Index (Cboe is the trademarked name) is the flagship
ICE (Intercontinental Exchange)AtlantaBrent crude, sugar #11, cotton, coffee C, NYSE; gilt + €STR futures via ICE Futures Europe
EurexFrankfurtBund, Bobl, Schatz, FESX, FDAX; Asia-linked night session
LME (London Metal Exchange)LondonCu, Al, Zn, Pb, Sn, Ni; the only major exchange still operating an open-outcry ring; 2022 nickel squeeze + trade annulment under FCA + Bank of England review
NasdaqNew York / StockholmNDX options; Nasdaq Stockholm derivatives for Nordic equities
SGX (Singapore Exchange)SingaporeNikkei NIY, Nifty (mirror), iron ore, FX futures; Asian gateway
TFX (Tokyo Financial Exchange)TokyoTONA futures, JGB-related
OSE (Osaka Exchange)OsakaJGB futures, Nikkei 225 futures, TOPIX
HKEXHong KongHang Seng Index, MSCI Asia derivatives, Stock Connect derivatives
SHFE (Shanghai Futures Exchange)ShanghaiCopper, aluminum, steel rebar, gold, RMB-denominated
DCE (Dalian Commodity Exchange)DalianIron ore (global benchmark), soybean meal, corn
CFFEX (China Financial Futures Exchange)ShanghaiCSI 300 index futures, 10y CGB futures
MCX (Multi Commodity Exchange of India)MumbaiIndian gold + silver + crude futures
DeribitAmsterdam / PanamaDominant crypto options venue; acquired by Coinbase in 2025 for $2.9 billion

Adjacent