{
  "schemaVersion": 1,
  "analysis": "futures-hedge-granularity",
  "analysisDate": "2026-09-15",
  "assumption": {
    "sp500IndexLevel": 7500,
    "note": "Illustrative index level matching CME Group's published ES/MES/NES comparison example; not a live quote."
  },
  "contracts": [
    { "code": "ES", "name": "E-mini S&P 500", "multiplierUsdPerPoint": 50, "notionalAt7500Usd": 375000 },
    { "code": "MES", "name": "Micro E-mini S&P 500", "multiplierUsdPerPoint": 5, "notionalAt7500Usd": 37500 },
    { "code": "NES", "name": "E-nano S&P 500", "multiplierUsdPerPoint": 0.5, "notionalAt7500Usd": 3750 }
  ],
  "formula": "worst_case_relative_sizing_error = 0.5 * contract_notional / target_hedge_notional",
  "onePercentWorstCasePortfolioThresholdsUsd": {
    "fullHedge": { "ES": 18750000, "MES": 1875000, "NES": 187500 },
    "halfHedge": { "ES": 37500000, "MES": 3750000, "NES": 375000 },
    "quarterHedge": { "ES": 75000000, "MES": 7500000, "NES": 750000 }
  },
  "sources": [
    { "name": "CME Group: E-nano S&P 500 futures", "url": "https://www.cmegroup.com/markets/equities/sp/e-nano-sandp-500.quotes.html" },
    { "name": "CME Group: E-nano Equity Index Futures FAQ", "url": "https://www.cmegroup.com/articles/faqs/faq-e-nano-equity-index-futures.html" }
  ],
  "limitations": [
    "Whole-contract granularity only; excludes beta-estimation error, basis risk, slippage, commissions, bid/ask spreads, margin, roll costs, taxes, and liquidity.",
    "The 7,500 index level is an illustrative assumption, not a current quote or forecast.",
    "Thresholds are worst-case bounds; actual rounding error can be smaller or zero when target notional is near an exact contract multiple."
  ]
}