What is the dividend capture success rate for CME?

Across the last 20 ex-dividend events for CME Group (CME), the post-ex intraday high reached the pre-ex close within 30 trading days in 90% of cases, with a median time-to-touch of 1 trading day. We measure recovery via intraday high because that is when a GTC limit-order at the pre-ex close would actually fill, ending the trade at break-even with the dividend pocketed.

How long does it take CME to recover its dividend gap?

Historically, CME touches its pre-ex close in a median of 1 trading day, with the best case at 1 and the worst case at 22 trading days within our 30-day measurement window. A stricter close-based recovery (mark-to-MOC) is also computed in the database; explore it with the per-ticker simulator’s “Hold N days, exit MOC” mode rather than in the event table.

Is the dividend on CME large enough to capture?

CME has a signal-to-noise ratio of 0.50 (dividend / 14-day ATR). Values above 1.0 indicate the dividend is larger than the typical daily price swing, making capture trades more viable; below 0.5 means typical daily noise can easily wipe out the gain.

How does CME compare to its sector for dividend capture?

Within Financial Services, the median 30-day pre-ex touch rate is 95%. CME sits at 90% — at or below the sector benchmark.

Why does CME dividend capture measure recovery via intraday high, not close?

A realistic capture trade exits via a GTC limit-order at the pre-ex close: the moment the post-ex intraday high touches that level, the order fills and the trader pockets the dividend at break-even. Measuring recovery via close is stricter (mark-to-MOC); we expose that path in the per-ticker simulator as the "Hold N days, exit MOC" mode. The high-based primary metric directly answers the trader-facing question "would my limit have filled?" — close-based answers "would I have been flat at the bell?".

How are dividend capture trades taxed in the US?

Holding period matters. Dividends are "qualified" (taxed at the long-term capital gains rate, 0/15/20%) only when the underlying shares are held for more than 60 days during the 121-day window centered on the ex-dividend date. Dividend capture trades typically hold less than 61 days, so the dividend is taxed at your ordinary income bracket. Always consult a qualified tax advisor.

What are the main risks of a dividend capture strategy?

Three structural risks: (1) the share price may not recover the gap within your holding window; (2) ordinary-income tax can consume the after-tax yield; (3) transaction costs and bid/ask slippage can wipe out small dividends. Historical statistics measure base rates; they do not guarantee any single trade will work.

CME Group (CME) Dividend Capture: 2.33% per event (3.7% annualized)

Updated May 6, 202620 eventshigh

CME Group

CME

CME Group (CME) has touched its pre-ex close within 30 trading days in 90% of the last 20 ex-dividend events, with a median time-to-touch of 1 trading day (limit-order recovery basis). The dividend is below the typical daily price swing (signal-to-noise 0.50), meaning ordinary day-to-day noise can easily exceed the dividend itself.

Versus its sector, CME sits roughly in line with the Financial Services sector benchmark of 95%. The sector median time-to-touch is 1 trading day, matching the peer pace.

Historical base rates are not predictions; transaction costs, slippage, and ordinary-income tax on short holding periods can materially reduce realized profit.

Touch rate (30d): 90%-5pp vs sector
Median days-to-touch: 1din line with sector
Signal-to-noise: 0.50+0.20 vs sector

Recovery engine

TL;DR over the most recent 20 events.

30-day touch rate: 90%
-5pp vs sector
Median days-to-touch: 1d
in line with sector
Signal-to-noise (div / ATR): 0.50
+0.20 vs sector
Avg gap on ex-date: -0.77%
-0.19pp vs sector
Win rate at MOC exit: 45%
Median drawdown during hold: -3.80%
+0.59pp vs sector
Best / worst touch (days): 1 / 22

Next ex-dividend

The company has not declared a dividend, and we don't have enough recent history to extrapolate a reliable estimate.

How CME ranks in Financial Services

Compared with other stocks in this sector that pass our capture-quality filter (101 tickers). Lower rank number is better on every metric below.

Full sector ranking

30-day touch rate
#71of 101
Beats ~30% of peers on this metric
Median days to touch
#1of 101
Beats ~99% of peers on this metric
Signal-to-noise
#14of 101
Beats ~86% of peers on this metric

CME Dividend Capture History — Last 20 Ex-Dividend Events

Per-event gap on ex-date, the pre-ex close used as the touch target, trading days to first intraday high at or above that level, plus 5/30-day touch flags, drawdown and 5-day P&L for CME Group (CME). For a stricter close-at-bell exit timeline, use the simulator below (MOC mode). td = trading days from ex-date.

						Recovered 5d	Recovered 30d
Mar 10, 2026	Q1	$7.45	-3.08%	$319.09	>30	no	no	-5.73%	+0.53%
Dec 12, 2025	Q4	$1.25	-0.15%	$272.40	1	yes	yes	-2.65%	-0.76%
Sep 9, 2025	Q3	$1.25	-0.61%	$262.58	1	yes	yes	-1.79%	-0.57%
Jun 9, 2025	Q2	$1.25	-0.98%	$274.24	9	no	yes	-4.02%	-2.00%
Mar 7, 2025	Q1	$1.25	-0.50%	$254.04	1	yes	yes	-1.39%	+2.32%
Dec 27, 2024	Q4	$5.80	-3.14%	$239.21	22	no	yes	-6.10%	-3.17%
Dec 9, 2024	Q4	$1.15	-0.14%	$239.38	1	yes	yes	-2.22%	-0.96%
Sep 9, 2024	Q3	$1.15	-0.23%	$220.50	1	yes	yes	-3.68%	-0.37%
Jun 7, 2024	Q2	$1.15	-0.06%	$201.49	1	yes	yes	-5.36%	-1.59%
Mar 7, 2024	Q1	$1.15	0.09%	$219.69	1	yes	yes	-3.14%	+0.40%
Dec 27, 2023	Q4	$5.25	-2.65%	$214.80	>30	no	no	-8.36%	-3.17%
Dec 7, 2023	Q4	$1.10	-0.61%	$214.25	3	yes	yes	-4.23%	-1.40%
Sep 7, 2023	Q3	$1.10	0.00%	$203.66	1	yes	yes	-0.93%	+2.58%
Jun 8, 2023	Q2	$1.10	-0.61%	$182.55	1	yes	yes	-3.02%	+0.42%
Mar 9, 2023	Q1	$1.10	-0.45%	$181.92	3	yes	yes	-4.35%	+3.51%
Dec 27, 2022	Q4	$4.50	-1.74%	$173.33	8	no	yes	-3.91%	+0.72%
Dec 8, 2022	Q4	$1.00	-0.62%	$176.00	1	yes	yes	-3.94%	-1.44%
Sep 8, 2022	Q3	$1.00	-0.77%	$200.34	1	yes	yes	-9.17%	-4.28%
Jun 9, 2022	Q2	$1.00	-0.22%	$199.57	1	yes	yes	-2.20%	+2.36%
Mar 9, 2022	Q1	$1.00	1.13%	$222.73	1	yes	yes	0.84%	+9.11%

Ex-date Mar 10, 2026Q1
Dividend
$7.45
Gap %
-3.08%
Pre-ex close
$319.09
High touch (td)
>30
Recovered 5d
no
Recovered 30d
no
Drawdown
-5.73%
P&L 5d %
+0.53%
Ex-date Dec 12, 2025Q4
Dividend
$1.25
Gap %
-0.15%
Pre-ex close
$272.40
High touch (td)
1
Recovered 5d
yes
Recovered 30d
yes
Drawdown
-2.65%
P&L 5d %
-0.76%
Ex-date Sep 9, 2025Q3
Dividend
$1.25
Gap %
-0.61%
Pre-ex close
$262.58
High touch (td)
1
Recovered 5d
yes
Recovered 30d
yes
Drawdown
-1.79%
P&L 5d %
-0.57%
Ex-date Jun 9, 2025Q2
Dividend
$1.25
Gap %
-0.98%
Pre-ex close
$274.24
High touch (td)
9
Recovered 5d
no
Recovered 30d
yes
Drawdown
-4.02%
P&L 5d %
-2.00%
Ex-date Mar 7, 2025Q1
Dividend
$1.25
Gap %
-0.50%
Pre-ex close
$254.04
High touch (td)
1
Recovered 5d
yes
Recovered 30d
yes
Drawdown
-1.39%
P&L 5d %
+2.32%
Ex-date Dec 27, 2024Q4
Dividend
$5.80
Gap %
-3.14%
Pre-ex close
$239.21
High touch (td)
22
Recovered 5d
no
Recovered 30d
yes
Drawdown
-6.10%
P&L 5d %
-3.17%
Ex-date Dec 9, 2024Q4
Dividend
$1.15
Gap %
-0.14%
Pre-ex close
$239.38
High touch (td)
1
Recovered 5d
yes
Recovered 30d
yes
Drawdown
-2.22%
P&L 5d %
-0.96%
Ex-date Sep 9, 2024Q3
Dividend
$1.15
Gap %
-0.23%
Pre-ex close
$220.50
High touch (td)
1
Recovered 5d
yes
Recovered 30d
yes
Drawdown
-3.68%
P&L 5d %
-0.37%
Ex-date Jun 7, 2024Q2
Dividend
$1.15
Gap %
-0.06%
Pre-ex close
$201.49
High touch (td)
1
Recovered 5d
yes
Recovered 30d
yes
Drawdown
-5.36%
P&L 5d %
-1.59%
Ex-date Mar 7, 2024Q1
Dividend
$1.15
Gap %
0.09%
Pre-ex close
$219.69
High touch (td)
1
Recovered 5d
yes
Recovered 30d
yes
Drawdown
-3.14%
P&L 5d %
+0.40%
Ex-date Dec 27, 2023Q4
Dividend
$5.25
Gap %
-2.65%
Pre-ex close
$214.80
High touch (td)
>30
Recovered 5d
no
Recovered 30d
no
Drawdown
-8.36%
P&L 5d %
-3.17%
Ex-date Dec 7, 2023Q4
Dividend
$1.10
Gap %
-0.61%
Pre-ex close
$214.25
High touch (td)
3
Recovered 5d
yes
Recovered 30d
yes
Drawdown
-4.23%
P&L 5d %
-1.40%
Ex-date Sep 7, 2023Q3
Dividend
$1.10
Gap %
0.00%
Pre-ex close
$203.66
High touch (td)
1
Recovered 5d
yes
Recovered 30d
yes
Drawdown
-0.93%
P&L 5d %
+2.58%
Ex-date Jun 8, 2023Q2
Dividend
$1.10
Gap %
-0.61%
Pre-ex close
$182.55
High touch (td)
1
Recovered 5d
yes
Recovered 30d
yes
Drawdown
-3.02%
P&L 5d %
+0.42%
Ex-date Mar 9, 2023Q1
Dividend
$1.10
Gap %
-0.45%
Pre-ex close
$181.92
High touch (td)
3
Recovered 5d
yes
Recovered 30d
yes
Drawdown
-4.35%
P&L 5d %
+3.51%
Ex-date Dec 27, 2022Q4
Dividend
$4.50
Gap %
-1.74%
Pre-ex close
$173.33
High touch (td)
8
Recovered 5d
no
Recovered 30d
yes
Drawdown
-3.91%
P&L 5d %
+0.72%
Ex-date Dec 8, 2022Q4
Dividend
$1.00
Gap %
-0.62%
Pre-ex close
$176.00
High touch (td)
1
Recovered 5d
yes
Recovered 30d
yes
Drawdown
-3.94%
P&L 5d %
-1.44%
Ex-date Sep 8, 2022Q3
Dividend
$1.00
Gap %
-0.77%
Pre-ex close
$200.34
High touch (td)
1
Recovered 5d
yes
Recovered 30d
yes
Drawdown
-9.17%
P&L 5d %
-4.28%
Ex-date Jun 9, 2022Q2
Dividend
$1.00
Gap %
-0.22%
Pre-ex close
$199.57
High touch (td)
1
Recovered 5d
yes
Recovered 30d
yes
Drawdown
-2.20%
P&L 5d %
+2.36%
Ex-date Mar 9, 2022Q1
Dividend
$1.00
Gap %
1.13%
Pre-ex close
$222.73
High touch (td)
1
Recovered 5d
yes
Recovered 30d
yes
Drawdown
0.84%
P&L 5d %
+9.11%

CME Pre-Ex Touch Time Distribution

20 events analyzedHigh touched pre-ex within 5 trading days: 75% (15 events)

≤ 1 day
1365%
2–3 days
210%
4–5 days
00%
6–10 days
210%
11–30 days
15%
30+
210%

65% within 1d · 75% within 5d · 90% within 30d

CME Dividend Capture Calculator — After-Tax Yield

Pre-filled with CME's next expected dividend and recent close. Adjust tax rate, holding period and slippage to estimate after-tax capture yield.

CME dividend ($)CME price ($)SharesHold (days)Tax %?Slippage % per leg

Slippage preset

Holding shorter than the IRS 61-day rule disqualifies the dividend from “qualified” status — it is taxed as ordinary income at your marginal rate. Adjust Tax % accordingly.

Display

Gross dividend: $1490.00
After-tax dividend: $968.50
Slippage round-trip: -$63.82
Net if price returns to pre-ex: +$904.68
Required recovery to break even: 0.00%
Per-event after-tax yield: +1.42%
Annual if all succeed: ~71.4%

Scenariosbase rate 90%

Best (limit fills)+$904.68

Average (base rate)+$755.68

Worst (no recovery)$585.32

Open in full calculator →

CME Dividend Capture Backtest Simulator

Replay every historical CME ex-dividend with two exit strategies: a GTC limit-order at the pre-ex close (limit-order P&L on first intraday touch), or hold for N days and exit at MOC. Pick the window and quarter filter that matches your plan and see realized P&L per event.

Limit window:Quarter:

Sell back at the pre-ex close on the first intraday touch within the window. If it never touches, exit at MOC after the window expires (stop-loss).

Figures are gross — before tax, commissions, and slippage. Percents are per-event return on capital at entry (pre-ex close).

Avg P&L per trade(20 events)+0.04%

Win rate (20 trades)

85%

Cumulative P&L

+0.71%Sum of per-event % (not compounded)

Buy & hold (same sample)

+55.95%Span: Mar 9, 2022 → Mar 10, 2026 · long-horizon total return vs repeating capture cycles

Best event

Dec 27, 2022+0.72%

Worst event

Dec 27, 2024-3.17%

Cumulative P&L (equity curve)

Vertical axis: cumulative sum of per-event % (same units as the headline cumulative). Hover dots for exact values.

Mar 9, 2022Mar 10, 2026

Per-event P&L distribution

20 trades in this sample · bar height ∝ count in each bucket (gross % per event).

<-3%

-3..-1%

-1..0%

0..1%

1..3%

>3%

Scenario P&L by event · CME (20)

Scenario P&L — updates with exit mode, window, and quarter. History adds gap, touch, drawdown, and a fixed P&L 5d % (MOC). Same per-row % as that column only for MOC + 5d on the same rows. Oldest → newest, gross pre-ex close basis.

Ex-date	P&L
Mar 9, 2022	+0.45%
Jun 9, 2022	+0.50%
Sep 8, 2022	+0.50%
Dec 8, 2022	+0.57%
Dec 27, 2022	+0.72%
Mar 9, 2023	+0.60%
Jun 8, 2023	+0.60%
Sep 7, 2023	+0.54%
Dec 7, 2023	+0.51%
Dec 27, 2023	-3.17%
Mar 7, 2024	+0.52%
Jun 7, 2024	+0.57%
Sep 9, 2024	+0.52%
Dec 9, 2024	+0.48%
Dec 27, 2024	-3.17%
Mar 7, 2025	+0.49%
Jun 9, 2025	-2.00%
Sep 9, 2025	+0.48%
Dec 12, 2025	+0.46%
Mar 10, 2026	+0.53%

Looking for full price seasonality? See CME seasonality →

Frequently asked questions

What is the dividend capture success rate for CME?: Across the last 20 ex-dividend events for CME Group (CME), the post-ex intraday high reached the pre-ex close within 30 trading days in 90% of cases, with a median time-to-touch of 1 trading day. We measure recovery via intraday high because that is when a GTC limit-order at the pre-ex close would actually fill, ending the trade at break-even with the dividend pocketed.
How long does it take CME to recover its dividend gap?: Historically, CME touches its pre-ex close in a median of 1 trading day, with the best case at 1 and the worst case at 22 trading days within our 30-day measurement window. A stricter close-based recovery (mark-to-MOC) is also computed in the database; explore it with the per-ticker simulator’s “Hold N days, exit MOC” mode rather than in the event table.
Is the dividend on CME large enough to capture?: CME has a signal-to-noise ratio of 0.50 (dividend / 14-day ATR). Values above 1.0 indicate the dividend is larger than the typical daily price swing, making capture trades more viable; below 0.5 means typical daily noise can easily wipe out the gain.
How does CME compare to its sector for dividend capture?: Within Financial Services, the median 30-day pre-ex touch rate is 95%. CME sits at 90% — at or below the sector benchmark.
Why does CME dividend capture measure recovery via intraday high, not close?: A realistic capture trade exits via a GTC limit-order at the pre-ex close: the moment the post-ex intraday high touches that level, the order fills and the trader pockets the dividend at break-even. Measuring recovery via close is stricter (mark-to-MOC); we expose that path in the per-ticker simulator as the "Hold N days, exit MOC" mode. The high-based primary metric directly answers the trader-facing question "would my limit have filled?" — close-based answers "would I have been flat at the bell?".
How are dividend capture trades taxed in the US?: Holding period matters. Dividends are "qualified" (taxed at the long-term capital gains rate, 0/15/20%) only when the underlying shares are held for more than 60 days during the 121-day window centered on the ex-dividend date. Dividend capture trades typically hold less than 61 days, so the dividend is taxed at your ordinary income bracket. Always consult a qualified tax advisor.
What are the main risks of a dividend capture strategy?: Three structural risks: (1) the share price may not recover the gap within your holding window; (2) ordinary-income tax can consume the after-tax yield; (3) transaction costs and bid/ask slippage can wipe out small dividends. Historical statistics measure base rates; they do not guarantee any single trade will work.