Basis Trade at Index Close (BTIC)

CAPTURE THE CERTAINTY OF THE CLOSE

Available on CME Globex and as Block trades, Basis Trade at Index Close (BTIC) transactions enable market participants to execute a basis trade relative to the official close for the underlying index for more efficient cash management.

A BTIC transaction is entered into via a basis expressed in discrete index points, where the executed trade price is the total number of index points to be applied to the official close price of the underlying index. In essence, a BTIC transaction provides the ability to trade the future at a price understood to be the theoretical equivalent of the official cash index close with given assumptions on dividends and all-in implied financing to maturity.

Since the BTIC market is expressed in terms of the futures price differential to the spot index value, also known as “the basis,” the indicated market prices can be either negative or positive depending on expected dividends, financing and time to maturity. The BTIC price will be transposed to a futures contract price forty-five (45) minutes following the close of the underlying cash equity market, where the futures position will be assigned a price equal to the official closing index value plus the basis.

BTIC bid, ask and trade prices must be in valid tick increments as per the corresponding BTIC contract specifications. However, the futures contract trade price resulting from the basis applied to the cash index close price does not need to be in the contract specified tick increment and will not be rounded to the nearest tick.

Trade BTIC on Major U.S. Indices

  • E-mini S&P 500, E-mini NASDAQ-100, E-mini Dow ($5), E-mini Russell 1000
  • BTIC Blocks and BTIC on CME Globex

BTIC benefits include:

  • Efficiency: Access the official cash index close with a single futures transaction in lieu of the underlying cash basket.
  • Flexibility: Manage index exposure before the spot market closes and independent of primary equity market closing auction deadlines.
  • Choice: Trade BTIC on CME Globex or as Blocks for equity index benchmarks.
  • Control: Directly negotiate a Block trade with a selected eligible counterparty.
  • Security: Risk management and safeguards provided by CME Clearing.

About BTIC Block Trades1

Timing: must be reported to the exchange within five (5) minutes of agreeing to terms of the transaction. Reporting windows vary based on the corresponding cash index trading session. Please consult cmegroup.com for the latest contract specifications.

Reporting: can be handled just like regular Block trades and price reported and cleared via CME ClearPort (for registered users), or alternatively reported to the Global Command Center (GCC) where the trades are subsequently entered directly into the Front End Clearing (FEC) system.

Price Increment: must have a basis or price increment stated in standard size ticks (minimum price increments for basis)

of the contract. Note, however, that trades completed based on the closing index value will be cleared in increments of 0.01, as the underlying stock price index is reported to a two decimal place level of precision. These positions will be created automatically by CME Clearing based on the reported BTIC Block trade basis price.2071.18 + (-6.35)) will be created.

BTIC Block Trade Example

Suppose that two market participants want to transact a BTIC block trade for E-mini S&P 500 futures based on the closing index value of the S&P 500 Index. The market participants agree to the following terms:

  • March 2016 E-mini S&P 500 futures
    • BTIC block trade eligible contract
    • BTIC block trade entry symbol ESTH6, not the regular contract symbol ESH6
  • A basis/price of -6.35
    • Negotiated and traded in 0.05 index point increments, the minimum price increment (tick size) of the ESTH6 contract, as required.
  • 500 contracts
    • Meets the minimum BTIC Block trade threshold as required. Please note that this is a 500 contract minimum, not a clip size, where any number of contracts equal to or greater than the contract specified minimum block trade threshold is acceptable.

Within five (5) minutes of the two counterparties agreeing to the trade, both sides of the trade must be price reported to CME ClearPort, or alternatively to the GCC and directly entered into Front-End Clearing (FEC).

  • Parties report the BTIC Block trade to CME ClearPort or to the GCC as ESTH6 500x @ -6.35.
  • Suppose that the closing S&P 500 index level is 2071.18. A futures position of ESH6 500x @ 2064.83 (i.e. 2071.18 + (-6.35)) will be created.

1BTIC Block trades must comply with requirements in CME or CBOT Rule 526 (Block Trades), as applicable.

BTIC transactions have their own unique ticker codes. Use the following tickers when entering BTIC Blocks and BTIC trades on CME Globex.

Index Futures Product

BTIC Ticker

BTIC Minimum Tick Increment

BTIC Block Trade Threshold

Clears into Underlying Product

E-mini S&P 500*

EST

0.05

500

ES

E-mini NASDAQ-100*

NQT

0.05

500

NQ

E-mini Dow ($5)*

YMT

1.00

500

YM

E-mini Russell 1000*

R1T

0.05

50

RS1

E-mini FTSE 100*

FTT

0.25

50

FT1

E-mini USD-Denominated FTSE 100*

FTB

0.05

50

FTU

E--mini FTSE China 50*

FTC

1.00

50

FT5

E-mini FTSE Developed Europe*

DVT

0.01

50

DVE

E-mini FTSE Emerging *

EIT

0.05

50

EI

E-mini Russell 1000 Growth*

RGT

0.05

50

RSG

E-mini Russell 1000 Value*

RVT

0.05

50

RSV

E-mini S&P Consumer Discretionary Select Sector

XYT

0.10

50

XAY

E-mini S&P Consumer Staples Select Sector

XPT

0.10

50

XAP

E-mini S&P Energy Select Sector

XET

0.10

50

XAE

E-mini S&P Financial Select Sector

XFT

0.05

50

XAF

E-mini S&P Healthcare Select Sector

XVT

0.10

50

XAV

E-mini S&P Industrial Select Sector

XIT

0.10

50

XAI

E-mini S&P Materials Select Sector

XBT

0.10

50

XAB

E-mini S&P Real Estate Select Sector2

XRT

0.05

50

XAR

E-mini S&P Technology Select Sector

XKT

0.10

50

XAK

E-mini S&P Utilities Select Sector

XUT

0.10

50

XAU

Dow Jones U.S. Real Estate

REX

0.10

50

JR

E-mini NASDAQ Biotechnology

BIT

0.10

50

BQ

E-mini IPOX 100 U.S.

IPT

0.50

50

IPO

E-mini S&P MidCap 400

EMT

0.10

50

ME

E-mini S&P SmallCap 600

SMT

0.10

50

SMC

S&P 500 Total Return2

TRB

0.10

500

TRI

S&P 500 Carry Adjusted Total Return2

CTB

0.10

500

CTR

USD-Denominated Ibovespa

IBB

5.00

50

IBV

S&P 500 Growth

SGT

0.10

50

SG

S&P 500 Value

SUT

0.10

50

SU

S&P MLP

SLT

0.50

50

SLP

*BTIC on CME Globex available

2Real Estate Select Sector and Total Return Index futures launch 29 August 2016

For additional product information, visit cmegroup.com/btic.

For trade reporting and related questions, contact the Global Command Center (GCC):

United States: +1 800 438 8616

Europe: +44 20 7623 4747

Asia: +65 6532 5010

gcc@cmegroup.com (for non-urgent questions)

About CME Group

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