Basis Trade at Index Close (BTIC)

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 Direct or CME ClearPort.

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 Direct CME ClearPort.

  • Parties report the BTIC Block trade using CME Direct or CME ClearPort 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
Major U.S. Index Futures        
E-mini S&P 500* EST 0.05 500 ES
E-mini NASDAQ-100* NQT 0.05 500 NQ
E-mini Dow ($5)* YMT 1 500 YM
E-mini Russell 2000* - avail July 10, 2017 RLT 0.05 40 RTY
Other U.S. Index Futures
E-mini Russell 2000 Growth* - avail July 10, 2017 2GT 0.05 40 R2G
E-mini Russell 2000 Value* - avail July 10, 2017 2VT 0.05 40 R2V
E-mini Russell 1000* R1T 0.05 50 RS1
E-mini Russell 1000 Growth* RGT 0.05 50 RSG
E-mini Russell 1000 Value* RVT 0.05 50 RSV
Dow Jones U.S. Real Estate REX 0.1 50 JR
E-mini NASDAQ Biotechnology BIT 0.1 20 BQ
E-mini IPOX 100 U.S. IPT 0.5 50 IPO
E-mini S&P MidCap 400 EMT 0.1 50 ME
E-mini S&P SmallCap 600 SMT 0.1 50 SMC
S&P 500 Total Return* TRB 0.1 500 TRI
S&P 500 Carry Adjusted Total Return* CTB 0.1 500 CTR
S&P 500 Growth SGT 0.1 50 SG
S&P 500 Value SUT 0.1 50 SU
S&P MLP SLT 0.5 20 SLP
Select Sector Index Futures        
E-mini S&P Consumer Discretionary Select Sector XYT 0.1 50 XAY
E-mini S&P Consumer Staples Select Sector XPT 0.1 50 XAP
E-mini S&P Energy Select Sector XET 0.1 50 XAE
E-mini S&P Financial Select Sector XFT 0.05 50 XAF
E-mini S&P Healthcare Select Sector XVT 0.1 50 XAV
E-mini S&P Industrial Select Sector XIT 0.1 50 XAI
E-mini S&P Materials Select Sector XBT 0.1 50 XAB
E-mini S&P Real Estate Select Sector XRT 0.05 50 XAR
E-mini S&P Technology Select Sector XKT 0.1 50 XAK
E-mini S&P Utilities Select Sector XUT 0.1 50 XAU
International Index Futures
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 50 FT5
E-mini FTSE Developed Europe* DVT 0.01 50 DVE
E-mini FTSE Emerging * EIT 0.05 50 EI
USD-Denominated Ibovespa IBB 5 50 IBV

*BTIC on CME Globex available

About CME Group

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Learn more about BTIC

For 24-hour support, 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)