Basis Trade at Index Close (BTIC) Transactions

Basis Trade at Index Close (BTIC)

Capture the certainty of the close.

Basis Trade at Index Close (BTIC) enables market participants to execute a basis trade relative to the official close for the underlying index for more efficient cash management.

BTIC on Major Indices, Available as Blocks and on CME Globex

Index Futures Product Ticker Symbol Minimum Tick Increment BTIC Block Trade Threshold Clears into Underlying Product
CME Bloomberg CQG Thomson Reuters
E-mini S&P 500 EST STEA Index EPT 1SETc1 0.05 500 ES
E-mini NASDAQ-100 NQT QNTA Index NQT 1NQTc1 0.05 500 NQ
E-mini Dow ($5) YMT YMTA Index YMT 1YMTc1 1.00 500 YM
E-mini Russell 1000 R1T YSRA Index R1T 1R1Tc1 0.05 50 RS1

How it Works

  • BTIC transactions provide the bridge between the cash index close and the futures market.
  • At any point during the trading session, a buyer and seller agree to a “basis,” which represents the spread between the futures and the cash index.
  • Once the closing cash index level is determined, the futures trade occurs at the closing index level plus the agreed upon basis.
  • BTIC allows investors to trade futures prices that are directly derived from the official cash index close without slippage risk.

Product Applications

  • Benchmark trading against the close
  • Index rebalancing and reinvestment (adds/deletes)
  • Option expiration delta trading
  • Balance sheet management
  • Hedging of OTC swaps and options
  • Cash equitization

Getting Started

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