- Why did CME Group launch Micro Ether futures?
- What is the difference between the currently listed Ether futures contract and the recently announced Micro Ether futures contract?
- What is the relationship between Micro Ether futures and the underlying spot market?
- What accounting and other regulatory treatment is afforded to Micro Ether futures in my local jurisdiction?
- Do I need a digital wallet to trade Micro Ether futures?
- What are the contract specifications?
- Are Micro Ether futures available for trading 24/7?
- Are Micro Ether futures EFP/EFRP-eligible?
- How is the Micro Ether futures daily settlement price determined?
- Are Micro Ether futures subject to circuit breaker limits?
- How is the Micro Ether futures final settlement price determined?
- What is the maximum order size for Micro Ether futures on CME Globex?
- Are options on Micro Ether futures available for trading?
- Through which market data channel are these products available?
CME CF Ether-Dollar Reference Rate (ETHUSD_RR)
Exchange Fees and Margin
- What are the Exchange transaction fees for Micro Ether futures?
- On which Exchange is Micro Ether futures listed?
- What are the margin requirements for Micro Ether futures?
- Where do Micro Ether futures fall in CME Clearing’s guarantee fund?
- What are the available margin credits for offsetting positions between Micro Ether futures and other CME Group cryptocurrency futures?
- Are Micro Ether futures fungible with their Ether futures counterpart? Can they be offset?
- What calendar spreads does CME Group list?
- What are the commodity code conventions for calendar spread trading?
- What does the spread price signify? How are separate contracts priced when I transact a spread trade?
Why did CME Group launch Micro Ether futures?
Since the launch of the Ether futures (ETH) contract in February 2021, its notional value has more than doubled. As a reference, see a chart of the ETH settlement prices since launch.
The ETH notional value has increased from $1.7K on the date that it launched to nearly $3.6K on October 11, 2021. The amount of capital needed to access the futures market has significantly increased. To make our market more accessible to risk managers and other traders, CME Group introduced the Micro Ether futures contract, which is 1/500 the size of the Ether futures contract (i.e. 1/10 of one ether versus fifty ether for Ether futures (ETH)).
What are the differences between the currently listed Ether futures contract and the recently announced Micro Ether futures contract?
The multiplier for the Micro Ether futures contract is 1/10 of one ether while the multiplier for the Ether futures contract is fifty ether.
What is the relationship between Micro Ether futures and the underlying spot market?
CME Micro Ether futures are based on the CME CF Ether-Dollar Reference Rate (ETHUSD_RR), which aggregates ether trading activity across major ether spot exchanges between 3 p.m. and 4 p.m. London time.
What accounting and other regulatory treatment is afforded to Micro Ether futures in my local jurisdiction?
As with any other derivatives product, the accounting treatment of positions in Micro Ether futures, and the general local regulatory treatment of trading in derivatives, may differ by country and between competent jurisdictions. Market participants are responsible for complying with all applicable US and local requirements, as well as Exchange rules. Market participants should seek professional counsel as necessary and appropriate to their circumstances.
Do I need a digital wallet to trade Micro Ether futures?
No. You do not need a digital wallet because Micro Ether futures are financially settled, and therefore, do not involve the exchange of ether.
In order to trade futures, you must open an account with a registered futures broker who will maintain your account and guarantee your trades. In the futures business, brokerage firms are known as either a futures commission merchant (FCM) or an introducing broker (IB).
What are the contract specifications?
|TRADING AND CLEARING HOURS||
CME Globex: Sunday - Friday 5:00 p.m. - 4:00 p.m/ CT with a 60-minute break each day beginning at 4:00 p.m. CT BTIC: Sunday - Friday 5:00 p.m. - 4:00 p.m. CT with a trading halt from 4:00 - 4:30 p.m. London Time (10:00/11:00 - 10:30/11:30 a.m. CT) and a daily maintenance period from 4:00 - 5:00 p.m. CT.
CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. - 6:00 p.m. CT BTIC: Sunday 5:00 p.m. CT - Friday 5:45 p.m. CT with a trading halt from 4:00 - 4:30 p.m. London Time (10:00/11:00 - 10:30/11:30 a.m. CT) with no reporting Monday - Thursday 5:45 - 6:00 p.m. CT.
|MINIMUM PRICE FLUCTUATION||
Outright: $0.50 per ether = $0.05 per contract
Calendar spreads and BTIC: $0.10 per ether = $0.01 per contract
CME Globex: MET
CME ClearPort: MET
Six consecutive monthly contracts inclusive of the nearest two December contracts.
Delivery is by cash settlement by reference to the Final Settlement Price, equal to the CME CF Ether-Dollar Reference Rate on the last day of trading.
|TERMINATION OF TRADING||
Trading terminates at 4:00 p.m. London time on the last Friday of the contract month that is either a UK or US business day. If the last Friday of the contract month day is not a business day in both the UK and the US, trading terminates on the prior UK or US business day.
BTIC: Trading terminates at 4:00 p.m. London time on the last Thursday of the contract month that is either a UK or US business day. If the last Thursday of the contract month day is not a business day in both the UK and the US, trading terminates on the prior UK or US business day.
|BLOCK TRADE MINIMUM THRESHOLD||
Reportable window: RTH 5 minutes; ETH/ATH 15 minutes
|CME GLOBEX MATCHING ALGORITHM||
F: First In, First Out (FIFO)
Are Micro Ether futures available for trading 24/7?
Yes, bilateral transactions such as block trades, pursuant to Rule 526, and EFRPs (Exchange for Related Position), pursuant to Rule 538, may be negotiated/executed 24/7 and must be submitted for clearing during the appropriate CME ClearPort session. The minimum block threshold level is 100 contracts. CME Globex, our electronic central limit order book platform, is available 23 hours per day beginning Sunday evening at 6∶00 p.m. ET and ending at 5∶00 p.m. ET Friday afternoon.
Are Micro Ether futures EFP/EFRP-eligible?
Yes, Micro Ether futures are EFP/EFRP-eligible.
How is the Micro Ether futures daily settlement price determined?
Daily settlement for Micro Ether futures will be the same as Ether futures. The daily settlement of the Ether futures contract is based on the volume-weighted average price (VWAP) of CME Globex trades between 3:59:00 p.m. and 4:00:00 p.m. ET.
Are Micro Ether futures subject to circuit breaker limits?
Micro Ether futures are subject to special price fluctuation limits (circuit breakers). At the commencement of each trading day, Micro Ether futures are assigned a dynamic price limit variant which equals a percentage of the prior day’s Exchange- determined settlement price, or a price deemed appropriate by CME Group. During the trading day, the dynamic variant is applied in rolling 60-minute look-back periods to establish dynamic lower and upper price fluctuation limits as follows:
- The dynamic variant is subtracted from the highest trade and/or bid price during a look-back period to establish the lower price fluctuation limit.
- The dynamic variant is added to the lowest trade and/or offer price during a look-back period to establish the upper price fluctuation limit.
How is the Micro Ether futures final settlement price determined?
The final settlement value is based on the CME CF Ether-Dollar Reference Rate at 4:00 p.m. London time on the expiration day of the futures contract.
What is the maximum quantity size for Micro Ether futures on CME Globex?
Are options on Micro Ether futures available for trading?
CME Group will not initially list options but will reassess introducing options once the futures market develops and as customer demand evolves.
Through which market data channel are these products available?
Micro Ether futures real-time market data is available on MDP Channel 318, and Micro Ether futures historical data is available through CME DataMine.
Additionally, real-time market data for the underlying ETHUSD_RR Index is available through MDP Channel 213 during normal market hours, while also available 24/7 through CME DataMine’s Streaming Service. ETHUSD_RR and ETHUSD_RTI historical data is available through CME DataMine.
CME CF Ether-Dollar Reference Rate (ETHUSD_RR)
What is the CME CF Ether-Dollar Reference Rate (ETHUSD_RR)?
Launched in 2018, the CME CF Ether-Dollar Reference Rate (ETHUSD_RR) is a daily reference rate of the US dollar price of one ether as of 4:00 p.m. London time.
Designed by CME Group and CF Benchmarks around the IOSCO Principles for Financial Benchmarks, ETHUSD_RR aggregates the trade flow of major ether spot exchanges during a specific calculation window into a once-a-day reference rate of the US dollar price of ether. Calculation rules are geared toward maximum transparency and real-time replicability in underlying spot markets.
How is the ETHUSD_RR calculated?
The ETHUSD_RR is calculated based on the relevant ether transactions on all constituent exchanges between 3:00 p.m. and 4:00 p.m. London time. The price and size of each relevant transaction is recorded and added to a list which is portioned into 12 equally weighted time intervals of five minutes each. For each partition, a volume-weighted median trade price is calculated from the trade prices and sizes of the relevant transactions across all the constituent exchanges. The ETHUSD_RR is then determined by taking an equally weighted average of the volume-weighted medians of all partitions.
Exchange Fees and Margin
What are the Exchange transaction fees for Micro Ether futures?
Fees can be found on the CME Fee Schedule.
In which division do Micro Ether futures reside?
Micro Ether futures is listed on CME Exchange.
What are the margin requirements for Micro Ether futures?
Exchange margin requirements may be found at cmegroup.com.
Note: clearing firms may require a margin level beyond CME Clearing’s minimum requirement.
Where do Micro Ether futures fall in CME Clearing’s guarantee fund?
Micro Ether futures fall into CME’s Base Guaranty Fund for futures and options on futures. For all other inquiries regarding margins or CME Clearing’s approach to risk management, please contact email@example.com.
What are the available margin credits for offsetting positions between Micro Ether futures and other CME Group cryptocurrency futures?
Margin credits are indicative of their cryptocurrency counterparts and the below estimates are based on current market conditions and are subject to change.
|CRYPTOCURRENCY FUTURES MARGINS OFFSETS|
|MBT||x||1:50 (100%)||3:50 (50%)||30:1 (50%)|
|BTC||50:1 (100%)||x||3:1 (50%)||1500:3|
|ETH||50:3 (50%)||1:3 (50%)||X||1500:3 (100%)|
|MET||1:30 (50%)||3:1500||1:500 (100%)||x|
Are Micro Ether futures fungible with their Ether futures counterpart? Can they be offset?
No, Micro Ether futures positions are not offset eligible versus Ether futures. However, Micro Ether futures are eligible for margin and risk offsets against the Ether futures contract at a 500:1 ratio (500 MET vs one ETH).
What calendar spreads does CME Group list?
CME Group will list all possible combinations of the listed months.
What are the commodity code conventions for calendar spread trading?
Buying the spread is equivalent to buying the deferred contract month, for example:
METK2 – METM2 is the May22/Jun22 spread. Buying this spread means buying the Jun22 contract and selling the May22 contract.
If you are long the May22 contract, buying the May/Jun spread will extend your expiration into June.
What does the spread price signify? How are separate contracts priced when I transact a spread trade?
The price of the spread trade is the price of the deferred expiration less the price of the nearby expiration. After the spread trade is done, the price of the two contracts will be determined using the following convention:
The nearby contract is priced at its daily settlement price on the previous day. The deferred contract is priced is nearby contract’s assigned price plus the spread price.
- Bought METK2-METM2 @-50
- Assuming METK2 prior settle = 3600
- Price of the two legs: sold METK2 @ 3600, bought METM2 @ 3600 + 50 = 3650
What impact will Eth 2.0 have on these contracts?
Ethereum 2.0 is an update to the Ethereum blockchain which will not affect ether nor the CME Group Ether futures suite.
How can I access CME Globex?
To access CME Globex, you must have a relationship with a CME Clearing Member Firm.
Where can I find more information on CME Micro Ether futures?
Where can I see prices for Micro Ether futures?
Delayed quotes will be available on cmegroup.com. You can also access quotes through major quote vendors.
What are the position limits for Micro Ether futures?
Open positions across our Ether product suite (Ether futures (ETH) and Micro Ether futures (MET)) will count toward an aggregate position limit which is established in terms of the larger, 50 Ether futures contract. An open position in ETH futures will count as one contract toward the limit while an open position in a MET contract will count as 1/500 of a contract.
For example, assume a client is long 1,000 ETH and long 1,000 MET, in this case, 1,002 contracts (1,000 ETH + 1,000 MET/500) will go toward the position limit test.
Position limits may be found here: http://www.cmegroup.com/rulebook/files/position-limits-cme.xlsx.