OVERVIEW
  1. What is the relationship between Micro Bitcoin and Micro Ether options and their underlying futures contracts?
  2. How do Micro Bitcoin and Micro Ether options relate to the spot cryptocurrency market?
PRODUCT DETAILS
  1. What are the contract specifications?
  2. What is the delivery method for Micro Cryptocurrency options?
  3. Does physical delivery mean that the Micro Cryptocurrency options deliver a spot cryptocurrency coin?
  4. What is the option exercise style? Is early exercise possible?
  5. For weekly options, how is option moneyness determined for exercising and assigning futures positions?
  6. How is the Price Fixing for Options on Micro Bitcoin and Micro Ether futures calculated?
  7. Is there a similar fixing, exercise, and assignment process for monthly options?
  8. What is the CME CF Bitcoin Reference Rate (BRR)?
  9. How is the BRR calculated?
  10. What is the CME CF Ether-Dollar Reference Rate (ETHUSD_RR)?
  11. How is the ETHUSD_RR calculated?
  12. How can traders take physical delivery of bitcoin or ether?
  13. Are options on Micro Cryptocurrency futures block eligible?
  14. How are the daily settlement prices for options on Micro Bitcoin and Micro Ether futures determined?
  15. How does the exchange handle holidays which conflict with Micro cryptocurrency option expiries?
  16. When will new option expiries be made available?
  17. Where can I find additional material on Micro Bitcoin and Ether options?
EXCHANGE FEES AND MARGIN
  1. What are the Exchange transaction fees for options on Micro Cryptocurrency futures?
  2. In which division do options on Micro Cryptocurrency futures reside?
  3. How are the margin requirements for options on Cryptocurrency futures calculated?
  4. Where do options on Micro Cryptocurrency futures fall in CME Clearing’s guaranty fund?
Additional Information
  1. What are the vendor options codes?
  2. Are options on Micro Bitcoin and Micro Ether futures available for trading 24/7?
  3. How can I access CME Globex?
  4. Where can I see options analytics?
  5. Where can I see prices for options on Micro Bitcoin and Micro Ether futures?
  6. Where can I find block liquidity provider contact information?
  7. Do I need a digital wallet to trade options on Micro Cryptocurrency futures?
  8. What do I need to do to trade options on Micro Cryptocurrency futures?
  9. Where can I find more information on the BRR Constituent Exchanges?
  10. Where can I find Bloomberg contract codes for Micro Cryptocurrency futures option expiries?
OVERVIEW

1. What is the relationship between Micro Bitcoin and Micro Ether options and their underlying futures contracts?

CME Options on Micro Bitcoin and Micro Ether futures give the buyer of a call/put the right to buy/sell one Micro Cryptocurrency futures contract at a specified strike price at some future date.

Upon termination of trading, each in-the-money Micro Bitcoin or Micro Ether option delivers one contract of the respective future which underlies the option.


2. How do Micro Bitcoin and Micro Ether options relate to the spot cryptocurrency market?

The value of CME Micro Cryptocurrency options is tied to the price of underlying Micro Cryptocurrency futures.  Micro Cryptocurrency futures, in turn, fluctuate in value relative to price movements in spot bitcoin and ether.    

At expiration, in-the-money options will deliver a futures contract which may or may not immediately expire, depending upon the option expiry chosen.  However, ultimately Micro cryptocurrency futures expire into the value of a reference rate tied to spot transactions in the respective coin. 

Neither Micro Cryptocurrency options nor futures will deliver underlying cryptocurrencies, although the value of these contracts are closely tied to the movement of the associated coin. 


PRODUCT DETAILS

1. What are the contract specifications?

Options on Micro Bitcoin futures

Contract Title Options on Micro Bitcoin Futures
Rulebook Chapter CME 348A
CME Globex and CME ClearPort Code Monday Weekly: W1A-W5A
Wednesday Weekly: W1C-W5C
Friday Weekly 1,2,3,4: W1E-W4E
Monthly: WM
Contract Unit One Micro Bitcoin futures contract (Commodity Code:  MBT) which represents 0.10 bitcoin
Trading and Clearing Hours CME Globex: Sunday - Friday 5 p.m. - 4 p.m. Central Time (CT) (6:00 p.m. - 5 p.m. Eastern Time (ET) with a 60-minute break each day beginning at 4 p.m. CT (5 p.m. ET)
CME Globex Pre-Open: 4:45 p.m. – 5 p.m. CT (5:45 p.m. – 6 p.m. ET)
CME ClearPort: Sunday 5 p.m. - Friday 5:45 p.m. CT (6 p.m. – 6:45 p.m. ET) with a 15-minute maintenance window between 5:45 p.m. – 6 p.m. CT (6:45 p.m. – 7 p.m. ET) Monday - Thursday
Settlement Method Deliver the nearest to expire future underlying the option.
Listing Schedule 1 nearest Monday Weekly contract
1 nearest Wednesday Weekly contract
4 nearest Friday Weekly contracts of Weeks 1,2,3,4
2 nearest Monthly contracts
Price Basis Prices are quoted and traded in U.S. Dollar
Minimum Price Fluctuation Outright: 5 index points = $0.50 per contract
Reduced tick and Spread: 1 index points = $0.10 per contract
Exercise Procedure European Style (with no contrary instructions)
Strike Price Listing Schedule All times:
Persistent strikes: $500,000; $100,000; $50,000; $10,000; $5,000; $1,000
If bitcoin > $500K: $100,000: 100% below to 400% above underlying
$10,000: 50% below to 100% above underlying
If bitcoin <= $500K: $50,000: 100% below to 400% above underlying
$5,000: 50% below to 100% above underlying
If bitcoin <= $100K: $10,000: 100% below to 400% above underlying
$1,000: 50% below to 100% above underlying
If bitcoin <= $50K: $5,000: 100% below to 400% above underlying
$500: 50% below to 100% above underlying
If bitcoin <= $10K: $1000: 100% below to 400% above underlying
$100: 50% below to 100% above underlying
If bitcoin <= $5K: $500: 100% below to 400% above underlying
$50: 50% below to 100% above underlying

<35 Days Until Expiration:
Persistent strikes: $500,000; $100,000; $50,000; $10,000; $5,000; $1,000
If bitcoin > $500K: $5,000: 10% below to 20% above underlying
If bitcoin <= $500K: $2,500: 10% below to 20% above underlying
If bitcoin <= $100K: $500: 10% below to 20% above underlying
If bitcoin <= $50K: $250: 10% below to 20% above underlying
If bitcoin <= $10K: $50: 10% below to 20% above underlying
If bitcoin <= $5K: $25: 10% below to 20% above underlying
Termination of Trading Monday Weekly expiry: Trading terminates at 4:00 p.m. London time on Monday of the contract week.
If such Monday is not a scheduled Business Day in both the US and UK, then trading in expiring options shall be scheduled to terminate on the Business Day in either the US or the UK, next following such Monday

Wednesday Weekly expiry: Trading terminates at 4:00 p.m. London time on Wednesday of the contract week.
If such Wednesday is not a scheduled Business Day in both the US and UK, then trading in expiring options shall be scheduled to terminate on the Business Day in either the US or the UK, first preceding such Wednesday.

Friday Weekly expiry: Trading terminates at 4:00 p.m. London time on Friday of the contract week.
If such Friday is not a scheduled Business Day in both the US and UK, then trading in expiring options shall be scheduled to terminate on the Business Day in either the US or the UK, first preceding such Friday.

Monthly expiry: Trading terminates at 4:00 p.m. London time on the last Friday of the contract month.
If that day is not a Business Day in both the UK and the US, trading shall terminate on the preceding day that is a Business Day in either the UK or the US.
Final Settlement

Monday, Wednesday, and Friday Weekly expiry: Option exercise results in a position in the underlying cash-settled futures contract.  Options which are in-the-money on the last day of trading are automatically exercised.  A 4:00 p.m. London time price fixing based on a notionally-adjusted volume-weighted average traded price fixing of Bitcoin futures and Micro Bitcoin futures in the last thirty (30) minutes of trading on expiration day (3:30:00 p.m. – 3:59:59 p.m. London time) will be used to determine which options are in-the-money. 

Monthly expiry: Delivery is by cash settlement by reference to the Final Settlement Price, equal to the CME CF Bitcoin Reference Rate (BRR) on the Last Day of Trading.

Block Trade Minimum Threshold 10 contracts
Reportable window: RTH 5 minutes; ETH/ATH 15 minutes
CME Globex Matching Algorithm F: First In, First Out (FIFO)

Options on Micro Ether futures

Contract Title Options on Micro Ether Futures
Rulebook Chapter CME 347A
CME Globex and CME ClearPort Code Monday Weekly: V1A-V5A
Wednesday Weekly: V1C-V5C
Friday Weekly 1,2,3,4: V1E-V4E
Monthly: VM
Contract Unit One Micro Ether futures contract (Commodity Code:  MET) which represents 0.10 ether
Trading and Clearing Hours CME Globex: Sunday - Friday 5 p.m. - 4 p.m. Central Time (CT) (6 p.m. - 5 p.m. Eastern Time (ET) with a 60-minute break each day beginning at 4 p.m. CT (5 p.m. ET)
CME Globex: Pre-Open: 4:45 p.m. – 5 p.m. CT (5:45 p.m. – 6 p.m. ET)
CME ClearPort: Sunday 5 p.m. - Friday 5:45 p.m. CT (6 p.m. – 6:45 p.m. ET) with a 15-minute maintenance window between 5:45 p.m. – 6 p.m. CT (6:45 p.m. – 7 p.m. ET) Monday - Thursday
Settlement Method Deliver the nearest to expire future underlying the option
Listing Schedule 1 nearest Monday Weekly contract
1 nearest Wednesday Weekly contract
4 nearest Friday Weekly contracts of Weeks 1,2,3,4
2 nearest Monthly contracts
Price Basis Prices are quoted and traded in U.S. Dollar
Minimum Price Fluctuation Outright: 0.50 index points = $0.05 per contract
Exercise Procedure European Style (with no contrary instructions)
Strike Price Listing Schedule All times:
Persistent strikes: $50,000; $10,000; $5,000; $1,000; $500; $100
If ether > $50K: $10,000: 100% below to 400% above underlying
$1,000: 50% below to 100% above underlying
If ether <= $50K: $5,000: 100% below to 400% above underlying
$500: 50% below to 100% above underlying
If ether <= $10K: $1,000: 100% below to 400% above underlying
$100: 50% below to 100% above underlying
If ether <= $5K: $500: 100% below to 400% above underlying
$50: 50% below to 100% above underlying
If ether <= $1K: $100: 100% below to 400% above underlying
$10: 50% below to 100% above underlying
If ether <= $500: $50: 100% below to 400% above underlying
$5: 50% below to 100% above underlying

<35 Days Until Expiration:
Persistent strikes: $50,000; $10,000; $5,000; $1,000; $500; $100
If ether > $50K: $500: 10% below to 20% above underlying
If ether <= $50K: $250: 10% below to 20% above underlying
If ether <= $10K: $50: 10% below to 20% above underlying
If ether <= $5K: $25: 10% below to 20% above underlying
If ether <= $1K: $5: 10% below to 20% above underlying
Termination of Trading Monday Weekly expiry: Trading terminates at 4:00 p.m. London time on Monday of the contract week.
If such Monday is not a scheduled Business Day in both the US and UK, then trading in expiring options shall be scheduled to terminate on the Business Day in either the US or the UK, next following such Monday

Wednesday Weekly expiry: Trading terminates at 4:00 p.m. London time on Wednesday of the contract week.
If such Wednesday is not a scheduled Business Day in both the US and UK, then trading in expiring options shall be scheduled to terminate on the Business Day in either the US or the UK, first preceding such Wednesday.

Friday Weekly expiry: Trading terminates at 4:00 p.m. London time on Friday of the contract week.
If such Friday is not a scheduled Business Day in both the US and UK, then trading in expiring options shall be scheduled to terminate on the Business Day in either the US or the UK, first preceding such Friday.

Monthly expiry: Trading terminates at 4:00 p.m. London time on the last Friday of the contract month.
If that day is not a Business Day in both the UK and the US, trading shall terminate on the preceding day that is a Business Day in either the UK or the US.
Final Settlement

Monday, Wednesday, and Friday Weekly expiry: Option exercise results in a position in the underlying cash-settled futures contract.  Options which are in-the-money on the last day of trading are automatically exercised.  A 4:00 p.m. London time price fixing based on a notionally-adjusted volume-weighted average traded price fixing of Ether futures and Micro Ether futures in the last thirty (30) minutes of trading on expiration day (3:30:00 p.m. – 3:59:59 p.m. London time) will be used to determine which options are in-the-money. 

Monthly expiry: Delivery is by cash settlement by reference to the Final Settlement Price, equal to the CME CF Ether-Dollar Reference Rate (ETHUSD_RR) on the Last Day of Trading.

Block Trade Minimum Threshold 100 contracts
Reportable window: RTH 5 minutes; ETH/ATH 15 minutes
CME Globex Matching Algorithm F: First In, First Out (FIFO)

2. What is the delivery method for Micro Cryptocurrency options?

All in-the-money Micro Bitcoin and Micro Ether options physically deliver an underlying futures contract.  The futures contract, when delivered, may have time remaining until expiration. 

In such case, traders who are exercised or assigned will receive a futures contract whose value will fluctuate, until the futures contract expires. 

In the case of monthly options, the futures contract itself will immediately expire, as monthly options have expiries which align with the settlement of their underlying futures.


3. Does physical delivery mean that the Micro Cryptocurrency options deliver a spot cryptocurrency coin?

No.  Micro Cryptocurrency options on futures deliver only the nearest to expire futures contract underlying the option. 

In the case of weekly Monday, Wednesday, and Friday Micro Bitcoin or Micro Ether options, the delivered futures contract will continue to actively trade post option exercise / assignment. 

In the case of monthly Micro Bitcoin (Ether) options, the option will deliver a futures contract that immediately expires to cash, tied to the CME CF Bitcoin Reference Rate, BRR (CME CF Ether-dollar Reference Rate, ETHUSD_RR) price. 

Under no circumstances will a Micro Cryptocurrency option or futures deliver a cryptocurrency coin. 


4. What is the option exercise style? Is early exercise possible?

All Micro Bitcoin and Micro Ether options are European-Style.  More specifically, these options are exercisable into a futures contract on the last day of trading only, and early exercise is prohibited. 

At the time of expiration, in-the-money options are automatically exercised, out-of-money options are abandoned.  Contrarian instructions are disallowed. 


5. For weekly options, how is option moneyness determined for exercising and assigning futures positions?

Weekly Monday, Wednesday, and Friday options are exercisable into the underlying futures at 4 p.m. London time, with option moneyness determined by a price fixing of the underlying futures.  In-the-money options are automatically exercised, and out-of-money options are abandoned based on the Price Fixing. 


6. How is the Price Fixing for Options on Micro Bitcoin and Micro Ether futures calculated?

The Price Fixing for Micro Bitcoin options is calculated based on the notionally adjusted volume weighted average traded price of the underlying Micro Bitcoin Futures and Bitcoin futures underlying the options contract during the period of 3:30:00 p.m. – 3:59:59 p.m. London Time. An equivalent process is undertaken for Micro Ether and Ether futures market activity to calculate the Price Fixing for Micro Ether options.


7. Is there a similar fixing, exercise, and assignment process for monthly options?

No. Monthly options are exercisable into the underlying futures on the last day of trading only, as determined by the final settlement of the underlying futures. Upon option exercise or assignment, the Micro Bitcoin or Micro Ether futures that is delivered immediately expires to the CME CF Bitcoin Reference Rate (BRR) or CME CF Ether-Dollar Reference Rate (ETHUSD_RR), respectively.    


8. What is the CME CF Bitcoin Reference Rate (BRR)?

Designed by CME Group and CF Benchmarks around the IOSCO Principles for Financial Benchmarks, the BRR is a daily reference rate of the US dollar price of one bitcoin as of 4 p.m. London time. It is representative of the bitcoin trading activity on constituent exchanges and is geared towards resilience and replicability.


9. How is the BRR calculated?

The BRR is calculated based on the relevant bitcoin transactions on all constituent exchanges between 3 p.m. and 4 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 BRR is then determined by taking an equally weighted average of the volume-weighted medians of all partitions.


10. 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 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.


11. How is the ETHUSD_RR calculated?

The ETHUSD_RR is calculated based on the relevant ether transactions on all constituent exchanges between 3p.m. and 4p.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.


12. How can traders take physical delivery of bitcoin or ether?

Market participants desiring physical bitcoin or ether delivery may enter into an Exchange for Related Positions (EFRPs) transaction– a privately negotiated trade between two counterparties allowing them to simultaneously establish a spot and futures position. For spot position holders, an EFP can swap a long spot position with futures exposure that can be rolled forward. EFRP transactions are governed by Exchange Rule 538.


13. Are options on Micro Cryptocurrency futures block eligible?

Yes, options on Micro Bitcoin futures and options on Micro Ether futures are block-eligible and are governed by Exchange Rule 526. The minimum block threshold for Micro Bitcoin options is 10 contracts, and for Micro Ether options, the level is 100 contracts. 


14. How are the daily settlement prices for options on Micro Bitcoin and Micro Ether futures determined?

CME Group staff determines the daily settlements for the out of the money options based on market activity throughout the day, on all venues (including, but not limited to, CME Globex, CME ClearPort, and CME Direct. Once the underlying futures have been settled the implied volatility skews will be used in conjunction with the futures settlement price to derive settlement prices for the options.

In-the-money options are settled automatically by the Exchange in accordance with the put-call parity equation, considering the appropriate cost of carry.

The cost of carry is rounded to the nearest minimum increment of the underlying futures contract.  For all products, the interest rate used will be the rate on the Overnight Index Swap (OIS) curve corresponding with the expiration date for each contract.


15. How does the exchange handle holidays which conflict with Micro cryptocurrency option expiries?

The Exchange will only adjust micro cryptocurrency option expiration dates in the event of holiday observation by both the US and UK; otherwise, option expiries will remain at their regularly scheduled date. 

Holidays observed by both the US and UK, which are in conflict with a regularly schedule Micro Cryptocurrency option expiration date, will result in a contract expiration adjustment to the previous trading day.  The exception to this practice is a Monday option being adjusted to the ensuing Tuesday, if the expiration Monday is a holiday. 

For the avoidance of doubt, if a holiday is observed only by the US or UK, but not both, then the regularly scheduled expiration will proceed unaffected by such holiday.   


16. When will new option expiries be made available?

Weekly Friday-expiring and Monthly contracts replacing recently expired options will become available on the following trading date. 

Monday and Wednesday options, which generally have only one expiry available at a time, will have the following respective Monday or Wednesday expiry made available at the start of trading on the nearest expiring option’s final trading date, to allow for seamless trading or rolling of positions.

For example, on April 13, 2022, a Wednesday Micro Ether option will expire at 4 p.m. London time.  The following Wednesday contract, with expiration date April 20, 2022, will be listed and available for trading on Tuesday April 12, at 5 p.m. CT, when trading begins for the April 13th trade date.        


17. Where can I find additional material on Micro Bitcoin and Ether options?

Visit cmegroup.com/microcrypto for more information.

EXCHANGE FEES AND MARGIN

1. What are the Exchange transaction fees for options on Micro Cryptocurrency futures?

Fees can be found on the CME Fee Schedule


2. In which division do options on Micro Cryptocurrency futures reside?

Options on Micro Cryptocurrency futures are listed on the CME exchange.


3. How are the margin requirements for options on Cryptocurrency futures calculated?

CME Clearing uses a SPAN model to determine the margin required to cover at least 99% of anticipated price changes for a product over a given liquidation period. A vast array of inputs are considered including, historic and forward-looking volatility measures, product liquidity and historically observed correlations, among other things.


4. Where do options on Micro Cryptocurrency futures fall in CME Clearing’s guaranty fund?

Options on Micro Cryptocurrency futures fall into CME’s Base Guaranty Fund for futures and options on futures.


Additional Information

1. What are the vendor options codes?

OPTION SUBCLASS CME GLOBEX CODE BLOOMBERG OMON OPTIONS DISPLAY REFINITIV
MICRO BITCOIN OPTIONS
MONDAYS W1A-W5A WAAA Curncy OMON MBT1W-MBT5W
WEDNESDAYS W1C-W5C WACA Curncy OMON MN1W-MN5W
FRIDAYS W1E-W4E WAEA Curncy OMON MC1W-MC4W
LAST FRIDAY MONTHLIES WM BMRA Curncy OMON  MBT
MICRO ETHER OPTIONS
MONDAYS V1A-V5A VAAA Curncy OMON MTE1W-MTE5W
WEDNESDAYS V1C-V5C VACA Curncy OMON MM1W-MM5W
FRIDAYS V1E-V4E VAEA Curncy OMON MF1W-MF4W
LAST FRIDAY MONTHLIES VM MERA Curncy OMON  MTE

2. Are options on Micro Bitcoin and Micro Ether futures available for trading 24/7?

Yes, options on Bitcoin futures can be transacted 24/7. 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 clearing session. CME Globex, our electronic platform, is available 23 hours per day beginning Sunday evening at 5p.m. CT and ending at 4p.m. CT Friday afternoon. 


3. How can I access CME Globex?

To access CME Globex, you must have a relationship with a CME Clearing Member Firm.


4. Where can I see options analytics?

Customers have access to analytics tools on CME options via QuikStrike. Please use this link to access available tools.


5. Where can I see prices for options on Micro Bitcoin and Micro Ether futures?

Delayed quotes will be available on cmegroup.com. You can also access quotes through CME Direct and major quote vendors.


6. Where can I find block liquidity provider contact information?

View block liquidity provider contact information here.

To learn more about Micro Cryptocurrency options, visit the CME Cryptocurrency homepage.


7. Do I need a digital wallet to trade options on Micro Cryptocurrency futures?

No. You do not need a digital wallet because options on Micro Cryptocurrency options settle into their respective CME Micro Cryptocurrency futures which are financially settled, and therefore, do not involve the exchange of cryptocurrency.


8. What do I need to do to trade options on Micro Cryptocurrency futures?

To trade options, you must open an account with a registered futures broker who will maintain your account and guarantee your trades. In the options business, brokerage firms are known as either a futures commission merchant (FCM) or an introducing broker (IB).


9. Where can I find more information on the BRR constituent exchanges?


10. Where can I find Bloomberg contract codes for Micro Cryptocurrency futures option expiries?


Learn more about Micro Cryptocurrency options

Options on Micro Bitcoin and Micro Ether futures offer more ways to manage your exposure to the top cryptocurrencies by market capitalization and optimize your crypto trading strategies.


All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2022 CME Group Inc. All rights reserved.