- What is BTIC?
- Why is CME Group launching additional BTICs on Cryptocurrency futures?
- Will there be more than one BTIC mechanism available for each Cryptocurrency futures product?
- What is the naming convention for BTIC transactions on Cryptocurrency futures?
- What are the specifications for BTIC transactions on Cryptocurrency futures?
- What are the BTIC on Cryptocurrency futures trading hours?
- How are CME Globex BTIC transactions against the London close handled on U.S. holidays?
- How are Globex BTIC transactions against the New York close handled on U.S. holidays?
- How are Globex BTIC transactions against the APAC close handled on U.S. holidays?
- What are the vendor codes?
- Is BTIC on Cryptocurrency futures eligible for block trading?
- Will there be block liquidity providers for BTIC on Cryptocurrency futures?
- Are BTIC on Cryptocurrency futures available across all listed contracts?
Margin and fee details
- When will BTIC on Cryptocurrency futures trades be included in the margin calculation?
- What are the fees for BTIC on cryptocurrency futures?
Additional information
- How do you distinguish a BTIC execution from a futures outright execution?
- Is BTIC volume added to the corresponding outright futures market volume on a real-time basis?
- When is the final price of Cryptocurrency futures from BTIC transactions disseminated?
- How can I receive the resultant futures price from a BTIC on Cryptocurrency futures transaction?
- Where can I find more information on BTIC on Cryptocurrency futures at CME Group?
What's new
BTIC on Bitcoin Friday futures is now available.
1. What is BTIC?
BTIC, or Basis Trade at Index Close, is a pricing mechanism with its own product specific ticker that provides market participants the ability to trade futures contracts at a fixed spread or basis to a reference price, such as the close of a known benchmark index.
BTIC transactions are currently available on all Cryptocurrency futures against the respective CME CF Reference Rate published at 4:00 p.m. London time, 4:00 p.m. New York time and 4:00 p.m. Hong Kong/Singapore time.
2. Why is CME Group launching additional BTICs on Cryptocurrency futures?
The introduction of futures and spot-based cryptocurrency ETFs globally presented the need for bitcoin and ether price discovery around the respective Net Asset Value (NAV) calculation of the underlying funds. In response, CME Group launched the following:
- CME CF Bitcoin Reference Rate New York Variant (BRRNY)
- CME CF Ether-Dollar Reference Rate New York Variant (ETHUSD_NY)
- CME CF Bitcoin Reference Rate APAC Variant (BRRAP)
- CME CF Ether-Dollar Reference Rate APAC Variant (ETHUSD_AP)
These new rates are calculated between 3:00 p.m.-4:00 p.m. New York and Hong Kong/Singapore time and are published at 4:00 p.m. New York and Hong Kong/Singapore time, respectively. Adding BTIC functionality linked to these “APAC Close” rates provides market participants greater flexibility in trading the underlying futures while also allowing them the ability to more precisely track their desired benchmark.
3. Will there be more than one BTIC mechanism available for each Cryptocurrency futures product?
Yes, market participants will have the choice to transact Cryptocurrency futures relative to the underlying CME CF Reference Rate of their choice. For example, a North American bitcoin ETF provider looking to manage fund positions around NAV calculation (4:00 p.m. New York time) may choose to transact BTIC on Bitcoin futures versus the CME CF Bitcoin Reference Rate New York Variant (published at 4:00 p.m. New York time) rather than BTIC on Bitcoin futures versus the CME CF Bitcoin Reference Rate (published at 4:00 p.m. London time).
Similarly, a Hong Kong bitcoin ETF provider looking to manage fund positions around NAV calculation (4:00 p.m. Hong Kong/Singapore time) may choose to transact BTIC on Bitcoin futures versus the CME CF Bitcoin Reference Rate APAC Variant (published at 4:00 p.m. Hong Kong/Singapore time) rather than BTIC on Bitcoin futures versus the CME CF Bitcoin Reference Rate (published at 4:00 p.m. London time).
4. What is the naming convention for BTIC transactions on Cryptocurrency futures?
The naming convention for BTIC transactions on Cryptocurrency futures is as follows:
BTIC on <Cryptocurrency futures name> against <city name/region> Close
To avoid confusion, the city/region name refers to the desired publication time (4:00 p.m. London, 4:00 p.m. New York, or 4:00 p.m. Hong Kong/Singapore) of the underlying CME CF Cryptocurrency Reference Rate.
TICKER: CLEARING / GLOBEX | PRODUCT TITLE | REFERENCE RATE | CLOSE TIME |
---|---|---|---|
BTB / BTB | BTIC on Bitcoin futures against London Close | CME CF Bitcoin Reference Rate (BRR) | 4:00 p.m. London |
MIB / MIB | BTIC on Micro Bitcoin futures against London Close | CME CF Bitcoin Reference Rate (BRR) | 4:00 p.m. London |
ETB / ETB | BTIC on Ether futures against London Close | CME CF Ether-Dollar Reference Rate (ETHUSD_RR) | 4:00 p.m. London |
EMB / EMB | BTIC on Micro Ether futures against London Close | CME CF Ether-Dollar Reference Rate (ETHUSD_RR) | 4:00 p.m. London |
BNB / BNB | BTIC on Bitcoin futures against New York Close | CME CF Bitcoin Reference Rate New York Variant (BRRNY) | 4:00 p.m. New York |
MYB / MYB | BTIC on Micro Bitcoin futures against New York Close | CME CF Bitcoin Reference Rate New York Variant (BRRNY) | 4:00 p.m. New York |
ENB / ENB | BTIC on Ether futures against New York Close | CME CF Ether-Dollar Reference Rate New York Variant (ETHUSD_NY) | 4:00 p.m. New York |
EYB / EYB | BTIC on Micro Ether futures against New York Close | CME CF Ether-Dollar Reference Rate New York Variant (ETHUSD_NY) | 4:00 p.m. New York |
BFB / BFB | BTIC on Bitcoin Friday futures against New York close | CME CF Bitcoin Reference Rate New York Variant (BRRNY) | 4:00 p.m. New York |
ABB / ABB | BTIC on Bitcoin futures against APAC Close | CME CF Bitcoin Reference Rate APAC Variant (BRRAP) | 4:00 p.m. Hong Kong/Singapore |
AMB / AMB | BTIC on Micro Bitcoin futures against APAC Close | CME CF Bitcoin Reference Rate APAC Variant (BRRAP) | 4:00 p.m. Hong Kong/Singapore |
ATB / ATB | BTIC on Ether futures against APAC Close | CME CF Ether-Dollar Reference Rate APAC Variant (ETHUSD_AP) | 4:00 p.m. Hong Kong/Singapore |
AHB / AHB | BTIC on Micro Ether futures against APAC Close | CME CF Ether-Dollar Reference Rate APAC Variant (ETHUSD_AP) | 4:00 p.m. Hong Kong/Singapore |
5. What are the specifications for BTIC transactions on Cryptocurrency futures?
6. What are the BTIC on Cryptocurrency futures trading hours?
Trading hours for BTIC on Cryptocurrency futures in Eastern Time (ET) and TIC on Cryptocurrency futures against London close
GLOBEX HOURS |
Sunday - Friday 6:00 p.m. ET - 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET). Monday - Thursday 4:30 p.m. London time (11:30 a.m./12:30 p.m. ET) - 5:00 p.m. ET. Friday 4:30 p.m. London time (11:30 a.m./12:30 p.m. ET) – 5:00 p.m. ET for Monday’s Reference Rate Monday - Thursday 5:00 p.m. - 6:00 p.m. ET daily maintenance period. |
---|---|
CLEARPORT HOURS |
Sunday 6:00 p.m. ET – Monday 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET). Monday – Thursday 1:00 p.m. ET – 6:45 p.m. ET and 7:00 p.m. ET to 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET). Monday – Friday 4:00 p.m. London time - 1:00 p.m. ET and 6:45 p.m. – 7:00 p.m. ET (daily maintenance period). |
For a BTIC or BTIC block trade executed prior to the publication of the Index on a given Trading Day, the corresponding futures price shall be made by reference to the closing Index value for the current Trading Day.
For a BTIC or BTIC block trade executed on a given Trading Day after the publication of the Index, the corresponding futures price shall be made by reference to the closing Index value for the next Trading Day.
Trading hours for BTIC on Cryptocurrency futures against New York close
GLOBEX HOURS | Sunday - Friday 6:00 p.m. ET - 4:00 p.m. BTICs for following day's reference rate available from 6:00 p.m. ET |
---|---|
CLEARPORT HOURS | Sunday 6:00 p.m. ET - Friday 4:00 p.m. with a daily restart for the following day's reference rate at 7:00 p.m. ET |
BTIC on Cryptocurrency futures against New York close transactions completed on CME Globex by 4:00 p.m. New York time will use that trade date’s reference rate to calculate the corresponding futures price while those BTIC transactions consummated after 4:00 p.m. New York time will be against the next trade date’s reference rate.
BTIC on Cryptocurrency futures against APAC close
GLOBEX HOURS |
Sunday - Friday 6:00 p.m. ET - 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET) Monday - Thursday 4:30 p.m. Hong Kong/Singapore time (3:30 a.m./4:30 a.m. ET) - 5:00 p.m. ET for next day’s reference rate Friday 4:30 p.m. Hong Kong/Singapore time (3:30 a.m./4:30 a.m. ET) – 5:00 p.m. ET for Monday’s reference rate Monday - Thursday 5:00 p.m. - 6:00 p.m. ET daily maintenance period. |
---|---|
CLEARPORT HOURS |
Sunday 6:00 p.m. ET – Monday 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET) Monday – Thursday - 11:00 a.m. ET - 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET) for next day’s reference rate Friday - 11:00 a.m. ET - 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET) for Monday’s reference rate Daily maintenance period 5:00 p.m. - 6:00 p.m. ET |
BTIC on Cryptocurrency futures against APAC close transactions completed by 4:00 p.m. Hong Kong/Singapore time on CME Globex will use that trade date’s reference rate to calculate the corresponding futures price while those BTIC transactions consummated after 4:00 p.m. Hong Kong/Singapore time will be against the next trade date’s reference rate.
7. How are CME Globex BTIC transactions against the London close handled on U.S. holidays?
Please see table below and refer to the Globex holiday calendar for the official holiday treatment.
Treatment on US holidays where Globex is closed | BTIC will be against…. |
Friday Trading with a Monday Holiday | |
Up to 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET)* on Friday | Friday's Reference Rate |
4:30 p.m. London time (11:30 a.m./12:30 p.m. ET)* on Friday to 5:00 p.m. ET on Friday | Tuesday's Reference Rate |
Friday to 5:00 p.m. ET on Friday to 5:00 p.m. ET on the Monday holiday - Globex closed for BTIC | |
6:00 p.m. ET on the Monday holiday to 4:00 p.m. (11:00 a.m./12:00 p.m. ET)* London time on Tuesday | Tuesday's Reference Rate |
Mid-week holiday (MWH) | |
Up to 4:00 p.m. London time on the business day before the MWH | Reference Rate on business day before MWH |
4:30 p.m. London time (11:30 a.m./12:30 p.m. ET)* on business day before MWH to 5:00 p.m. ET on business day before MWH | Reference Rate on business day after MWH |
5:00 p.m. ET on business day before MWH to 5:00 p.m. ET on MWH - Globex closed for BTIC | |
6:00 p.m. ET on MWH to 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET)* on the business day after MWH** | Reference Rate on business day after MWH |
Treatment on U.S. holidays where Globex is open for part of the day | |
Friday with a Monday Holiday | |
Up to 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET)* on Friday | Friday's Reference Rate |
4:30 p.m. London time (11:30 a.m./12:30 p.m. ET)* on Friday to 5:00 p.m. ET on Friday | Monday's Reference Rate |
6:00 p.m. ET Sunday (before Monday holiday) to 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET)* on the Monday holiday | Monday's Reference Rate |
6:00 p.m. ET on the Monday holiday to 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET)* on Tuesday | Tuesday's Reference Rate |
Mid-week holiday (MWH) | |
Up to 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET)* on business day before MWH | Reference Rate on business day before MWH |
4:30 p.m. London time (11:30 a.m./12:30 p.m. ET)* on business day before MWH to 5:00 p.m. ET on business day before MWH | Reference Rate on MWH |
6:00 p.m. ET on business day before MWH to 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET)* on MWH | Reference Rate on MWH |
6:00 p.m. ET on MWH to 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET)* on the business day after MWH** | Reference Rate on business day after MWH |
* Dependent on Daylight Savings Time
** If holiday falls on a Friday, BTIC trading ends at 5:00 pm ET on Friday and resumes at 6:00 pm ET on Sunday
8. How are Globex BTIC transactions against the New York close handled on U.S. holidays?
Treatment on U.S. holidays where Globex is closed | BTIC will be against…. |
Friday Trading with a Monday Holiday | |
Up to 4:00 p.m. New York time on Friday | Friday's Reference Rate |
6:00 p.m. ET on Friday to 4:00 p.m. ET on the Monday holiday - Globex closed for BTIC | |
6:00 p.m. ET on the Monday holiday to 4:00 p.m. New York time on Tuesday | Tuesday’s Reference Rate |
Mid-week holiday (MWH) | |
Up to 4:00 p.m. New York time on the business day before the MWH | Reference Rate on business day before MWH |
6:00 p.m. ET on business day before MWH to 4:00 p.m. ET on MWH - Globex closed for BTIC | |
6:00 p.m. ET on MWH to 4:00 p.m. New York time on the business day after MWH | Reference Rate on business day after MWH |
Treatment on U.S. holidays where Globex is open for part of the day | |
Friday with a Monday Holiday | |
Up to 4:00 p.m. New York time on Friday | Friday’s Reference Rate |
6:00 p.m. ET Sunday (before Monday holiday) to 4:00 p.m. New York time on the Monday holiday | Monday's Reference Rate |
6:00 p.m. ET on the Monday holiday to 4:00 p.m. New York time on Tuesday | Tuesday's Reference Rate |
Mid-week holiday (MWH) | |
Up to 4:00 p.m. New York time on business day before MWH | Reference Rate on business day before MWH |
6:00 p.m. ET on business day before MWH to 4:00 p.m. New York time on MWH | Reference Rate on MWH |
6:00 p.m. ET on MWH to 4:00 p.m. New York time on the business day after MWH | Reference Rate on business day after MWH |
9. How are Globex BTIC transactions against the APAC close handled on U.S. holidays?
Treatment on U.S. holidays where Globex is closed | BTIC will be against…. |
Friday Trading with a Monday holiday | |
Up to 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET)* on Friday | Friday’s Reference Rate |
4:30 p.m. Hong Kong/Singapore (3:30 a.m./4:30 a.m. ET)* on Friday to 5:00 p.m. ET on Friday | Tuesday’s Reference Rate |
5:00 p.m. ET on Friday to 5:00 p.m. ET on the Monday holiday – Globex closed for BTIC | |
6:00 p.m. ET (6:00 a.m./7:00 a.m. Hong Kong/Singapore on the Monday holiday to 4:00 p.m. (3:00 a.m./4:00 a.mm ET)* Hong Kong/Singapore time on Tuesday | Tuesday’s Reference Rate |
Mid-week holiday (MWH) | |
Up to 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET) on the business day before the MWH | Reference Rate on business day before MWH |
4:30 p.m. Hong Kong/Singapore (3:30 a.m./4:30 p.m. ET)* on business day before MWH to 5:00 p.m. ET on business day before MWH | Reference Rate on business day after MWH |
5:00 p.m. ET on business day before MWH to 5:00 p.m. ET on MWH – Globex closed for BTIC | |
6:00 p.m. ET on MWH to 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 p.m. ET)* on the business day after MWH** | Reference Rate on business day after MWH |
Treatment on U.S. holidays where Globex is open for part of the day | |
Friday with a Monday holiday | |
Up to 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET)* on Friday | Friday’s Reference Rate |
4:30 p.m. Hong Kong/Singapore time (3:30 a.m./4:30 a.m. ET)* on Friday to 5:00 p.m. ET on Friday | Monday’s Reference Rate |
6:00 p.m. ET Sunday (before Monday holiday) to 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./3:00 a.m. ET)* on the Monday holiday | Monday’s Reference Rate |
6:00 p.m. ET on the Monday holiday to 4:00 p.m. Hong Kong/Singapore time (3:00 am/4:00am ET)* on Tuesday | Tuesday’s Reference Rate |
Mid-week holiday (MWH) | |
Up to 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET)* on business day before MWH | Reference Rate on business day before MWH |
4:30 p.m. Hong Kong/Singapore time (3:30 a.m./4:30 a.m. ET)* on business day before MWH to 5:00 p.m. ET on business day before MWH | Reference Rate on MWH |
6:00 p.m. ET on business day before MWH to 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET)* on MWH | Reference Rate on MWH |
6:00 p.m. ET on MWH to 4:00 p.m. Hong Kong/Singapore time (3:00 a.m./4:00 a.m. ET)* on the business day after MWH** | Reference Rate on business day after MWH |
* Dependent on Daylight Savings Time
** If holiday falls on a Friday, BTIC trading ends at 5:00 p.m. ET on Friday and resumes at 6:00 p.m. ET on Sunday
10. What are the vendor codes?
PRODUCT NAME | CME GLOBEX | BLOOMBERG | CQG | REFINITIV |
---|---|---|---|---|
BTIC on Bitcoin futures against London Close (CME CF Bitcoin Reference Rate – BRR) | BTB | BTDA | BTB | BTB |
BTIC on Bitcoin futures BTIC against New York close (CME CF Bitcoin Reference Rate New York -BRRNY) | BNB | BRBA | BNB | BNB |
BTIC on Bitcoin futures against APAC clos (CME CF Bitcoin Reference Rate APAC -BRRAP) | ABB | ABCA | ABB | BAO |
BTIC on Micro Bitcoin futures against London Close (CME CF Bitcoin Reference Rate – BRR) | MIB | BMYA | MIB | MBI |
BTIC on Micro Bitcoin futures against New York close (CME CF Bitcoin Reference Rate New York - BRRNY) | MYB | MYBA | MYB | MYB |
BTIC on Micro Bitcoin futures against APAC close (CME CF Bitcoin Reference Rate APAC - BRRAP) | AMB | AEPA | AMB | BAU |
BTIC on Bitcoin Friday futures against New York close | BFB | N/A | BFBD+[dd] such as BFBD18V24 | TBD |
BTIC on Ether futures against London Close (CME CF Ether-Dollar Reference Rate – ETHUSD_RR) | ETB | DCSA | ETB | EBT |
BTIC on Ether futures against New York close (CME CF Ether-dollar Reference Rate New York - ETHUSD_NY) | ENB | FNBA | ENB | ENB |
BTIC on Ether futures against APAC close (CME CF Ether-dollar Reference Rate APAC - ETHUSD_AP) | ATB | AQTA | ATB | TBZ |
BTIC on Micro Ether futures against London Close (CME CF Ether-Dollar Reference Rate – ETHUSD_RR) | EMB | MBWA | MRB | BRM |
BTIC on Micro Ether futures against New York close (CME CF Ether-dollar Reference Rate New York - ETHUSD_NY) | EYB | FYBA | EYB | EYB |
BTIC on Micro Ether futures against APAC close (CME CF Ether-dollar Reference Rate APAC - ETHUSD_AP) | AHB | AHB - AHIA | AHB | BHZ |
11. Is BTIC on Cryptocurrency futures eligible for block trading?
Yes, with the following minimum thresholds:
- Bitcoin futures: 5 contracts
- Micro Bitcoin futures: 10 contracts
- Bitcoin Friday futures: 25 contracts
- Ether futures: 5 contracts
- Micro Ether futures: 100 contracts
12. Will there be block liquidity providers for BTIC on Cryptocurrency futures?
13. Are BTIC on Cryptocurrency futures available across all listed contracts?
BTIC on Cryptocurrency futures may be transacted across all available listed contracts.
Margin and fee details
14. When will BTIC on Cryptocurrency futures trades be included in the margin calculation?
BTIC on Cryptocurrency futures trades executed by 4:00 p.m. London time will be included in that day’s clearing cycle. BTIC on Cryptocurrency futures transactions consummated after 4:00 p.m. London time will be included in the next day’s clearing cycle, and margin will first be assessed in the intraday cycle on the following day.
BTIC on Cryptocurrency futures trades executed by 4:00 p.m. New York time will be included in that day’s clearing cycle. BTIC on cryptocurrency futures transactions consummated after 4:00 p.m. New York time will be included in the next day’s clearing cycle, and margin will first be assessed in the intraday cycle on the following day.
BTIC on Cryptocurrency futures trades executed by 4:00 p.m. Hong Kong/Singapore time will be included in that day’s clearing cycle. BTIC on cryptocurrency futures transactions consummated after 4:00 p.m. Hong Kong/Singapore time will be included in the next day’s clearing cycle, and margin will first be assessed in the intraday cycle on the following day.
15. What are the fees for BTIC on Cryptocurrency futures?
Fees for BTIC on Cryptocurrency futures transactions may be found on the CME Fee Schedule.
Additional information
16. How do you distinguish a BTIC execution from a futures outright execution?
BTIC transactions have distinct product codes which differ from the corresponding outright Cryptocurrency futures. This results in a separate line on the trader’s blotter after the execution that will enable the traders to track their BTIC transactions throughout the day. Once the clearing cycle is complete, the BTIC transactions will be consolidated with the corresponding underlying Cryptocurrency futures.
17. Is BTIC volume added to the corresponding outright futures market volume on a real-time basis?
No, BTIC volume is not added to the outright futures volume on a real-time basis. While the final traded futures price of BTIC on Cryptocurrency futures transactions will be disseminated to the clearing firms after the cash close, the BTIC position will be consolidated with the corresponding underlying futures after the clearing cycle is complete for the day.
18. When is the final price of Cryptocurrency futures from BTIC transactions disseminated?
Approximately 15 minutes after the corresponding reference rate is published, finalized cleared trade data in the corresponding futures will be sent to your clearing firm with a trade price reflecting the index closing price plus the differential price at which the BTIC was traded. This price will be used when CME Group runs its end-of-day clearing cycle; at which point the trade will be marked to market versus the daily settlement price in the corresponding futures contract.
19. How can I receive the resultant futures price from a BTIC on Cryptocurrency futures transaction?
You can receive the resultant futures price reflecting the BTIC transaction either through your clearing firm or via CME Group’s Straight Through Processing (STP) solution if you are subscribed. Learn more about CME Group STP.
Contact GAM_CS@cmegroup.com to begin the STP onboarding process.
20. Where can I find more information on BTIC on Cryptocurrency futures at CME Group?
Get the most up-to-date information for BTIC on Cryptocurrency futures at cmegroup.com/CryptoBTIC or reach out to CryptoProducts@cmegroup.com with any questions.
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.