- What are the latest updates to the Cryptocurrency product suite at CME Group?
- What is the relationship between Cryptocurrency options and their underlying futures contracts?
- How do Cryptocurrency options relate to the spot cryptocurrency market?
- What are the contract specifications?
- What is the delivery method for Cryptocurrency options?
- Does physical delivery mean that the Cryptocurrency options delivers a spot cryptocurrency coin?
- What is the options exercise style? Is early exercise possible?
- For weekly options, how is option moneyness determined for exercising and assigning futures positions?
- How are the daily settlement prices for options on Cryptocurrency futures determined?
- How is the Price Fixing for options on Cryptocurrency futures calculated for weekly options?
- Is there a similar fixing, exercise, and assignment process for monthly options?
- What are the CME CF Bitcoin Reference Rate (BRR) and the CME CF Ether-Dollar Reference Rates (ETHUSD_RR)?
- How is the BRR and ETHUSD_RR calculated?
- How can traders take physical delivery of bitcoin or ether?
- Are options on Cryptocurrency futures block eligible?
- When are options on Cryptocurrency futures available for trading?
- How does the exchange handle holidays which conflict with Cryptocurrency option expiries?
- Where can I find additional material on CME Group Cryptocurrency products?
- What are the Exchange transaction fees for options on Cryptocurrency futures?
- On which DCM do options on Cryptocurrency futures trade?
- How are the margin requirements for options on Cryptocurrency futures calculated?
- Where do options on Cryptocurrency futures fall in CME Clearing’s guaranty fund?
- What are the vendor options codes?
- How can I access CME Globex?
- Where can I see options analytics?
- Where can I see prices for options on Cryptocurrency futures?
- Where can I find block liquidity provider contact information?
- Do I need a digital wallet to trade options on Cryptocurrency futures?
- What do I need to do to trade options on Cryptocurrency futures?
- Where can I find Bloomberg contract codes for Cryptocurrency futures option expiries?
- Through which market data channel are these products available?
1. What are the latest updates to the Cryptocurrency product suite at CME Group?
Now available: shorter-term Cryptocurrency options contracts providing more flexibility and precision to manage risk around market-moving events.
10 new weekly options on Bitcoin and Ether futures:
- Monday, Tuesday, Wednesday, Thursday, and Friday options on Bitcoin futures
- Monday, Tuesday, Wednesday, Thursday, and Friday options on Ether futures
4 new weekly options on Micro Bitcoin and Micro Ether futures:
- Tuesday and Thursday options on Micro Bitcoin futures
- Tuesday and Thursday options on Micro Ether futures
2. What is the relationship between Cryptocurrency options and their underlying futures contracts?
CME Group’s options on Cryptocurrency futures give the buyer of a call/put the right to buy/sell one Cryptocurrency futures contract at a specified strike price at some future date.
Upon termination of trading, each in-the-money Cryptocurrency option delivers one contract of the respective monthly futures contract, which underlies the option.
3. How do Cryptocurrency options relate to the spot cryptocurrency market?
The value of a CME Group Cryptocurrency option is tied to the price of underlying Cryptocurrency futures contract. 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 (e.g., weekly options expire into the next available futures contract). However, Cryptocurrency futures expire into the value of a reference rate tied to spot transactions in the respective coin.
Neither Cryptocurrency options nor futures will deliver underlying cryptocurrencies, although the value of these contracts are closely tied to the movement of the associated coin.
4. What are the contract specifications?
5. What is the delivery method for Cryptocurrency options?
All in-the-money Cryptocurrency 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 cash-settlement of their underlying futures.
6. Does physical delivery mean that the Cryptocurrency options delivers a spot cryptocurrency coin?
No. Cryptocurrency options on futures deliver only the nearest to expire futures contract underlying the option.
In the case of weekly (Monday - Friday) options, the delivered futures contract will continue to actively trade post option exercise/assignment.
In the case of monthly Cryptocurrency options, the option will deliver a futures contract that immediately expires to cash, tied to the CME CF Bitcoin Reference Rate, (BRR) or CME CF Ether-dollar Reference Rate (ETHUSD_RR) price.
Under no circumstances will a Cryptocurrency options or futures deliver a cryptocurrency coin.
7. What is the options exercise style? Is early exercise possible?
All Cryptocurrency 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.
8. For weekly options, how is option moneyness determined for exercising and assigning futures positions?
Weekly (Monday-Friday) options are exercisable into the underlying futures at 4:00 p.m. London time, with option moneyness determined by a Fixing Price (see following question) of the underlying futures. In-the-money options are automatically exercised and out-of-money options are abandoned based on the Price Fixing.
9. How are the daily settlement prices for options on Cryptocurrency 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.
10. How is the Fixing Price for options on Cryptocurrency futures calculated for weekly options?
The Fixing Price for Cryptocurrency weekly options is calculated based on the notionally adjusted volume weighted average traded price of the underlying Cryptocurrency futures underlying the options contract during the period of 3:30:00 p.m. – 3:59:59 p.m. London Time.
11. 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 Cryptocurrency futures that is delivered immediately expires to the CME CF Bitcoin Reference Rate (BRR) or CME CF Ether-Dollar Reference Rate (ETHUSD_RR), respectively.
12. What are the CME CF Bitcoin Reference Rate (BRR) and the CME CF Ether-Dollar Reference Rates (ETHUSD_RR)?
Designed by CME Group and CF Benchmarks around IOSCO Principles for Financial Benchmarks, the BRR and ETHUSD_RR are a daily reference rate of the U.S. dollar price of one bitcoin and one ether as of 4:00 p.m. London time. They are representative of the bitcoin and ether trading activity on constituent exchanges and are geared towards resilience and replicability. The BRR launched in November 2016, and ETHUSD_RR launched in May 2018.
13. How is the BRR and ETHUSD_RR calculated?
The BRR and ETHUSD_RR are calculated based on the relevant bitcoin and 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 BRR and ETHUSD_RR are then determined by taking an equally weighted average of the volume-weighted medians of all partitions.
14. 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 exchange a spot and futures position. For spot position holders, an EFRP can be used to swap a long spot position with futures exposure that can be rolled forward. EFRP transactions are governed by Exchange Rule 538.
15. Are options on Cryptocurrency futures block eligible?
16. When are options on Cryptocurrency futures available for trading ?
Options on Cryptocurrency 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 5:00 p.m. CT and ending at 4:00 p.m. CT Friday afternoon.
17. How does the exchange handle holidays which conflict with Cryptocurrency option expiries?
The Exchange will only adjust Cryptocurrency option expiration dates in the event of observed holidays in both the U.S. and UK; otherwise, option expiries will remain at their regularly scheduled date.
Holidays observed by both the U.S. and UK, which are in conflict with a regularly schedule Cryptocurrency option expiration date, will result in a contract expiration adjustment to the previous trading day.
For the avoidance of doubt, if a holiday is observed only by the U.S. or UK, but not both, then the regularly scheduled expiration will proceed unaffected by such holiday.
View the Holiday calendar here.
18. Where can I find additional material on CME Group Cryptocurrency products?
EXCHANGE FEES AND MARGIN
19. What are the Exchange transaction fees for options on Cryptocurrency futures?
Fees can be found on the CME Group Fee Schedule
20. On which DCM do options on Cryptocurrency futures trade?
Options on Cryptocurrency futures are listed on the CME Group Exchange.
21. 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 is considered, including historic and forward-looking volatility measures, product liquidity, and historically observed correlations, among other things.
22. Where do options on Cryptocurrency futures fall in CME Clearing’s guaranty fund?
Options on Cryptocurrency futures fall into CME’s Base Guaranty Fund for futures and options on futures.
23. What are the vendor options codes?
24. How can I access CME Globex?
To access CME Globex you must have a relationship with a CME Clearing Member Firm.
25. Where can I see options analytics?
Customers have access to analytics tools on CME Group options via QuikStrike. Please use this link to access available tools.
26. Where can I see prices for options on Cryptocurrency futures?
Delayed quotes will be available on cmegroup.com. You can also access quotes through CME Direct and major quote vendors.
27. Where can I find block liquidity provider contact information?
28. Do I need a digital wallet to trade options on Cryptocurrency futures?
No. You do not need a digital wallet because options on Cryptocurrency futures settle into their respective CME Cryptocurrency futures, which are financially settled, and therefore, do not involve the exchange of cryptocurrency.
29. What do I need to do to trade options on 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).
30. Where can I find Bloomberg contract codes for Cryptocurrency futures option expiries?
31. Through which market data channel are these products available?
Cryptocurrency options real-time market data is available on MDP Channel 327 and Cryptocurrency options historical data is available through CME DataMine.
Additionally, real time-market data for the underlying Reference Rates and Real-Time Indexes are available through MDP Channel 213. Reference Rate and Real-Time Index historical data is available through CME DataMine.
CME Group Cryptocurrency products
Expand your choices for managing cryptocurrency exposure with our market-leading suite of Cryptocurrency futures and options.
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.