General overview


1. What is TAS?

Trading at Settlement (TAS) functionality allows market participants to enter a trade at a spread to the yet-to-be-determined daily settlement price of the underlying futures contract calculated at 4:00 p.m. Eastern Time (ET), for subsequent clearing into the existing futures contract. TAS enables clients to transact at or near the futures settlement price, making it particularly useful when replicating an index. TAS is subject to the requirements of Rule 524.A.

*Pending regulatory review.


2. What are the specifications for TAS transactions on Bitcoin and Micro Bitcoin futures?

  TAS on Bitcoin futures TAS on Micro Bitcoin futures
CME PRODUCT CODES Futures: BTC

TAS: TBT
Futures: MTB

TAS: TBM
UNDERLYING CONTRACT SIZE 5 bitcoin 0.10 bitcoin
Trading hours

CME Globex:
TAS: Sunday - Friday 6:00 p.m. - 4:00 p.m. ET

CME ClearPort:
TAS: Sunday 6:00 p.m. - Friday 6:45 p.m. ET with no reporting Monday - Thursday from 6:45 p.m. - 7:00 p.m. ET. TAS submission for the next day's settlement price is available after 7:00 p.m. ET.

MINIMUM PRICE FLUCTUATION Outright: $5.00 per bitcoin = $20.00 per contract

Calendar Spread: $1.00 per bitcoin = $0.10 per contract

TAS: $1 per bitcoin = $5.00 per contract
Outright: $5.00 per bitcoin = $0.50 per contract

Calendar Spread: $1.00 per bitcoin = $5.00 per contract

TAS: $1 per bitcoin = $5.00 per contract
LISTED CONTRACTS Monthly contracts listed for six consecutive months, quarterly contracts (Mar, Jun, Sep, Dec) listed for four additional quarters and a second Dec contract if only one is listed.
TERMINATION OF TRADING Futures: Trading terminates at 4:00 p.m. London time on the last Friday of the contract month if that day is a business day in either the U.K. or the U.S. If that day is not a business day in both the U.K.  and the U.S, trading shall terminate on the preceding day that is a business day in either the U.K. or the U.S.

TAS: For an expiring futures contract, TAS trading shall terminate at 4:00 P.M. ET on the business day immediately preceding the last trade date for such futures contract. For clarity, TAS transactions in expiring futures contracts may not be initiated on the last trade date on such expiring futures.
BLOCK MINIMUM Futures: 5 contracts

TAS: 5 contracts
Futures: 10 contracts

TAS: 10 contracts

3. What is the difference between TAS and BTIC?

TAS transactions are at a spread, or basis, to the yet-to-be-determined daily settlement price of the underlying futures contract.

Basis Trade at Index Close (BTIC) transactions are at a spread, or basis, to the corresponding underlying reference rate.


4. What are the TAS on Bitcoin and Micro Bitcoin futures trading hours?

View TAS on Bitcoin and Micro Bitcoin futures trading hours in ET below:

GLOBEX HOURS

Sunday - Friday 6:00 p.m. - 4:00 p.m. ET

CLEARPORT HOURS

Sunday 6:00 p.m. - Friday 6:45 p.m. ET with no reporting Monday - Thursday 6:45 p.m. – 7:00 p.m. ET.


5. What are the vendor codes?

PRODUCT NAME CME GLOBEX BLOOMBERG CQG REFINITIV
TAS on Bitcoin futures TBT TBTA TBT TKT
TAS on Micro Bitcoin futures TBM MBTA TBM BTV

6. What is the TAS on Bitcoin and Micro Bitcoin futures quoting convention?

TAS prices are quoted in U.S. dollars per bitcoin.

The TAS trading mechanism allows market participants to enter a trade at a spread to the yet-to-be-determined daily settlement price calculated at 4:00 p.m. ET.

TAS trades off a "base price" of zero (equal to the daily settlement price) to create a differential versus the daily settlement price in the underlying futures contract month. The TAS clearing price equals the daily settlement price of the underlying futures contract month plus or minus the TAS transaction price.

For example, assume a market participant wants to execute TAS on Bitcoin futures (BTC), at a spread of +2. The participant would transact under its TAS symbol, TBT, at a price of +2. Were BTC later to settle at 18,500, the TBT trade would be replaced with a BTC contract at a price of 18,502.

A trade of -2 would result in an execution price of 18,498.


7. What is the match algorithm for TAS?

TAS markets match 100% FIFO.


8. Is TAS on Bitcoin and Micro Bitcoin futures eligible for block trading?

Yes, with the following minimum thresholds:

  • Bitcoin futures: 5 contracts
  • Micro Bitcoin futures: 10 contracts

View block liquidity providers


9. Will there be block liquidity providers for TAS on Bitcoin and Micro Bitcoin futures?

Yes. Click here to view a list of block liquidity providers who have given CME Group consent to disclose their contact information.

View Rule 526 in the MRAN to learn more about block trades.


10. Are TAS on Bitcoin and Micro Bitcoin futures available across all listed contracts?

TAS on Bitcoin and Micro Bitcoin is only available on the respective front month contract.

For an expiring futures contract, TAS trading shall terminate at 4:00 p.m. ET on the business day immediately preceding the Last Trade Date. For clarity, TAS transactions in expiring futures contracts may not be initiated on the Last Trade Date in such expiring futures.

TAS eligibility is added to the next front contract month at 6:00 p.m. ET on the business day immediately preceding the Last Trade Date.


11. Is TAS on Bitcoin and Micro Bitcoin futures available on intra-commodity spreads (calendar spreads)?

No, TAS on Bitcoin and Micro Bitcoin futures is only available on the respective front month futures contract. Spread functionality is not supported.


Margin and fee details


12. When will TAS on Bitcoin and Micro Bitcoin futures trades be included in the margin calculation?

TAS on Bitcoin and Micro Bitcoin futures trades executed by 4:00 p.m. ET will be included in that day’s clearing cycle. TAS on Bitcoin and Micro Bitcoin futures transactions consummated after 4:00 p.m. ET will be included in the next day’s clearing cycle, and margin will first be assessed in the intraday cycle on the following day.


13. What are the fees for TAS on Bitcoin and Micro Bitcoin futures?

Fees for TAS on Bitcoin and Micro Bitcoin futures transactions may be found on the CME Fee Schedule.


Additional information


14. How do you distinguish a TAS execution from a futures outright execution?

TAS transactions have distinct product codes which differ from the corresponding outright Bitcoin and Micro Bitcoin futures. This results in a separate line on the trader’s blotter after the execution that will enable the traders to track their TAS transactions through the day. Once the clearing cycle is complete, the TAS transactions will be consolidated with the corresponding underlying futures contract.


15. Is TAS volume added to the corresponding outright futures market volume in a real-time basis?

No, TAS volume is not added to the outright futures volume on a real-time basis. While the final traded futures price of TAS on Bitcoin and Micro Bitcoin futures transactions will be disseminated to the clearing firms after the cash close, the TAS position will be consolidated with the corresponding underlying futures after the clearing cycle is complete for the day.


16. When is the final price of Bitcoin and Micro Bitcoin futures from TAS transactions disseminated?

Approximately 15 minutes after the daily settlement price calculated at 4:00 p.m. ET, cleared trade data in the corresponding futures will be sent to your clearing firm with a trade price reflecting the settlement price plus (or minus) the differential price at which the TAS was traded. This price will be used when CME Group runs its end-of-day clearing cycle. At that point, the trade will be marked to market versus the daily settlement price in the corresponding futures contract.


17. How can I receive the resultant futures price from TAS on Bitcoin and Micro Bitcoin futures transactions?

You can receive the resultant futures price reflecting the TAS 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.


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.

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