About BTIC and BTIC+ trading

Basis Trade at Index Close (BTIC) and BTIC+ transactions enable market participants to execute a basis trade relative to the official close for the underlying index. Furthermore, BTIC+ on E-mini S&P 500 now allows customers to executive this trade days in advance of the closing index print.

BTIC

A BTIC transaction is entered into via a basis expressed in discrete index points, where the executed trade price is the total number of index points to be applied to the official close price of the underlying index. In essence, a BTIC transaction provides the ability to trade the future at a price understood to be the theoretical equivalent of the official cash index close with given assumptions on dividends and all-in implied financing to maturity.

Since the BTIC market is expressed in terms of the futures price differential to the spot index value, also known as “the basis,” the indicated market prices can be either negative or positive depending on expected dividends, financing and time to maturity. The BTIC price will be transposed to a futures contract price forty-five (45) minutes following the close of the underlying cash equity market, where the futures position will be assigned a price equal to the official closing index value plus the basis.

BTIC bid, ask and trade prices must be in valid tick increments as per the corresponding BTIC contract specifications. However, the futures contract trade price resulting from the basis applied to the cash index close price does not need to be in the contract specified tick increment and will not be rounded to the nearest tick.

Trade BTIC on Major U.S. Indices

• E-mini S&P 500, E-mini Nasdaq-100, E-mini Dow ($5), E-mini Russell 1000 and 2000

• BTIC Blocks and BTIC on CME Globex

• BTIC+ on E-mini S&P 500

Features of our offering:

  • Efficiency: Access the official cash index close with a single futures transaction in lieu of the underlying cash basket.
  • Flexibility: Manage index exposure before the spot market closes and independent of primary equity market closing auction deadlines.
  • Choice: Trade BTIC on CME Globex or as Blocks for equity index benchmarks. Trade BTIC+ on CME Globex or as Blocks for E-mini S&P 500.
  • Control: Directly negotiate a Block trade with a selected eligible counterparty.
  • Security: Risk management and safeguards provided by CME Clearing.

About BTIC Block Trades1

Timing: must be reported to the exchange within five (5) minutes of agreeing to terms of the transaction. Block trade reporting time window extend to 15 minutes during non-US hours for all block-eligible equity index futures and options products.2 Reporting windows vary based on the corresponding cash index trading session. Please consult cmegroup.com for the latest contract specifications.

Reporting: can be handled just like regular Block trades and must be submitted via CME Direct or CME ClearPort.

Price Increment: must have a basis or price increment stated in standard size ticks (minimum price increments for basis) of the contract. Note, however, that trades completed based on the closing index value will be cleared in increments of 0.01, as the underlying stock price index is reported to a two decimal place level of precision. These positions will be created automatically by CME Clearing based on the reported BTIC Block trade basis price.

BTIC+

Overview: Historically, customers could only trade BTIC on a “T” basis. Meaning, customers could only trade the BTIC instrument associated with the trading session immediately preceding the nearest closing index auction.With the introduction of BTIC+, customers can execute a BTIC trade for a given trading session in advance. This marks the beginning of “T+” trading.

Mechanics: While BTIC contracts deliver into outright index futures contracts on the same day trading session, BTIC+ are futures contracts that allow market participants to execute a basis trade on E-mini S&P 500 futures relative to the official closing, or opening, S&P 500 cash index level for a given trading session, days in advance. For example, suppose Participant A and Participant B trade the BTIC+ on trade date August 6 for the BTIC instrument that will ultimately deliver into E-mini S&P futures on August 9. Each day the position would be marked to market; the position will incur final mark-to-market after the close on August 8 before being delivered into an EST contract on the morning of August 9. EST is then delivered into a futures position after the August 9 closing S&P 500 value is published.

BTIC+ Vendor Codes

  Underlying Index (Bloomberg) CME Globex

Bloomberg

BTIC

SPX Index

EST

STE

BTIC+ (Nearby)

SPX Index

ES1

ES1BTIC

yyyymmdd

Index*

BTIC+ (Deferred)

SPX Index

ES2

ES2BTIC

yyyymmdd

Index*

*yyyymmdd = Delivery Date (“Contract Date”)

BTIC Block Trade Example

Suppose that two market participants want to transact a BTIC block trade for E-mini S&P 500 futures based on the closing index value of the S&P 500 Index. The market participants agree to the following terms:

December 2019 E-mini S&P 500 futures

  • BTIC block trade eligible contract
  • BTIC block trade entry symbol ESTZ9, not the regular contract symbol ESZ9

A basis/price of 1.85

  • Negotiated and traded in 0.05 index point increments, the minimum price increment (tick size) of the ESTZ9 contract, as required.

500 contacts

  • Meets the minimum BTIC Block trade threshold as required. Please note that this is a 500-contract minimum, not a clip size, where any number of contracts equal to or greater than the contract specified minimum block trade threshold is acceptable.

Within 5 minutes (or 15 minutes during non-US hours2) of the two counterparties agreeing to the trade, both sides of the trade must be price reported to CME Direct or CME ClearPort.

  • Parties report the BTIC Block trade to CME Direct or CME ClearPort as ESTZ9 500x@1.85
  • Suppose that the closing S&P 500 index level is 2913.22. A futures position of ESZ9 500x@2915.07 (i.e. 2913.22 + 1.85) will be created, and the original ESTZ9 trade will be eliminated.

1 BTIC Block trades must comply with requirements in CME or CBOT Rule 526 (Block Trades), as applicable.

2 Non-US trading hours are between 4pm-7am CT Monday-Friday on regular business days and at any time on the weekends.

BTIC transactions have their own unique ticker codes. Use the following tickers when entering BTIC Blocks and BTIC trades on CME Globex.

Index Futures Product

BTIC Ticker

BTIC Minimum Tick Increment

BTIC Block Trade Threshold

Clears into Underlying Product

Major U.S. Index Futures

E-mini S&P 500*

EST

0.05

500

ES

E-mini Nasdaq-100*

NQT

0.05

500

NQ

E-mini Dow ($5)*

YMT

1

500

YM

E-mini Russell 2000*

RLT

0.05

40

RTY

Other U.S. Index Futures

E-mini Russell 2000 Growth*

2GT

0.05

40

R2G

E-mini Russell 2000 Value*

2VT

0.05

40

R2V

E-mini Russell 1000*

R1T

0.05

50

RS1

E-mini Russell 1000 Growth*

RGT

0.05

50

RSG

E-mini Russell 1000 Value*

RVT

0.05

50

RSV

Dow Jones U.S. Real Estate*

REX

0.1

50

JR

E-mini NASDAQ Biotechnology*

BIT

0.1

20

BQ

E-mini IPOX 100 U.S.*

IPT

0.5

50

IPO

E-mini S&P MidCap 400*

EMT

0.1

50

ME

E-mini S&P SmallCap 600

SMT

0.1

50

SMC

E-mini S&P 500 ESG EGT 0.02 500 ESG

S&P 500 Growth

SGT

0.1

50

SG

S&P 500 Value

SUT

0.1

50

SU

S&P MLP*

SLT

0.5

20

SLP

Select Sector Index Futures

E-mini S&P Communication Services Select Sector*

XZT

0.05

50

XAZ

E-mini S&P Consumer Discretionary Select Sector*

XYT

0.1

50

XAY

E-mini S&P Consumer Staples Select Sector*

XPT

0.1

50

XAP

E-mini S&P Energy Select Sector*

XET

0.1

50

XAE

E-mini S&P Financial Select Sector*

XFT

0.05

50

XAF

E-mini S&P Healthcare Select Sector*

XVT

0.1

50

XAV

E-mini S&P Industrial Select Sector*

XIT

0.1

50

XAI

E-mini S&P Materials Select Sector*

XBT

0.1

50

XAB

E-mini S&P Real Estate Select Sector*

XRT

0.05

50

XAR

E-mini S&P Technology Select Sector*

XKT

0.1

50

XAK

E-mini S&P Utilities Select Sector*

XUT

0.1

50

XAU

Total Return Index Futures

S&P 500 Total Return*

TRB

0.05

500

TRI

S&P 500 Carry Adjusted Total Return*

CTB

0.05

500

CTR

Nasdaq-100 Total Return*

N1T

0.1

500

N1R

Russell 1000 Total Return*

R1B

0.1

50

R1R

Russell 2000 Total Return*

R2T

0.1

50

R2R

DJIA Total Return*

DTT

0.5

500

DTR

International Index Futures

E-mini FTSE 100*

FTT

0.25

50

FT1

E-mini USD-Denominated FTSE 100*

FTB

0.05

50

FTU

E-mini FTSE China 50*

FTC

1

50

FT5

E-mini FTSE Developed Europe*

DVT

0.01

50

DVE

E-mini FTSE Emerging *

EIT

0.05

50

EI

Nikkei/USD*

NKT

0.1

50

NKD

Nikkei/Yen*

NIT

0.1

50

NIY

TOPIX**

TPB

0.1

N/A

TPY

USD-Denominated Ibovespa

IBB

5

50

IBV

* BTIC on CME Globex available

** BTIC TOPIX futures are only available on CME Globex. BTIC block trades are not available at this time.

For additional product information, visit cmegroup.com/btic

To view a list of BTIC liquidity providers, visit cmegroup.com/eq-block-providers

About CME Group

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