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Basis Trade at Index Close (BTIC) Liquidity Report
Track Volume and Liquidity Trends in BTIC on Major Indices
Available for a range of index futures, Basis Trade at Index Close (BTIC) enables market participants to execute a basis trade relative to the official close for the underlying index for more efficient cash management.
This report highlights activity in BTIC for E-mini S&P 500, E-mini NASDAQ-100 and E-mini Dow ($5) futures, including historical CME Globex and Block volume, ADV and open interest, and bid/ask spread.