Market participants may now directly execute an inter-commodity spread (ICS) between Bitcoin futures (commodity code: BTC) and Micro Bitcoin futures (commodity code: MBT) contracts on CME Globex. The ICS will help maintain price alignment between the two underlying bitcoin futures contracts and may result in improved bid-ask spreads for the outright contracts.

How it works

The Globex listing convention for the ICS is BTC-MBT, whereby buying the spread means buying leg 1, BTC, and selling leg 2, MBT, at the ratio 1:50, respectively. Conversely, selling the ICS means selling (one) BTC contract and buying (50) MBT contracts. The ICS spread may be negative, zero or positive and will be available across all listed contract month combinations.

The ICS pricing convention is BTC price minus MBT price whereby the BTC price will act as the anchor price based on the most recently available BTC trade. The price for the resultant MBT contracts will be derived as BTC price minus the transacted spread price. Consider the following example:

An investment manager is long three January BTC contracts (representing 15 equivalent bitcoin) which she would like to roll into February. She anticipates that she may need to reduce her holding to 12 equivalent bitcoin but is unsure of the timing. The investment manager may use the ICS to efficiently and seamlessly roll the position from three January BTC contracts to 150 February MBT contracts and then has the flexibility to reduce her MBT position to 120 contracts (12-equivalent bitcoin) when convenient.

Assume the investment manager sees three BTC-MBT spreads bid at -2, she hits the bid thereby automatically and simultaneously selling three BTCF2 contracts and buying 150 MBTG2 contracts. The most recent BTC price was 44,370, resulting in a price of 44,372 for MBT (anchor leg price minus spread price; 44,370 – (-2)).  The investment manager’s resultant position is 150 MBT contracts at a price of 44,372 as she successfully rolled her January BTC position into a February MBT position.

Key features

Eliminate price slippage
 

ICS provides easier, more efficient execution of Bitcoin futures and Micro Bitcoin futures spreads.

 

Increase matching opportunities


Spread functionality provides arbitrage between futures order books, enhancing liquidity and market efficiency.

More precisely and efficiently align your bitcoin exposure

Enjoy flexibility to seamlessly move positions between two different order books to benefit from better pricing/liquidity.

Bitcoin futures vs. Micro Bitcoin futures spread specifications

Spread Convention

Leg 1 = BTC = Buy Leg

Leg 2 = MBT = Sell Leg

Spread = Leg 1 – Leg 2 ≡ BTC – MBT (may be positive, negative or zero)

Globex Ticker Convention

BTC[month][year]-MBT[month][year]

Outright Price Calculation

BTC = Anchor Price = Last Trade Price

MBT = Resultant Price = BTC - Spread

Spread Ratio

1:50 (BTC:MBT)

Minimum Tick

$1 per bitcoin

Listed Pairs

All listed contract month combinations

Trading Hours

CME Globex: Friday – Sunday, 6:00 p.m. – 5:00 p.m. ET

Termination of Trading

4:00 p.m. London time on the last Friday of the contract month.

Underlying contract specifications

 

Micro Bitcoin futures

Bitcoin futures

Contract Size

0.10 bitcoin

5 bitcoin

Trading Hours and Venue

CME Globex: Friday – Sunday, 6:00 p.m. – 5:00 p.m. ET

CME ClearPort: 6:00 p.m. Sunday to 6:45 p.m. Friday ET with a 15 minute maintenance window between 6:45 p.m. – 7:00 p.m. ET Monday – Thursday

Minimum Price Fluctuation

Outrights: $5 per bitcoin = $0.50 per contract

Outrights: $5 per bitcoin = $25 per contract

Spreads: $1 per bitcoin = $0.10 per contract

Spreads: $1 per bitcoin = $5 per contract

Product Code

CME Globex: MBT

CME Globex: BTC

CME ClearPort: MBT

CME ClearPort: BTC

Clearing: MBT

Clearing: BTC

Listing Cycle

Six consecutive monthly contracts inclusive of nearest two December contracts

Final Settlement

Financially settled

Termination of Trading

Trading terminates at 4 p.m. London time on the last Friday of the contract month.


Explore the underlying contracts in depth

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