BTIC on Cryptocurrency futures ‒ Frequently Asked Questions


1. What is BTIC?

BTIC, or Basis Trade at Index Close, is a pricing mechanism with its own product specific ticker that provides market participants the ability to trade futures contracts at a fixed spread or basis to a reference price, such as the close, of a known benchmark index.

2. When is CME Group launching BTIC on Cryptocurrency futures?

Pending all relevant regulatory review periods, CME Group will launch BTIC on Cryptocurrency futures on September 27, 2021.

3. What are the specifications for BTIC transactions on Cryptocurrency futures?

 

Bitcoin futures

Micro Bitcoin futures

Ether futures

Commodity Code

Futures: BTC

Futures: MTB

Futures: ETH

BTIC: BTB

BTIC: MIB

BTIC: ETB

Underlying Reference Rate

CME CF Bitcoin Reference Rate (BRR)

CME CF Bitcoin Reference Rate (BRR)

CME CF Ether-Dollar Reference Rate (ETHUSD_RR)

Underlying Contract Size

5 bitcoin

0.10 bitcoin

50 ether

BTIC CME Globex Hours

Sunday - Friday 6:00 p.m. Eastern time (ET) - 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET).

Monday - Thursday 4:30 p.m. London time (11:30 a.m./12:30 p.m. ET) - 5:00 p.m. ET.

Friday 4:30 p.m. London time (11:30 a.m./12:30 p.m. ET) – 5:00 p.m. ET for Monday’s Reference Rate

Monday - Thursday 5:00 p.m. - 6:00 p.m. ET daily maintenance period.

BTIC CME ClearPort Hours

Sunday 6:00 p.m. Eastern time (ET) - Monday 4:00 p.m. London Time (11:00 a.m./12:00 p.m. ET).

Monday - Thursday 1:00 p.m. ET - 6:45 p.m. ET and 7:00 p.m. ET - 4:00 p.m. London time (11:00 a.m./12:00 p.m. ET).

Monday - Friday 4:00 p.m. London time - 1:00 p.m. ET and 6:45 p.m. - 7:00 p.m. ET daily maintenance period.

Minimum Price Fluctuation

Outright: $5.00 per bitcoin = $25.00 per contract

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

Outright: $5.00 per bitcoin = $0.50 per contract

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

Outright: $0.25 per ether = $12.50 per contract

Calendar Spread: $0.05 per ether = $2.50 per contract 

BTIC: $1 per bitcoin

BTIC: $1 per bitcoin

BTIC: $0.05 per ether

Listed Contracts

BTIC offered on all 6 consecutive monthly contracts listed inclusive of nearest 2 December contract months

BTIC Trading

For a BTIC or BTIC block trade executed on a given Trading Day at or before 4:00 p.m. London time, the corresponding futures price shall be made by reference to the closing Index value for the current Trading Day.

For a BTIC or BTIC block trade executed on a given Trading Day after 4:00 p.m. London time, the corresponding futures price shall be made by reference to the closing Index value for the next Trading Day.

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. 

BTIC: For an expiring futures contract, BTIC trading shall terminate at 4:00pm London time on the business day immediately preceding the day of Final Settlement Price determination for such futures contract. For clarity, BTIC transactions in expiring futures contracts may not be initiated on the Last Trade Date in such expiring futures.

Block Minimum

Futures: 5 contracts

Futures: 10 contracts

Futures: 5 contracts

BTIC: 5 contracts

BTIC: 10 contracts

BTIC: 5 contracts

4. What are the BTIC on Cryptocurrency futures trading hours?

BTIC on Cryptocurrency futures trading hours in Eastern Time (ET)

Globex Hours

Sunday - Friday 6:00 p.m. ET - 4:00 p.m. London Time (11:00 a.m./12:00 p.m. ET).

Monday - Thursday 4:30 p.m. London Time (11:30 a.m./12:30 p.m. ET) - 5:00 p.m. ET.

Friday 4:30 p.m. London Time (11:30 a.m./12:30 p.m. ET) – 5:00 p.m. ET for Monday’s Reference Rate

Monday - Thursday 5:00 p.m. - 6:00 p.m. ET daily maintenance period.

ClearPort Hours

Sunday 6:00 p.m. ET – Monday 4:00 p.m. London Time (11:00 a.m./12:00 p.m. ET).
Monday – Thursday 1:00 p.m. ET – 6:45 p.m. ET and 7:00 p.m. ET to 4:00 p.m. London Time (11:00 a.m./12:00 p.m. ET).
Monday – Friday 4:00 p.m. London Time - 1:00 p.m. ET and 6:45 p.m. – 7:00 p.m. ET (daily maintenance period).

BTIC on Cryptocurrency futures transactions completed by 4:00 p.m. London time will use that trade date’s reference rate to calculate the corresponding futures price while those BTIC transactions consummated after 4:00 p.m. London time will be against the next trade date’s reference rate.

5. How are BTIC transactions handled on U.S. holidays?

Please see table below and refer to the Globex holiday calendar for the official holiday treatment.

Treatment on US holidays where Globex is closed

BTIC will be against….

Friday Trading with a Monday Holiday

Up to 4:00pm London time (11:00am/12:00pm ET)* on Friday

Friday's Reference Rate

4:30pm London time (11:30am/12:30pm ET)* on Friday to 5:00pm ET on Friday

Tuesday's Reference Rate

Friday to 5:00pm ET on Friday to 5:00pm ET on the Monday holiday - Globex closed for BTIC

6:00pm ET on the Monday holiday to 4:00pm (11:00am/12:00pm ET)* London time on Tuesday

Tuesday's Reference Rate

Mid-week holiday (MWH)

Up to 4:00pm London time on the business day before the MWH

Reference Rate on business day before MWH

4:30pm London time (11:30am/12:30pm ET)* on business day before MWH to 5:00pm ET on business day before MWH

Reference Rate on business day after MWH

5:00pm ET on business day before MWH to 5:00pm ET on MWH - Globex closed for BTIC

6:00pm ET on MWH to 4:00pm London time (11:00am/12:00pm ET)* on the business day after MWH**

Reference Rate on business day after MWH

Treatment on US holidays where Globex is open for part of the day

 

Friday with a Monday Holiday

Up to 4:00pm London time (11:00am/12:00pm ET)* on Friday

Friday's Reference Rate

4:30pm London time (11:30am/12:30pm ET)* on Friday to 5:00pm ET on Friday

Monday's Reference Rate

6:00pm ET Sunday (before Monday holiday) to 4:00pm London time (11:00am/12:00pm ET)* on the Monday holiday

Monday's Reference Rate

6:00pm ET on the Monday holiday to 4:00pm London time (11:00am/12:00pm ET)* on Tuesday

Tuesday's Reference Rate

Mid-week holiday (MWH)

Up to 4:00pm London time (11:00am/12:00pm ET)* on business day before MWH

Reference Rate on business day before MWH

4:30pm London time (11:30am/12:30pm ET)* on business day before MWH to 5:00pm ET on business day before MWH

Reference Rate on  MWH

6:00pm ET on business day before MWH to 4:00pm London time (11:00am/12:00pm ET)* on MWH

Reference Rate on  MWH

6:00pm ET on MWH to 4:00pm London time (11:00am/12:00pm ET)* on the business day after MWH**

Reference Rate on business day after MWH

* Dependent on Daylight Savings Time

** if holiday falls on a Friday, BTIC trading ends at 5:00 pm ET on Frriday and resumes at 6:00 pm ET on Sunday

6. What are the vendor codes?

Product Name

CME Globex

Bloomberg

CQG

Refinitiv

BTIC on Bitcoin futures

BTB

BTDA <Curncy> BTB BTB

BTIC on Ether futures

ETB

DCSA <Curncy>

ETB

EBT

BTIC on Micro Bitcoin futures

MIB

BMYA <Curncy>

MIB

MBI

7. What is the BTIC on Cryptocurrency futures quoting convention?

BTIC on Cryptocurrency futures are quoted as the difference between the respective futures price and the underlying reference rate. The basis or spread may be positive or negative.

8. Will there be on-screen market makers for BTIC on Cryptocurrency futures?

Yes. CME Group has designed a market maker program for BTIC on Cryptocurrency futures to support continuous two-sided markets and price discovery throughout the trading day.

9. Is BTIC on Cryptocurrency futures eligible for block trading?

Yes, with the following minimum thresholds:

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

View block and BTIC liquidity providers

10. Will there be block liquidity providers for BTIC on Cryptocurrency 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 538 in the MRAN to learn more about block trades.

11. Are BTIC on Cryptocurrency futures available across all listed contracts?

BTIC on Cryptocurrency futures may be transacted across all available listed contracts.

Margin and fee details

12. When will BTIC on Cryptocurrency futures trades be included in the margin calculation?

BTIC on Cryptocurrency futures trades executed by 4:00 p.m. London time will be included in that day’s clearing cycle. BTIC on cryptocurrency futures transactions consummated after 4:00 p.m. London time 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 BTIC on cryptocurrency futures?

Fees for BTIC on Cryptocurrency futures transactions may be found on the CME Fee Schedule.

Additional information

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

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

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

No, BTIC volume is not added to the outright futures volume on a real-time basis. While the final traded futures price of BTIC on Cryptocurrency futures transactions will be disseminated to the clearing firms after the cash close, the BTIC 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 Cryptocurrency futures from BTIC transactions disseminated?

Approximately 15 minutes after the corresponding reference rate is published, finalized cleared trade data in the corresponding futures will be sent to your clearing firm with a trade price reflecting the index closing price plus the differential price at which the BTIC was traded. This price will be used when CME Group runs its end-of-day clearing cycle; at which 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 a BTIC on Cryptocurrency futures transaction?

You can receive the resultant futures price reflecting the BTIC 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.

18. Where can I find more information on BTIC on Cryptocurrency futures at CME Group?

Get the most up-to-date information for BTIC on Cryptocurrency futures at cmegroup.com/CryptoBTIC or reach out to EquityProducts@cmegroup.com with any questions.

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