BTIC on Cryptocurrency futures ‒ Frequently Asked Questions

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.

BTIC transactions are currently available on all Cryptocurrency futures against the respective CME CF Reference Rate published at 4:00 p.m. London Time.

CME will enable BTIC transactions on all Cryptocurrency futures against the respective CME CF Reference Rate published at 4:00 p.m. New York time beginning on July 25, 2022, pending regulatory review.

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The introduction of futures-based cryptocurrency ETFs in North America presented the need for bitcoin and ether price discovery around the Net Asset Value (NAV) calculation of the underlying funds, 4:00 p.m. New York. In response, CME Group launched the CME CF Bitcoin Reference Rate New York (BRRNY) and CME CF Ether-Dollar Reference Rate New York (ETHUSD_NY) in February 2022. These new rates are calculated between 3:00-4:00 p.m. New York time and are published at 4:00 p.m. New York time. Adding BTIC functionality linked to these “New York Close” rates, provides market participants greater flexibility in trading the underlying futures while also allowing them the ability to more precisely track their desired benchmark.

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Yes, market participants will have the choice to transact Cryptocurrency futures relative to the underlying CME CF Reference Rate of their choice. For example, a North American bitcoin ETF provider looking to manage fund positions around NAV calculation (4:00 p.m. New York time) may choose to transact BTIC on Bitcoin futures versus the CME CF Bitcoin Reference Rate New York (published at 4:00 p.m. New York time) rather than BTIC on Bitcoin Futures versus the CME CF Bitcoin Reference Rate (published at 4:00 p.m. London time).

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The naming convention for BTIC transactions on Cryptocurrency futures is as follows:

BTIC on <Cryptocurrency futures name> against <city name> Close

To avoid confusion, the city name refers to the desired publication time (4:00 p.m. London or 4:00 p.m. New York) of the underlying CME CF Cryptocurrency Reference Rate.

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London Close

New York Close

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

BTIC on Cryptocurrency futures against London Close

For a BTIC or BTIC block trade executed prior to the publication of the Index on a given Trading Day, 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 the publication of the Index, the corresponding futures price shall be made by reference to the closing Index value for the next Trading Day.

BTIC on Cryptocurrency futures against New York Close

BTIC on Cryptocurrency futures against New York close transactions completed by 4:00 p.m. New York 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. New York time will be against the next trade date’s reference rate.

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

* 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

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

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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.

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Yes, with the following minimum thresholds:

• Bitcoin futures: 5 contracts
• Micro Bitcoin futures: 10 contracts
• Ether futures: 5 contracts
• Micro Ether futures: 100 contracts

View block and BTIC liquidity providers

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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.

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

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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.

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

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

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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.

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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.

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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.

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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.

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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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