- What is block trading?
- Features of block trades
- Eligible E-mini option products / block thresholds
- Delta neutral trading
- Breadth of option expiry dates
- Block reporting requirements
- Minimum price increments
- Block market makers
- Contract codes
- Fees for block trades
- Block trading activity reports
- E-mini S&P 500 options blocks
- BTIC and BTIC+ trading
What is block trading?
Block trading is a way of executing larger-sized futures and option transactions in an efficient and compliant manner.
Block trades are privately negotiated transactions executed away from the competitive venues with specific participation, pricing and reporting requirements as described in Rule 526 and the associated Market Regulation Advisory Notice on block trades. Participation in block trades is restricted to eligible contract participants as defined in the Commodity Exchange Act.
Block trades are permitted in specified products and are subject to minimum transaction size requirements which vary according to the product, the type of transaction and the time of execution. Block trades may be executed at any time at a fair and reasonable price.
Features of block trades
- Block trades offer the convenience of privately negotiating a large trade with trusted counterparties.
- Blocks are designed to meet institutional trading needs.
- 100% of the trade can be privately negotiated and consummated.
- Liquidity seekers benefit from increased confidentiality and reduced slippage.
- Liquidity providers avoid break-up risk.
- Block trades offer market participants the convenience of pre-trade negotiation.
- Block trading of E-mini equity index options offers the benefit of capital efficiency and central clearing available at CME Group.
Eligible E-mini option products / block thresholds
E-mini Nasdaq-100 options are newly eligible for option block trading as of January 24, 2022, joining E-mini S&P 500 options and E-mini Russell 2000 index options. E-mini option block trades are subject to a minimum transaction size requirement. You can view block minimum thresholds by product here.
Delta neutral trading
Traders can block E-mini futures as the delta component to an E-mini option block at CME Group. There is no minimum quantity required for a covering futures transaction, however the corresponding delta must be equal to the opposite of the net delta of the option legs.
Breadth of option expiry dates
On any given day, there will be 43 E-mini S&P 500 option expiries, with expiries available spanning five years. Thirteen consecutive Friday Week 3 options are available, along with nine consecutive AM expiry quarterlies.
Additionally, there will be 23 E-mini Nasdaq-100 options, and 20 E-mini Russell 2000 options, spanning Mondays, Wednesdays, and Fridays, as well as Quarterly and End-of-Month expiries.
All of these expiries are eligible for block trading, offering risk management opportunities for both short-term and long-term exposures.
Block reporting requirements
Block trades must be submitted via CME Direct or CME ClearPort. Block trades have specific requirements with respect to how quicky they need to be reported to the exchange following trade execution. For more information on trade reporting times, please see the Market Regulation Advisory Notice.
RTH (regular trading hours) is defined as: 7 a.m. – 4 p.m. CT, Monday through Friday on regular business days. ETH (extended trading hours) are between 4 pm–7a.m. CT Monday-Friday on regular business days and at any time on the weekends.
Block reporting through CME Direct
CME Direct provides direct entry into CME ClearPort. Use CME Direct to instantly process voice-negotiated blocks. Brokers using CME Direct can efficiently open a CME Direct trade ticket, populate the details of a block trade, and submit the deal directly for clearing. Get started here.
CME Direct block trade features:
- Fast booking - immediately submit block trades within the required reporting window
- Pre-confirmation window for trading entry - including CME ClearPort validation checks
- Real-time block ticker - view customizable block data feeds displaying all block trades in real-time
Minimum price increments
Block market makers
Block trading activity reports
More information on E-mini equity index option blocks
BTIC and BTIC+ trading
Traders who need to adjust hedges related to option block transactions can take advantage of the liquidity available from Basis Trade at Index Close (BTIC) and BTIC+ trading. These contracts enable market participants to execute a basis trade relative to the official close for the underlying index. Furthermore, BTIC+ on E-mini equity indices now allows customers to execute this trade days in advance of the closing index print.
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 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.
Features of BTIC 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, Nasdaq-100 or Russell 2000.
- Control: Directly negotiate a block trade with a selected eligible counterparty.
- Security: Risk management and safeguards provided by CME Clearing.
Find out more about BTIC and BTIC+ here.
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