TACO is a trading mechanism that allows participants to execute a basis trade on E-mini S&P 500 futures relative to the day’s official cash index opening level – before the underlying market. TACO on E-mini S&P 500 futures has been in market since May-2018. Over 80K contracts ($12B notional) have traded since their launch and have provided market participants a useful tool to hedge S&P 500 exposure.
Building on the successful launch of TACO on ES futures, TACO is now available on Nasdaq-100 and Russell 2000. These contracts follow the same mechanics of the ES contracts which are TACO eligible.
TACO trading is eligible for the five concurrent listed contracts for E-mini S&P 500 futures, E-mini Nasdaq-100 futures, and E-mini Russell 2000 futures.
Please note that since TACO is against the open, it can be traded on a T or a T+1 basis depending on what time of day you are executing. To trade against the SOQ (Official Cash Index Open) you can transact in TACO between 10:00 a.m. CT (T-1) and 8:30 am CT (T), with the normal trading halt between 4:00 p.m. and 5:00 p.m. CT. On Fridays, after the cash equity market opens in the US at 8:30 a.m. CT, TACO will only be available for block trades – the only way to trade the Monday open via TACO is a block trade on Friday, or Globex on Sunday night – this is due to a Globex limitation that CME hopes to address in the near future. Here is a trading calendar to show when TACO is available, and if traded during that window with relevant SOQ print TACO is based off of T or T+1. Please note that times are US Central Time.
While TACO trading resembles that of BTIC, there are additional differences noted below:
|Trade at Cash Open (TACO) on E-mini S&P 500||Basis Trade at Index Close (BTIC) on E-mini S&P 500|
|Pricing basis||vs. Special Opening Quotation (SOQ) of S&P 500 Price Index||vs. Closing Index Value of S&P 500 Price Index|
|…terminates at||8:30 a.m. CT||3:00 p.m. CT|
|…begins at||10:00 a.m. CT prior day (except on CME Globex trades vs. Monday SOQ, which begins at 5:00 p.m. CT on Sunday)||5:00 p.m. CT on prior day|
|…trading halt||4:00-5:00 p.m. CT for the systemwide trading halt on CME Globex||N/A|
|After a Trade is Matched|
|…on CME Globex||Confirm on the ESQ trade will be sent on CME Globex||Confirm on the EST trade will be sent on CME Globex|
|…in clearing||Position in ES will be created, pending resolution of trade price in ES.|
|…clearing price update||CME Clearing House continues to update the estimated price of the ultimate ES trade based on current index value.|
*The same relationship is observed between NQQ and NQT & RTQ and RLT
TACO contracts are listed on the customary U.S. equity index futures cycle – there will be five concurrent futures listed. The tick increments are below:
|Index Futures Contracts|
|TACO on E-mini S&P 500 Futures||0.05 Index points= $2.50|
|TACO on E-mini Nasdaq-100 Futures||0.05 Index points= $1.00|
|TACO on E-mini Russell 2000 Futures||0.05 Index points= $2.50|
|Index Futures Contracts||CME Globex||Bloomberg Front Month||Thomson Reuters Front Month|
|TACO on E-mini S&P 500 Futures||ESQ||TQOA Index||ESQc1|
|TACO on E-mini Nasdaq-100 Futures||NQQ||TNSA Index||NQQc1|
|TACO on E-mini Russell 2000 Futures||RTQ||TKPA Index||RTQc1|
Yes. All available TACO eligible contracts have block trade eligibility.
|Index Futures Contracts||Block Threshold|
|TACO on E-mini S&P 500 Futures||500|
|TACO on E-mini Nasdaq-100 Futures||500|
|TACO on E-mini Russell 2000 Futures||40|
Participants can execute a block trade during the Friday trading session OR trade on CME Globex on Sunday evening beginning at 5pm ET. Due to a technology limitation, there is no trading on CME Globex on Friday. CME Group is working towards a solution to enable TACO trading on Globex for Friday trading sessions.
The final price of the futures will be disseminated shortly after the Special Opening Quotation (SOQ) for the day has been published by S&P Dow Jones Indexes, FTSE Russell, and Nasdaq. The calculation of the SOQ is, in turn, dependent on the opening of all constituent stocks at their respective primary listing venue. Under normal market conditions, the SOQ is typically disseminated within 30 minutes of the cash market opening.
TACO will be charged the same as BTIC according to the current CME Fee Schedule.
As far as membership, the products will reside in the IOM Division.
TACO trades executed between 10am and 4pm CT will not be included in that day’s clearing cycle and therefore will not have margin calculated such that there is a margin requirement that must be met. TACO trades during this window, along with trades executed between 5pm and 8:30am CT will be included in the next day’s clearing cycle; margin will first be assessed in the intraday cycle on the following day.
To access CME Globex, you must have a relationship with a CME clearing member firm.
You can fill out the form on this page to stay informed of TACO product updates.
Please reach out to Equity BLM for additional inquiries: EquityProducts@cmegroup.com