Trade at Cash Open (TACO)

Launch and Overview

1. What is Trade at Cash Open (TACO) trading?

Beginning May 14, CME Group will offer Trade at Cash Open, or TACO: 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 open.

2. Which futures contracts and contract months will be available for TACO trading?

TACO trading will be available for the five concurrent listed contracts for E-mini S&P 500 futures.

3. What are the TACO trading hours?

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 S&P 500 SOQ (Official Cash Index Open) you can transact in TACO between 10:00 a.m. Central Time (CT) (T-1) and 8:30 a.m. 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 U.S. 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 CME Globex on Sunday night – this is due to a Globex limitation that CME Group 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.

4. How is TACO different than BTIC (Basis Trade at Index Close)?

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
Ticker symbol ESQ EST
Pricing basis vs. Special Opening Quotation (SOQ) of S&P 500 Price Index vs. Closing Index Value of S&P 500 Price Index
Trading session
…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.

Product Details

5. What are the contract specifications for TACO trading on E-mini S&P 500 futures?

The product code for TACO on E-mini S&P 500 is ESQ. TACO will be available for trading via CME Globex and block trading (500 contract block minimum) for the five concurrent E-mini S&P 500 futures that expire against the opening index value on the third Friday of March, June, September and December. The contract size will be $50 x the index, and the minimum tick increments will be:

TACO: 0.05 Index points= $2.50

View full contract specifications 

6. What are the codes for these products?

Index Futures Contracts CME Globex Bloomberg Front Month Thomson Reuters Front Month
TACO on E-mini S&P 500 Futures ESQ TQOA Index ESQc1

7. Can TACO trades be eligible for block trading?

8. How can participants execute a TACO trade for the Monday SOQ?

Participants can execute a block trade during the Friday trading session or trade on CME Globex on Sunday evening beginning at 5 p.m. Central Time (CT). Due to a technology limitation, there is no trading on CME Globex on Friday. CME Group is working toward a solution to enable TACO trading on Globex for Friday trading sessions.

9. When is the final price of E-mini S&P 500 futures disseminated?

The final price of E-mini S&P 500 futures will be disseminated shortly after the Special Opening Quotation (SOQ) for the day has been published by S&P Dow Jones Indexes. 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.

Fee and Margin Details

10. What are the fees for TACO futures?

TACO will be charged the same as BTIC according to the current CME Fee Schedule.

View latest CME Fee Schedule

11. In which division will the TACO reside?

As far as membership, the products will reside in the IOM Division.

12. When will TACO trades be included in the margin calculation?

TACO trades executed between 10 a.m. and 4 p.m. 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 5 p.m. and 8:30 a.m. CT will be included in the next day’s clearing cycle; margin will first be assessed in the intraday cycle on the following day.

Additional Information

13. Will there be on-screen market makers for TACO?

Yes, starting July 16, 2018, market makers will provide continuous two-sided quoting for TACO on CME Globex.

14. How can I get access to CME Globex?

To access CME Globex, you must have a relationship with a CME clearing member firm.

Learn more about connecting to CME Globex

15. Where can I find more information on TACO trading at CME Group?

Get the latest information about TACO

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:

Trade at Cash Open (TACO)

Craving a better way to hedge Market on Open orders or manage a.m.-expiring deltas? Try TACO for E-mini S&P 500 futures.

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