- 1 Apr 2020
- By CME Group
- Topics: General Education, Equity Index
This FAQ is provided for informational purposes and does not constitute the rendering of legal or other professional advice. Individuals and entities should in all cases seek advice from their independent legal and professional advisors regarding the matters discussed below.
Overview
CME Bitcoin futures are based on the CME CF Bitcoin Reference Rate (BRR), which aggregates bitcoin trading activity across major bitcoin spot exchanges between 3:00 p.m. and 4:00 p.m. London time.
Bitcoin futures are listed and cleared on CME, a US-registered designated contract market (DCM) and derivatives clearing organization (DCO).
The trading and clearing of Bitcoin futures is regulated by the Commodity Futures Trading Commission (CFTC), the regulatory body with exclusive jurisdiction over US Bitcoin futures markets.
As with any other derivatives product, the accounting treatment of positions in Bitcoin futures, and the general local regulatory treatment of trading in Bitcoin derivatives, may differ by country and between competent jurisdictions. Market participants are responsible for complying with all applicable US and local requirements. Market participants, particularly those with no experience in trading Bitcoin derivatives, should seek professional counsel as necessary and appropriate to their circumstances.
Central limit order book via the CME Globex platform and ex-pit trade submission for clearing via CME ClearPort and CME Direct.
No. You do not need a digital wallet, because Bitcoin futures are financially-settled and therefore do not involve the exchange of bitcoin.
In order to trade futures, you must open an account with a registered futures broker who will maintain your account and guarantee your trades. In the futures business, brokerage firms are known as either a futures commission merchant (FCM), or an introducing broker (IB).
| Contract Unit | 5 bitcoin |
| Minimum Price Fluctuation | Outright: $5.00 per bitcoin = $25.00 per contract Calendar Spread: $1.00 per bitcoin = $5.00 per contract |
| Trading Hours | CME Globex: Sunday - Friday 6:00 p.m. - 5:00 p.m. ET (5:00 p.m. - 4:00 p.m. CT) with a 60-minute break each day beginning at 5:00 p.m. ET (4:00 p.m. CT) CME ClearPort: 6:00 p.m. Sunday to 6:45 p.m. Friday ET (5:00 p.m. - 5:45 p.m. CT) with a 15-minute maintenance window between 6:45 p.m. - 7:00 p.m. ET (5:45 p.m. - 6:00 p.m. CT) Monday - Thursday. |
| Product Code | Outright: BTC |
| Listing Cycle | Nearest two Decembers and nearest six consecutive months. If nearest six consecutive months comprise nearest December, one additional deferred December will be listed. When a nearby December expires, a June and a second December will be listed. |
| Termination of Trading | Last Day of Trading is the last Friday of contract month. Trading in expiring futures terminates at 4:00 p.m. London time on Last Day of Trading. |
| Position Limits | Spot Position Limits are set at 2,000 contracts. A position accountability level of 5,000 contracts will be applied to positions in single months outside the spot month and in all months combined. |
| Block Minimum | 5 contracts |
| Price Limits | Price Limits |
| Settlement | Cash settled by reference to final settlement price, equal to the CME CF Bitcoin Reference Rate (BRR) on last day of trading. |
Yes, BTC can be transacted 24/7. Bilateral transactions such as block trades, pursuant to Rule 526, and EFRPs (Exchange for Related Position), pursuant to Rule 538, may be negotiated/executed 24/7 and must be submitted for clearing during the appropriate clearing session. Globex, our electronic platform, is available 23 hours per day beginning Sunday evening at 5∶00pm Central Time and ending at 4∶00pm CT Friday afternoon.
Yes, block transactions are allowed for Bitcoin futures, subject to reporting requirements per Rule 526. The minimum block threshold is 5 contracts.
Yes, Bitcoin futures are EFP/EFRP-eligible.
Daily settlement is based on the volume-weighted average price (VWAP) of CME Globex trades between 2:59:00 p.m. and 3:00:00 p.m. Central Time rounded to the nearest tradable tick.
Yes, Bitcoin futures are subject to price limits on a dynamic basis. At the commencement of each trading day, Bitcoin futures, are assigned a price limit variant which equals a percentage of the prior day’s Exchange-determined settlement price, or a price deemed appropriate by the GCC. During the trading day, the dynamic variant is applied in rolling 60-minute look-back periods to establish dynamic lower and upper price fluctuation limits as follows:
- The dynamic variant are subtracted from the highest trade and/or bid price during a look-back period to establish the lower price fluctuation limit
- The dynamic variant are added to the lowest trade and/or offer price during a look-back period to establish the upper price fluctuation limit
The final settlement value is based on the CME CF Bitcoin Reference Rate (BRR) at 4:00 p.m. London time on the expiration day of the futures contract.
The maximum order size is 100 contracts.
Yes, based on growing interest in cryptocurrencies and strong demand for more tools to manage bitcoin exposure, CME Group listed options on Bitcoin futures on January 13, 2020.
See more at cmegroup.com/bitcoinoptions
Bitcoin futures real-time market data is available on MDP Channel 318, and Bitcoin futures historical data is available through CME DataMine.
Additionally, real time-market data for the underlying BRR Index is available through MDP Channel 213 during normal market hours, while also available 24/7 through CME DataMine’s Streaming Service. BRR and BRTI historical data is available through CME DataMine.
Designed by CME Group and CF Benchmarks, around the IOSCO Principles for Financial Benchmarks, the BRR is a daily reference rate of the U.S. Dollar price of one bitcoin as of 4:00 p.m. London time. It is representative of the bitcoin trading activity on Constituent Exchanges and is geared towards resilience and replicability.
The BRR is calculated based on the relevant bitcoin transactions on all Constituent Exchanges between 3:00 p.m. and 4:00 p.m. London time. The price and size of each relevant transaction is recorded and added to a list which is portioned into 12 equally-weighted time intervals of 5 minutes each. For each partition, a volume-weighted median trade price is calculated from the trade prices and sizes of the relevant transactions across all the Constituent Exchanges. The BRR is then determined by taking an equally-weighted average of the volume-weighted medians of all partitions.
Although all Constituent Exchanges in the BRR are unregulated, each exchange has proactively instituted KYC/AML policies.
Fees can be found on the CME Fee Schedule.
Bitcoin futures are listed on CME and reside in the IOM Division.
Exchange margin requirements may be found at cmegroup.com. Note: clearing firms may require a margin level beyond CME Clearing’s minimum requirement.
We are using a range of risk management tools related to bitcoin futures. CME Clearing retains the right to impose exposure limits, additional capital requirements, and other targeted risk management tools if we see exposures that we determine might become a concern in any product or market. Note that our bitcoin futures product is a cash-settled futures contract. As such, margins will be set in line with the volatility and liquidity profile of the product. Further, we also have the ability for clearing members to impose trading or exposure limits on their clients. Other tools may include increased capital or margin requirements in cases where exposures increase beyond reasonable levels.
Bitcoin futures fall into CME’s Base Guaranty Fund for futures and options on futures.
For all other inquiries regarding margins or CME Clearing’s approach to risk management, please contact clearing.riskmanagement@cmegroup.com.
CME Group will list all possible combinations of the listed months.
Buying the spread is equivalent to buying the deferred contract month, for example:
BTCF0 – BTCH0 is the Jan20/Mar20 spread. Buying this spread means buying the Mar20 contract and selling the Jan20 contract.
If you are long the Jan20 contract, buying the Jan/Mar spread will extend your expiration into March.
The price of the spread trade is the price of the deferred expiration less the price of the nearby expiration. After the spread trade is done, the price of the two contracts will be determined using the following convention:
The nearby contract is priced at its daily settlement price on the previous day. The deferred contract is priced is nearby contract’s assigned price plus the spread price.
For example,
- Bought BTCF0-BTCH0 @-100
- Assuming BTCF0 prior settle = 9455
- Price of the two legs: sold BTCF0 @ 9455, bought BTCH0 @ 9455 + (-100) = 9355.
In the event of a hard fork, bitcoin futures shall continue to settle to the CME CF Bitcoin Reference Rate corresponding to the original token pair (BTC:USD). The Exchange may, in its sole discretion, take alternative action with respect to hard forks in consultation with market participants as may be appropriate.
To access CME Globex, you must have a relationship with a CME Clearing Member Firm.
Visit www.cmegroup.com/bitcoinfutures for the latest information on Bitcoin futures.
Delayed quotes will be available on cmegroup.com. You can also access quotes through major quote vendors.
1 10:59:00 a.m. – 11:00:00 a.m. EST OR 11:59:00 a.m. – 12:00:00 p.m. EDT
CF Benchmarks Ltd., Chicago Mercantile Exchange Inc. (including each of their respective subsidiaries and affiliates), their respective officers, directors, employees, agents, consultants and licensors shall not be liable to any person for any losses, damages, costs or expenses (including, but not limited to, loss of profits, loss of use, and direct or indirect, incidental, consequential or punitive damages), arising from any errors or inaccuracies made in connection with the calculation or distribution of the CME CF Cryptocurrency Indices. The foregoing limitation of liability shall apply whether a claim arises in contract, tort, negligence, strict liability, contribution or otherwise and whether the claim is brought directly or as a third party claim. Furthermore, there is no guarantee the continuity of the composition of the CME CF Cryptocurrency Indices, nor the continuity of their calculation, nor the continuity of their dissemination, nor the continuity of their calculation.
Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only be undertaken by investors who are Eligible Contract Participants (ECPs) within the meaning of Section 1a(18) of the Commodity Exchange Act. Futures and swaps each are leveraged investments and, because only a percentage of a contract’s value is required to trade, it is possible to lose more than the amount of money deposited for either a futures or swaps position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles and only a portion of those funds should be devoted to any one trade because traders cannot expect to profit on every trade.
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The information within this communication has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this communication are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning contract specifications.
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Bitcoin Futures
Learn more about Bitcoin futures, including contract specs, launch date and the underlying CME CF Bitcoin Reference Rate (BRR).
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