Since their launch in 2015, many investors have discovered the various benefits of executing Basis Trade at Index Close (BTIC) transactions on E-mini S&P 500 Index futures. BTIC enables market participants to trade futures contracts at a basis to the official closing value of the underlying index ahead of the actual cash market close. Now the same action can be taken against the cash index market opening level with Trade at Cash Open (TACO) futures.

How does this work?

Trade at Cash Open uses the same quoting convention as BTIC and allows you to execute a basis trade on E-mini S&P 500 futures relative to the day’s official cash index opening level, ahead of the market’s opening auction.

Just like BTIC trades, the basis price could be positive or negative, depending on financing rates and dividend yield.

For TACO transactions, once the official opening index level is published, the associated E-mini S&P 500 futures are cleared at a price equal to the opening S&P 500 cash index level, plus the agreed upon basis.


It is May 17 and a market participant wants to buy 500 June E-mini S&P 500 Index futures against the May 18 cash index open. The participant thinks the spread between futures and the S&P 500 cash index value should be +3.00 index points.

On May 17, the participant can enter an order to buy 500 E-mini S&P 500 TACO at +3.00 index points against the official cash index open on May 18 when the equity market opens at 9:30 a.m. Eastern Time.

Assuming the TACO trade is executed at +3.00 index points, after the opening of the cash equity market on May 18, the +3.00 index spread will be added to the Special Opening Quotation (SOQ) of the S&P 500 Index to derive the price of the associated E-mini S&P 500 Index futures contracts.

Factoid: The Special Opening Quotation (SOQ) is calculated by SPDJI based on the opening price of each constituent stock for that day.

If the SOQ on May 18 is 2,762.12, the resultant E-mini S&P 500 futures trade will be priced at 2,762.12 + 3.00, or 2,765.12.

It is important to note the trading session for TACO orders against the May 18 cash index open will start at 10 a.m. Central Time on the previous trading day, May 17. Therefore, market participants can manage their T+1 risk by locking in E-mini S&P 500 futures trades against the official index opening print the next morning before leaving the office for the day.

Who uses TACO?

A wide range of market participants could use TACO, including equity swap traders who use it to hedge market-on-open trade exposures, or index option traders who need to manage a.m.-expiring deltas.

TACO allows you to more efficiently trade E-mini S&P 500 futures at a price directly derived from the official cash index open price, or SOQ, without any slippage.

TACO will be available via a central limit orderbook on CME Globex, as well as for block trading, allowing real-time price discovery in the futures market, as investors around the globe submit orders against the next index open.

Test your knowledge


In case you didn’t know, the CFA Institute allows its members to self-determine and report continuing education credits earned from external sources. CFA Institute members are encouraged to self-document such credits in their online CE tracker. CME Institute offers a variety of courses, webinars, and white papers to support your professional education.

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