Trading at Settlement on Cryptocurrency futures
Access the Bitcoin and Micro Bitcoin futures close with certainty using Trading at Settlement (TAS), a way to trade futures at a spread to their underlying 4:00 p.m. ET daily settlement price.
Transact at/near settlement price in advance
Execute at any point of the trading day, including non-U.S. hours, at a spread to the settlement price rather than waiting for the market close. Mitigate uncertainty around settlement pricing.
Manage risk around ETFs
Effectively manage risk around the creation or redemption of the net asset value (NAV) print of cryptocurrency based ETFs, at any time of the day.
Enjoy multiple ways to trade
Choose the trade execution method that suits your needs: trade via CME Globex central limit order book or by privately negotiating block trades with a preferred counterparty.
Now live
TAS enhancements
TAS eligibility for Bitcoin futures have expanded to the second and third contract months to provide more flexibility to manage settlement risk.
How TAS works for Cryptocurrency futures
The TAS mechanism allows clients to mitigate execution risk during the settlement period in the trading session. Clients can execute at the settlement price even outside of U.S. hours. TAS trades off a "base price" of zero (equal to the daily settlement price) to create a differential versus the daily settlement price in the underlying futures contract month. The TAS clearing price equals the daily settlement price of the underlying futures contract month plus or minus the TAS transaction price.
Symbols
TBT
TBM
Contract
TAS on Bitcoin futures
TAS on Micro Bitcoin futures
TAS ON BITCOIN FUTURES EXAMPLE
TAS transaction at execution
A market participant wants to execute TAS on Bitcoin futures (BTC), at a spread of +2. The participant would transact under its TAS symbol, TBT, at a price of +2.
Spread = +2
BTC Settlement Price
Assume that Bitcoin futures (BTC) later settle at $18,500 at 4:00 p.m. ET.
BTC Settlement Price =$18,500
Final price of resulting position
The TBT trade would be replaced with a BTC contract at a price of $18,502.
$18,500 +2 =$18,502
Contract specifications
| Bitcoin futures | Micro Bitcoin futures | |
|---|---|---|
| CME PRODUCT CODES | Futures: BTC TAS: TBT |
Futures: MTB TAS: TBM |
| UNDERLYING CONTRACT SIZE | 5 bitcoin | 0.10 bitcoin |
| Trading hours |
CME Globex: CME ClearPort: |
|
| MINIMUM PRICE FLUCTUATION | Outright: $5.00 per bitcoin = $25.00 per contract Calendar Spread: $1.00 per bitcoin = $0.10 per contract TAS: Zero or +/- 25 ticks. $1.00 per bitcoin = $5.00 |
Outright: $5.00 per bitcoin = $0.50 per contract Calendar Spread: $1.00 per bitcoin = $5.00 per contract TAS: Zero or +/- 25 ticks. $1.00 per bitcoin = $0.10 |
| LISTED CONTRACTS |
Monthly contracts listed for six consecutive months, quarterly contracts (Mar, Jun, Sep, Dec) listed for four additional quarters and a second Dec contract if only one is listed. TAS is available on the three nearest expirations in the underlying futures |
Monthly contracts listed for six consecutive months, quarterly contracts (Mar, Jun, Sep, Dec) listed for four additional quarters and a second Dec contract if only one is listed. TAS is available on the front month only. |
| TERMINATION OF TRADING | Futures: Trading terminates at 4:00 p.m. London time on the last Friday of the contract month if that day is a business day in either the U.K. or the U.S. If that day is not a business day in both the U.K. and the U.S, trading shall terminate on the preceding day that is a business day in either the U.K. or the U.S. TAS: For an expiring futures contract, TAS trading shall terminate at 4:00 P.M. ET on the business day immediately preceding the last trade date for such futures contract. For clarity, TAS transactions in expiring futures contracts may not be initiated on the last trade date on such expiring futures. |
|
| BLOCK MINIMUM | Futures: 5 contracts TAS: 5 contracts |
Futures: 10 contracts TAS: 10 contracts |
Contact a Cryptocurrency expert
Connect with a member of our team to get more information about our products and services.
