Trade Marker at Close on Equity Index futures
Access Equity Index futures close with greater certainty using TMAC, which utilizes the respective index futures fixing at 4:00 p.m. ET daily as the marker against which all trades are priced. TMAC allows market participants a way to trade futures at a spread to this marker and is available on four major equity benchmarks.
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 marker price, rather than waiting for the futures market close. Mitigate uncertainty related to futures settlement or exercise and assignment of E-mini options on futures.
Manage ETF risks
Effectively manage risk around creation or redemption at the net asset value (NAV) price of related index 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.
Frequently Asked Questions about TMAC
Get in-depth answers about Trade Marker at Close on Equity Index futures. Compare outright vs. TMAC transactions, how TMAC differs from BTIC transactions, review quoting conventions, view fees, and more.
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How TMAC works for Equity Index futures
The TMAC mechanism allows clients to mitigate execution risk during the settlement period in the trading session. Clients can execute at the marker price even outside of U.S. hours. TMAC trades off a "base price" of zero (equal to the daily futures fixing price) to create a differential versus the daily settlement price in the underlying futures contract month. The TMAC clearing price equals the daily fixing price of the underlying futures contract month plus or minus the TMAC transaction price.
TMAC ON E-MINI S&P 500 FUTURES EXAMPLE
TMAC TRANSACTION EXECUTION EXAMPLE
A market participant wishes to hedge an ES futures exposure at the fixing price and is willing to pay +.10 relative to the marker. The participant would transact under its TMAC symbol, ESX , at a price of +0.10.
Spread = +0.10
ES FUTURES FIXING PRICE
Assume that E-mini S&P 500 futures fixing price is set at 4,420.39 at 4:00 p.m. ET.
FINAL PRICE OF RESULTING POSITION
The ESX trade would be replaced with an ES contract at a price of 4,420.49.
4,420.39 +0.10 =$4,420.49
DAILY SETTLEMENT PRICE
The daily settlement price of the E-mini S&P 500 futures contract settles at 4420.50 (4420.39 rounded to nearest 0.25).
|E-MINI S&P 500 FUTURES TMAC||E-MINI NASDAQ-100 FUTURES TMAC||E-MINI RUSSELL 2000 FUTURES TMAC||E-MINI DJIA FUTURES TMAC|
CME PRODUCT CODES
|Futures: ES||Futures: NQ||Futures: RTY||Futures: YM|
|TMAC: ESX||TMAC: NQX||TMAC: RTX||TMAC: YMX|
|UNDERLYING CONTRACT SIZE||1 E-mini S&P 500 futures contract||1 E-mini Nasdaq-100 futures contract||1 E-mini Russell 2000 futures contract||1 E-mini DJIA futures contract|
|MINIMUM PRICE FLUCTUATION||.05 = $2.50 per contract||.05 = $1.00 per contract||.05 = $2.50 per contract||1 = $5.00 per contract|
Sunday - Friday 6:00 p.m. - 4:00 p.m. ET
Sunday 6:00 p.m. - Friday 6:45 p.m. ET with no reporting Monday - Thursday from 6:45 p.m. - 7:00 p.m. ET. TMAC submission for the next day's settlement price is available after 7:00 p.m. ET.
|TERMINATION OF TRADING||For an expiring futures contract, TMAC 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, TMAC transactions in expiring futures contracts may not be initiated on the last trade date on such expiring futures.|
|LISTED CONTRACTS||Nearest quarterly contract in the Mar, Jun, Sep, Dec cycle.|
Learn more about TMAC
Watch the video to understand the basics of TMAC, the fundamentals behind the mechanism and how to use TMAC to effectively manage risk.
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