• Clearing Processing for TACO (Trade At Cash Open) Trades

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      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 18-163
      • Notice Date
      • 20 April 2018
      • Effective Date
      • 14 May 2018

    • On Sunday, May 13, 2018 (and pending all relevant CFTC regulatory review periods), CME will launch TACO (Trade At Cash Open) trading on E-Mini S&P 500 futures. TACO trading will be available in the “New Release” testing environments for CME Globex and CME Clearport beginning Monday, April 23.

      TACO trading on E-Mini S&P 500 futures is similar to the current trading in BTIC (Basis Trade Index Close). For both contracts, you execute at a differential price, plus or minus. The final absolute price you get in the E-Mini S&P 500 future is equal to a special marker price, plus the executed differential price. For BTIC, the special marker price is the daily closing value of the S&P 500 index. For TACO, the marker price is the special opening quote (SOQ) of the S&P 500 index.
       

      Click here for the full text of the advisory

      18-163

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