• Update - TACO on E-Mini S&P 500 Futures

      • To
      • CME ClearPort API and GUI Customers
      • From
      • Global Market Solutions and Services
      • #
      • 20180502
      • Notice Date
      • 02 May 2018
      • Effective Date
      • 13 May 2018
    • † Denotes update to the article

      Effective Sunday, May 13, (trade date Monday, May 14), and pending all relevant CFTC regulatory review periods, Basis Trade at Cash Open (TACO) transactions will be permitted for trading on CME Globex and for submission for clearing via CME ClearPort for the E-mini Standard & Poor’s 500 Stock Price Index Futures contract (CME Globex/CME ClearPort Code:  ES; TACO Code:  ESQ). 

      A TACO transaction on the E-Mini S&P 500 futures is an outright future trading the differential between the equity future and underlying cash index's marking at the publication of the Special Opening Quotation(SOQ).  The TACO instrument is similar to the BTIC (Trade at Cash Close) instrument but uses the cash market open and will trade Sunday – Friday following a unique trading schedule. 

      For a more detailed explanation of TACO transactions, please reference the CME Globex Notice and Special Executive Report (SER).

      TACO Trading and Clearing Hours (Eastern Time) for the E-mini Standard & Poor’s 500 Stock Price Index Futures Contract:

      Calendar Day Trade Day Hours
      Sunday Monday 6:00 p.m. - Monday 9:35 a.m.
      Monday - Thursday Tuesday-Thursday 11:00 a.m. - 5:00 p.m. and 6:00 p.m. - 9:35 a.m.
      Friday Friday 11:00 a.m. - 5:00 p.m
      Maintenance Period
      Monday - Thursday -- 5:00 p.m. - 6:00 p.m.

      This change is currently available for customer testing in New Release.