Basis Trade at Index Close (BTIC) on Cryptocurrency futures

Capture the certainty of cryptocurrency benchmarks

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Trade cryptocurrency basis with more efficiency

Trade cryptocurrency basis with the pricing credibility and transparency of regulated CME CF Bitcoin Reference Rate (BRR) and Ether-dollar Reference Rate (ETHUSD_RR) benchmarks. Basis Trade at Index Close (BTIC) enables market participants to execute a basis trade relative to the reference price of the CME CF Reference Rates. BTIC is now available on Bitcoin, Micro Bitcoin, and Ether futures.

Product features and applications

Enjoy real-time price discovery

Tap into the real-time price discovery of the BTIC orderbook of trades submitted against CME CF Reference Rates.

Trade the basis with precision

Isolate the basis (spread) between the price of futures and the underlying index so you can better manage risk.

Manage risk around ETFs

Effectively manage risk around the creation/redemption of net asset value (NAV) print of ETFs.

Efficiently transfer risk

Easily transfer risk and optimize holdings between cryptocurrency futures and the spot cryptocurrency.

How BTIC works

BTIC transactions provide the bridge between the reference price of a benchmark index and the corresponding futures market. How it works for BTIC on Cryptocurrency futures:

  • At any point during the trading session, a buyer and seller agree to a basis ─ the spread between the futures and the respective CME CF Reference Rate. The value depends on the futures implied financing rate, time left to contract maturity, and perceived volatility, among other factors.
  • BTIC transactions completed by 4 p.m. London time will use that trade date’s Reference Rate to calculate the corresponding futures price. Transactions consummated after 4 p.m. London time will use the next trade date’s Reference Rate.

Learn about BTIC on Cryptocurrency futures

Watch our video series to understand the basics of BTIC, the fundamentals behind the mechanism and how to use BTIC to effectively manage risk.

 

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Contract Specifications

  Bitcoin futures Micro Bitcoin futures Ether futures Micro Ether futures
CME Product Codes Futures: BTC Futures: MTB Futures: ETH Futures: MET
BTIC: BTB BTIC: MIB BTIC: ETB BTIC: MRB
Underlying Reference Rate BRR BRR ETHUSD_RR ETHUSD_RR
Underlying Contract Size 5 bitcoin 0.10 bitcoin 50 ether 0.10 ether
Globex Hours
Sunday - Friday 6:00 p.m. ET - 4:00 p.m. London Time (11:00 a.m./12:00 p.m. ET).

Monday - Thursday 4:30 p.m. London Time (11:30 a.m./12:30 p.m. ET) - 5:00 p.m. ET.

Friday 4:30 p.m. London Time (11:30 a.m./12:30 p.m. ET) – 5:00 p.m. ET for Monday’s Reference Rate

Monday - Thursday 5:00 p.m. - 6:00 p.m. ET daily maintenance period.
ClearPort Hours  Sunday 6:00 p.m. ET – Monday 4:00 p.m. London Time (11:00 a.m./12:00 p.m. ET).
Monday – Thursday 1:00 p.m. ET – 6:45 p.m. ET and 7:00 p.m. ET to 4:00 p.m. London Time (11:00 a.m./12:00 p.m. ET).
Monday – Friday 4:00 p.m. London Time - 1:00 p.m. ET and 6:45 p.m. – 7:00 p.m. ET daily maintenance period.
Minimum Price Fluctuation Outright: $5.00 per bitcoin = $25.00 per contract Outright: $5.00 per bitcoin = $0.50 per contract Outright: $0.25 per ether = $12.50 per contract Outright: $0.50 per ether = $0.05 per contract
Calendar Spread: $1.00 per bitcoin = $5.00 per contract Calendar Spread: $1.00 per bitcoin = $0.10 per contract Calendar Spread: $0.05 per ether = $2.50 per contract   Calendar Spread: $0.10 per ether = $0.01 per contract
BTIC: $1 per bitcoin BTIC: $1 per bitcoin BTIC: $0.05 per ether BTIC:  $0.10 per ether
Listed Contracts 6 consecutive monthly contracts listed inclusive of nearest 2 Dec contract months
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.  
BTIC: For an expiring futures contract, BTIC trading shall terminate at 4:00pm London time on the business day immediately preceding the day of Final Settlement Price determination for such futures contract. For clarity, BTIC transactions in expiring futures contracts may not be initiated on the Last Trade Date in such expiring futures.
Block Minimum Futures: 5 contracts Futures: 10 contracts Futures: 5 contracts Futures: 100 contracts
BTIC: 5 contracts BTIC: 10 contracts BTIC: 5 contracts BTIC: 100 contracts

Vendor trading codes

Product Name CME Globex  Bloomberg CQG Refinitiv
BTIC on Bitcoin Futures BTB BTDA <Curncy> BTB BTB
BTIC on Ether Futures ETB DCSA <Curncy> ETB EBT
BTIC on Micro Bitcoin Futures MIB BMYA <Curncy> MIB MBI

Additional related resources

Frequently asked questions

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BTIC transactions on Cryptocurrency futures

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Bitcoin futures and options

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Ether futures

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Micro Bitcoin futures

Explore how to fine-tune your bitcoin exposure using futures sized to be 1/10 of one bitcoin.

Cryptocurrency products

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CME CF Bitcoin Pricing Indices

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CME CF Ether-Dollar Pricing Indices

Learn about the CME CF Ether-Dollar Reference Rate and Real-time Indices.

Basis Trade at Index Close (BTIC)

View an overview on how BTIC works, product applications, product codes, and other resources on the mechanism.

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