Basis Trade at Index Close (BTIC) on Cryptocurrency futures
Capture the certainty of cryptocurrency benchmarks
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, Ether, and Micro Ether futures.
In response to client feedback and the launch of ETFs based on CME Bitcoin futures, CME Group will introduce BTIC on Cryptocurrency futures against the New York close. Accurately and efficiently mark positions using CME CF Bitcoin and Ether-Dollar New York reference rates and BTIC transactions.
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.
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.
- Market participants have the flexibility to the trade the respective Cryptocurrency futures contract against a reference rate calculated at 4:00pm London time or 4:00pm New York time. Each reference rate will have its own BTIC ticker.
- A BTIC on Bitcoin futures against London Close transaction (ticker: BTB) executed by 4:00 p.m. London time will be transposed to a futures price against that day’s respective CME CF Bitcoin Reference Rate. BTB transactions executed after 4:00 p.m. London time will use the next trading day’s reference rate.
- Similarly, a BTIC on Bitcoin futures against New York Close transaction (ticker: BNB) executed by 4:00 p.m. New York time will be transposed to a futures price against that day’s respective CME CF Reference Rate New York. BNB transactions executed after 4:00 p.m. New York time will use the next trading day’s reference rate.
| 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: EMB | |
| Underlying Reference Rate | BRR | BRR | ETHUSD_RR | ETHUSD_RR |
| Underlying Contract Size | 5 bitcoin | 0.10 bitcoin | 50 ether | 0.10 ether |
| Minimum Price Fluctuation | Outright: $5.00 per bitcoin = $25.00 per contract | Outright: $5.00 per bitcoin = $0.50 per contract | Outright: $0.50 per ether = $25.00 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 | Monthly contracts listed for 6 consecutive months, quarterly contracts (Mar, Jun, Sep, Dec) listed for 4 additional quarters and a second Dec contract if only one is listed. | |||
| 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 | |
| Bitcoin futures | Micro Bitcoin futures | Ether futures | Micro Ether futures | |
|---|---|---|---|---|
| CME Product Codes | Futures: BTC | Futures: MTB | Futures: ETH | Futures: MET |
| BTIC: BNB | BTIC: MYB | BTIC: ENB | BTIC: EYB | |
| Underlying Reference Rate | CME CF Bitcoin Reference Rate New York (BRRNY) | CME CF Ether-Dollar Reference Rate New York (ETHUSD_NY) | ||
| Underlying Contract Size | 5 bitcoin | 0.10 bitcoin | 50 ether | 0.10 ether |
| Minimum Price Fluctuation | Outright: $5.00 per bitcoin = $25.00 per contract | Outright: $5.00 per bitcoin = $0.50 per contract | Outright: $0.50 per ether = $25.00 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 | Monthly contracts listed for 6 consecutive months, quarterly contracts (Mar, Jun, Sep, Dec) listed for 4 additional quarters and a second Dec contract if only one is listed. | |||
| 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 New York 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 | |
| Product Name | CME Globex | Bloomberg | CQG | Refinitiv |
|---|---|---|---|---|
| BTIC on Bitcoin Futures against London Close | BTB | BTDA <Curncy> | BTB | BTB |
| BTIC on Ether Futures against London Close | ETB | DCSA <Curncy> | ETB | EBT |
| BTIC on Micro Bitcoin Futures against London Close | MIB | BMYA <Curncy> | MIB | MBI |
| BTIC on Micro Ether futures against London Close | EMB | MBWA <Curncy> | MRB | BRM |
| Product Name | CME Globex | Bloomberg | CQG | Refinitiv |
|---|---|---|---|---|
| Bitcoin futures BTIC on BRRNY Index | BNB | BRBA <Curncy> | BNB | BNB |
| Micro Bitcoin futures BTIC on BRRNY Index | MYB | MYBA <Curncy> | MYB | MYB |
| Ether futures BTIC on ETHUSD_NY Index | ENB | FNBA <Curncy> | ENB | ENB |
| Micro Ether futures BTIC on ETHUSD_NY Index | EYB | FYBA <Curncy> | EYB | EYB |
Get answers to frequently asked questions about BTIC on cryptocurrency futures
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Basis Trade at Index Close (BTIC)
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