Basis Trade at Index Close (BTIC) on Cryptocurrency futures

Capture the certainty of cryptocurrency benchmarks

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.

TRADING RESOURCES

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
CME Product Codes	Futures: BTC	Futures: MTB	Futures: ETH
CME Product Codes	BTIC: BTB	BTIC: MIB	BTIC: ETB
Underlying Reference Rate	BRR	BRR	ETHUSD_RR
Underlying Contract Size	5 bitcoin	0.10 bitcoin	50 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 Calendar Spread: $1.00 per bitcoin = $5.00 per contract	Outright: $5.00 per bitcoin = $0.50 per contract Calendar Spread: $1.00 per bitcoin = $0.10 per contract	Outright: $0.25 per ether = $12.50 per contract Calendar Spread: $0.05 per ether = $2.50 per contract
Minimum Price Fluctuation	BTIC: $1 per bitcoin	BTIC: $1 per bitcoin	BTIC: $0.05 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.
Termination of Trading	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	5 contracts	10 contracts	5 contracts