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, Ether and Micro Ether futures.

Now available: BTIC on Cryptocurrency futures enhancements

In response to client feedback and the launch of ETFs, CME Group has introduced BTIC on Cryptocurrency futures against Hong Kong/Singapore close. Accurately and efficiently mark positions using CME CF Bitcoin and Ether-Dollar APAC Reference Rates and BTIC transactions.

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.
  • Market participants have the flexibility to trade the respective Cryptocurrency futures contract against a reference rate calculated at 4:00 p.m. London time, 4:00 p.m. New York time or 4:00 p.m. Hong Kong/Singapore 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.
    • 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.
    • A BTIC on Bitcoin futures against APAC Close transaction (ticker: ABB) executed by 4:00 p.m. Hong Kong/Singapore time will be transposed to a futures price against that day’s respective CME CF Bitcoin Reference Rate. ABB transactions executed after 4:00 p.m. Hong Kong/Singapore time will use the next trading day’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.

 

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: 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
  BITCOIN FUTURES MICRO BITCOIN FUTURES ETHER FUTURES MICRO ETHER FUTURES
CME PRODUCT CODES Futures: BTC Futures: MTB Futures: ETH Futures: MET
BTIC: ABB BTIC: AMB BTIC: ATB BTIC: AHB
UNDERLYING REFERENCE RATE CME CF Bitcoin Reference Rate APAC (BRRAP) CME CF Ether-Dollar Reference Rate APAC (ETHUSD_AP)
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 Hong Kong/Singapore 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 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
PRODUCT NAME CME GLOBEX  BLOOMBERG CQG REFINITIV
Bitcoin futures BTIC on BRRAP Index ABB ABCA <Curncy> ABB BAO
Micro Bitcoin futures BTIC on BRRAP Index AMB  AEPA <Curncy> AMB BAU
Ether futures BTIC on ETHUSD_AP Index ATB AQTA <Curncy> ATB TBZ
Micro Ether futures BTIC on ETHUSD_AP Index AHB AHB - AHIA <Curncy> AHB BHZ

Additional related resources

Frequently asked questions

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Basis Trade at Index Close (BTIC)

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

About underlying Cryptocurrency benchmarks

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