Basis Trade at Index Close (BTIC) on Cryptocurrency futures

Capture the certainty of cryptocurrency benchmarks

Coming September 27*

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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. Coming to Bitcoin, Micro Bitcoin, and Ether futures starting September 27.*

*Subject to regulatory review

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

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 

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.

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

*Subject to regulatory review

Additional related resources

Frequently asked questions

Get answers to frequently asked questions about BTIC on cryptocurrency futures

BTIC transactions on Cryptocurrency futures

Get a deeper dive into BTIC transactions, including potential use cases, trade examples, and other features.

Bitcoin futures and options

Find out more about Bitcoin futures and options, including key features, contract specifications, and recent volume.

Ether futures

Learn more about Ether futures, including key features, contract specifications, and recent volume.

Micro Bitcoin futures

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

Cryptocurrency products

Efficiently hedge cryptocurrency exposure with our growing suite of Bitcoin and Ether derivatives.

CME CF Bitcoin Pricing Indices

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

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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