Basis Trade at Index Close (BTIC) Transactions

Basis Trade at Index Close (BTIC) and new BTIC+

Capture the certainty of the close.

Basis Trade at Index Close (BTIC) enables market participants to execute a basis trade relative to the official close for the underlying index for more efficient cash management.

With BTIC+ launching October 7, add more lead time to capture the certainty of the close earlier, several days ahead. Negate the wait to manage risk around an upcoming market close value on a set date (e.g., expiration date).

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Resources

How it Works

BTIC and BTIC+ transactions provide the bridge between the cash index close and the futures market
At any point during the trading session, a buyer and seller agree to a basis, which represents the spread between the futures and the cash index
- BTIC transactions occur within the single trading session immediately preceding the next available closing index auction
- BTIC+ allows market participants to trade futures at a basis to the index close days in advance on a T-plus basis
Once the closing cash index level is determined, the futures trade occurs at the closing index level plus the agreed upon basis

About BTIC and BTIC+

Understanding BTIC

Introduction to BTIC+ & TACO+

BTIC+ Trading Examples

Product Applications

Benchmark trading against the close

Index rebalancing and reinvestment (adds/deletes)

Efficiently manage index rebalancing and reinvestment risks

Easily hedge OTC swaps and options

Improve balance sheet management and increase cash equitization

BTIC on Major Indices
BTIC on Total Return Futures

Index Futures Product	Ticker Symbol				Minimum Tick Increment	BTIC Block Trade Threshold	Clears into Underlying Product
Index Futures Product	CME	Bloomberg	CQG	Thomson Reuters	Minimum Tick Increment	BTIC Block Trade Threshold	Clears into Underlying Product
Bloomberg Commodity Index	AWT	BIIA Index	ERT	1AWBc1	0.01	50	AW
E-mini S&P 500	EST	STEA Index	EPT	1SETc1	0.05	500	ES
E-mini NASDAQ-100	NQT	QNTA Index	NQT	1NQTc1	0.05	500	NQ
E-mini Dow ($5)	YMT	YMTA Index	YMT	1YMTc1	1	500	YM
E-mini Russell 1000	R1T	YSRA Index	R1T	1R1Tc1	0.05	50	RS1
E-mini Russell 2000	RLT	RLBA Index	-	1RTLc1	0.05	40	RTY
TOPIX	TPB	TPTA Index	TPB	TPBc1	0.1	N/A	TPY

Index Futures Product	Ticker Symbol				Minimum Tick Increment	BTIC Block Trade Threshold	Clears into Underlying Product
Index Futures Product	CME	Bloomberg	CQG	Thomson Reuters	Minimum Tick Increment	BTIC Block Trade Threshold	Clears into Underlying Product
S&P 500 Total Return	TRB	SRTA Index	TRB	TBRc1	0.05	500	TRI
Nasdaq-100 Total Return	N1T	TNRA Index	N1T	1N1Tc1	0.1	500	N1R
Russell 1000 Total Return	R1B	RTDA Index	R1B	1R1Bc1	0.1	50	R1R
Russell 2000 Total Return	R2T	RTBA Index	R2T	1R2Tc1	0.1	50	R2R
Dow Jones Industrial Average Total Return	DTT	RDRA Index	DTT	DTDc1	0.5	500	DTR

Getting Started

- Read more
- Learn the Basics: Trading at a Basis to an Index
- Trading at a Basis to an Index Watch our educational video series to learn about the fundamentals of BTIC and TACO trading.

- Read more
- BTIC and BTIC+ Overview
- View reporting details, a trade example and key information including tickers, tick increment, and BTIC Block thresholds.

- Read more
- BTIC on Bloomberg Commodity Index
- Learn about BTIC enhancements to handle market disruption events and allow market participants to transact based on the closing index value

- Read more
- BTIC Trading at Index Option Expirations
- Learn more about how Basis Trade at Index Close (BTIC) trading can bypass the jump risk in the cash index official closing value.

- Read more
- BTIC Liquidity Report
- View activity in BTIC for E-mini S&P 500, E-mini NASDAQ-100 & E-mini Dow ($5) futures, including historical volume, ADV and open interest, and more.

- Read more
- Block Trade and BTIC Liquidity Providers
- Want to trade BTIC? View a list of firms who can help facilitate trades.

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Basis Trade at Index Close (BTIC) and new BTIC+

Capture the certainty of the close.

View In

Resources

How it Works

About BTIC and BTIC+

Understanding BTIC

Introduction to BTIC+ & TACO+

BTIC+ Trading Examples

Product Applications

Getting Started

Learn the Basics: Trading at a Basis to an Index

BTIC and BTIC+ Overview

BTIC on Bloomberg Commodity Index

BTIC Trading at Index Option Expirations

BTIC Liquidity Report

Block Trade and BTIC Liquidity Providers

Contact Us

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