Basis Trade at Index Close (BTIC) Transactions

Basis Trade at Index Close (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.

Index Futures Product Ticker Symbol Minimum Tick Increment BTIC Block Trade Threshold Clears into Underlying Product Underlying Index Bloomberg Ticker
CME Bloomberg CQG Thomson Reuters
Bloomberg Commodity Index AWT BIIA Index ERT 1AWBc1 0.01 50 AW DNA Index
E-mini S&P 500 EST STEA Index EPT 1SETc1 0.05 500 ES ESA Index
E-mini Nasdaq-100 NQT QNTA Index NQT 1NQTc1 0.05 500 NQ NQA Index
E-mini Dow ($5) YMT YMTA Index YMT 1YMTc1 1 500 YM DMA Index
E-mini Russell 1000 R1T YSRA Index R1T 1R1Tc1 0.05 50 RS1 RSYA Index
E-mini Russell 2000 RLT RLBA Index - 1RTLc1 0.05 40 RTY RTYA Index
Nikkei/USD NKT BKDA Index - 1NIUc1 0.1 50 NKD NXA Index
Nikkei/Yen NIT BKYA Index - 1NKUc1 0.1 50 NIY NHA Index
TOPIX TPB TPTA Index TPB TPBc1 0.1 N/A TPY TPYA Index
Index Futures Product Ticker Symbol Minimum Tick Increment BTIC Block Trade Threshold Clears into Underlying Product Underlying Index Bloomberg Ticker
CME Bloomberg CQG Thomson Reuters
S&P 500 Total Return TRB TVBA Index TRB TBRc1 0.05 500 TRI SRTA Index
Nasdaq-100 Total Return N1T BNRA Index N1T 1N1Tc1 0.1 500 N1R TNRA Index
Russell 1000 Total Return R1B RBYA Index R1B 1R1Bc1 0.1 50 R1R RTDA Index
Russell 2000 Total Return R2T RRTA Index R2T 1R2Tc1 0.1 50 R2R RTBA Index
Dow Jones Industrial Average Total Return DTT BTDA Index DTT DTDc1 0.5 500 DTR RDRA Index

How it Works

  • 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.
  • Once the closing cash index level is determined, the futures trade occurs at the closing index level plus the agreed upon basis.
  • BTIC allows investors to trade futures prices that are directly derived from the official cash index close without slippage risk.

Product Applications

  • Benchmark trading against the close
  • Index rebalancing and reinvestment (adds/deletes)
  • Option expiration delta trading
  • Balance sheet management
  • Hedging of OTC swaps and options
  • Cash equitization

Getting Started

Contact Us