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+ now available, 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).
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
Managing an index reconstitution: Tesla joins the S&P 500 Index
Starting December 21, 2020, Tesla will be included in the S&P 500 Index to become the 6th largest company by market value in the index. Tesla’s pro forma weight as suggested by S&P Dow Jones Indices is 1.01% of the S&P 500 Index.
The reconstitution to include Tesla will necessitate at least 2.02% of any physical cash basket that is replicating the S&P 500 index. For example, a $500M exposure to S&P 500 Index via stock positions, will require over $10M notional of trading.
To minimize tracking error, market participants can gain efficient exposure using a BTIC transaction on E-mini S&P 500 futures ahead of the reconstitution. Read our recent article to learn more about managing an Equity Index reconstitution.
*Data as of December 4, 2020. Subject to market capitalization at time of reconstitution.
| Index Futures Product | Ticker Symbol | Minimum Tick Increment | BTIC Block Trade Threshold | Clears into Underlying Product | |||
| CME | Bloomberg | CQG | Thomson Reuters | ||||
| 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 |
Nikkei/Yen |
NIT |
BKYA Index |
NIT |
1NIU |
0.1 |
50 |
NIY |
Nikkei/USD |
NKT |
BKDA Index |
NKT |
1NKU |
0.1 |
50 |
NKD |
| 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 | |||
| CME | Bloomberg | CQG | Thomson Reuters | ||||
| 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 |
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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.
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BTIC and BTIC+ Overview
- View reporting details, a trade example and key information including tickers, tick increment, and BTIC Block thresholds.
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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
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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.
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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.
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Block Trade and BTIC Liquidity Providers
- Want to trade BTIC? View a list of firms who can help facilitate trades.
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