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
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 |