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+ 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).

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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 Cryptocurrency futures

Trade Cryptocurrency futures, including Bitcoin, Ether and Solana futures, with greater flexibility using Basic Trade at Index Close (BTIC). Efficiently execute a basis trade relative to the reference price of the CME CF Reference Rates (London, New York and APAC variants) for more efficient cash and risk management.

Find out more

Index Futures Product Ticker Symbol Minimum Tick Increment BTIC Block Trade Threshold Clears into Underlying Product
CME Bloomberg CQG Refinitiv
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 (100 during non-U.S. hours) ES
E-mini NASDAQ-100 NQT QNTA Index NQT 1NQTc1 0.05 500 (100 during non-U.S. hours) 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 0.025 N/A TPY

**Non-U.S. trading hours are between 4pm-7am CT Monday-Friday on regular business days and at any time on the weekends.

Index Futures Product Ticker Symbol Minimum Tick Increment BTIC Block Trade Threshold Clears into Underlying Product
CME Bloomberg CQG Refinitiv
S&P 500 Total Return TRB SRTA Index TRB TBRc1 0.05 250 TRI
S&P 500 Adjusted Interest Rate Total Return

AST

ASWA Index

AST

AYT

0.5

250

ASR
FTSE 100 Adjusted Interst Rate Total Return

AFT

 AFTA Index

AFT

FAT

0.5

50

AFR
Nasdaq-100 Adjusted Interest Rate Total Return Futures

AQT

QATA Index

AQT

AQT

0.5

250

AQR
Russell 1000 Adjusted Interest Rate Total Return Futures

ART

MATA Index

ARRT

TRA

0.5

50

ARR
Russell 2000 Adjusted Interest Rate Total Return Futures

A2T

RATA Index

A2T

A2T

0.5

50

A2R
DJIA Adjusted Interest Rate Total Return Futures

ADT

DATA Index

ADT

ADT

0.5

250

ADR

Getting Started

    • 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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