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).

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


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



BKYA Index








BKDA Index






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

Getting Started

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