Total Return Index Futures

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Total Return Index Exposure with the Capital Efficiency of Futures

Discover a more cost-efficient way to trade total return on top indices. Total Return Index futures offer total return Index exposure across S&P 500, Nasdaq-100, Russell 1000, Russell 2000, and Dow Jones Indices with the margin efficiency of a futures contract.

New Developments on Total Return Index Futures

More Indices, More Listings Starting December 3

As part of our commitment to offer innovative new products in to help manage risk and improve capital efficiency, CME Total Return Index futures product suite will be expanding on December 3. Two exciting changes include: 

  • Launch of Total Return Index futures on Nasdaq-100, Russell 1000, Russell 2000, and Dow Jones indices.
  • Expansion of the listing cycle for S&P 500 Total Return Index futures from 5 to 13 quarterly expirations.

About the Products

Total Return Index futures track the Total Return Indices and seek to replicate the price return performance of the S&P 500, Nasdaq-100, Russell 1000, Russell 2000, Dow Jones Industrial Average plus associated dividend reinvestment. All contracts trade as Basis Trade at Index Close (or BTIC) products.

Index Futures Contracts Underlying Index (Bloomberg) CME BTIC Ticker (Tradeable) CME Outright Ticker (Non-Tradeable) Bloomberg BTIC Front Month TR-RIC Root
S&P 500 Total Return futures SPTR Index TRB TRI TVBA Index 0#TBR
Nasdaq-100 Total Return futures XNDX Index N1T N1R BNRA Index 0#1N1T
Russell 1000 Total Return futures RU10INTR Index R1B R1R RBYA Index 0#1R1B
Russell 2000 Total Return futures RU20INTR Index R2T R2R RRTA Index 0#1R2T
Dow Jones Industrial Average Total Return Index Return futures DJITR Index DTT DTR BTDA Index 0#DTD

Benefits

  • Capital efficiency with low initial margin and dividend risk curtailed
  • Flexibility of vanilla and carry-adjusted contracts
  • Trading convention reminiscent of the OTC TRS market through the use of BTIC
  • Around-the-clock access
  • Security of central clearing to mitigate counterparty risk
  • Cross-margining with standard and E-mini S&P 500 index futures and options and other benchmark CME equity products

Total Return Index Futures BTIC Block Trade Example

Suppose that two market participants want to transact a BTIC block trade for S&P 500 Carry Adjusted Total Return Index futures based on the closing index value of the S&P 500 Carry-Adjusted Total Return (SPCATR) Index. The market participants agree to the following terms:

  • December 2016 S&P 500 Carry Adjusted Total Return Index futures
    • BTIC block trade eligible contract
    • BTIC block trade entry symbol CTBZ6, not the regular contract symbol CTRZ6.
  • A basis/price of -1.50
    • Negotiated and traded in 0.10 index point increments, the minimum price increment (tick size) of the CTBZ6 contract, as required.
  • 500 contracts
    • Meets the minimum BTIC Block trade threshold as required. Please note that this is a 500 contract minimum, not a clip size, where any number of contracts equal to or greater than the contract specified minimum block trade threshold is acceptable.

Within five (5) minutes of the two counterparties agreeing to the trade, both sides of the trade must be price reported to CME Direct or CME ClearPort..

  • Parties report the BTIC Block trade to CME ClearPort or to the GCC as CTBZ6 500x @ -1.50.
  • Suppose that the closing SPCATR index level is 3294.21. A futures position of CTRZ6 500x @ 3292.71 (i.e. 3294.21 + (-1.50)) will be created.

Vanilla S&P 500 Total Return Index futures are also BTIC-eligible and follow these same general steps.