EQUITIES
Basis Trade at Index
Close (BTIC)
CAPTURE THE CERTAINT Y OF THE CLOSE
Available on CME Globex and as Block trades, Basis Trade at
Index Close (BTIC) transactions enable market participants
Trade BTIC on Major U.S. Indices
to execute a basis trade relative to the official close for the
•E-mini S&P 500, E-mini NASDAQ-100, E-mini Dow ($5),
underlying index for more efficient cash management.
A BTIC transaction is entered into via a basis expressed in
E-mini Russell 1000
• BTIC Blocks and BTIC on CME Globex
discrete index points, where the executed trade price is the
total number of index points to be applied to the official close
price of the underlying index. In essence, a BTIC transaction
provides the ability to trade the future at a price understood
to be the theoretical equivalent of the official cash index
close with given assumptions on dividends and all-in implied
BTIC benefits include:
• Efficiency: Access the official cash index close with a single
futures transaction in lieu of the underlying cash basket.
•Flexibility: Manage index exposure before the spot market
financing to maturity.
closes and independent of primary equity market closing
Since the BTIC market is expressed in terms of the futures
price differential to the spot index value, also known as “the
basis,” the indicated market prices can be either negative or
positive depending on expected dividends, financing and time
to maturity. The BTIC price will be transposed to a futures
contract price forty-five (45) minutes following the close of the
underlying cash equity market, where the futures position will
be assigned a price equal to the official closing index value plus
auction deadlines.
the basis.
BTIC bid, ask and trade prices must be in valid tick increments
as per the corresponding BTIC contract specifications.
However, the futures contract trade price resulting from the
basis applied to the cash index close price does not need to
be in the contract specified tick increment and will not be
rounded to the nearest tick.
•Choice: Trade BTIC on CME Globex or as Blocks for equity
index benchmarks.
•Control: Directly negotiate a Block trade with a selected
eligible counterparty.
• Security: Risk management and safeguards provided by
CME Clearing.
About BTIC Block Trades1
Timing: must be reported to the exchange within five (5)
BTIC Block Trade Example
minutes of agreeing to terms of the transaction. Reporting
Suppose that two market participants want to transact
windows vary based on the corresponding cash index trading
a BTIC block trade for E-mini S&P 500 futures based on
session. Please consult cmegroup.com for the latest
the closing index value of the S&P 500 Index. The market
contract specifications.
participants agree to the following terms:
Reporting: can be handled just like regular Block trades and
• March 2016 E-mini S&P 500 futures
price reported and cleared via CME ClearPort (for registered
– BTIC block trade eligible contract
users), or alternatively reported to the Global Command Center
(GCC) where the trades are subsequently entered directly into
the Front End Clearing (FEC) system.
Price Increment: must have a basis or price increment stated
in standard size ticks (minimum price increments for basis)
–BTIC block trade entry symbol ESTH6, not the regular
contract symbol ESH6
• A basis/price of -6.35
–Negotiated and traded in 0.05 index point
of the contract. Note, however, that trades completed based
increments, the minimum price increment (tick size)
on the closing index value will be cleared in increments of
of the ESTH6 contract, as required.
0.01, as the underlying stock price index is reported to a two
decimal place level of precision. These positions will be created
automatically by CME Clearing based on the reported BTIC
Block trade basis price.
• 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 ClearPort, or alternatively to the GCC and
directly entered into Front-End Clearing (FEC).
•Parties report the BTIC Block trade to CME ClearPort or
to the GCC as ESTH6 500x @ -6.35.
•Suppose that the closing S&P 500 index level is
2071.18. A futures position of ESH6 500x @ 2064.83
(i.e. 2071.18 + (-6.35)) will be created, and the original
ESTH6 trade will be eliminated.
BTIC Block trades must comply with requirements in CME or CBOT Rule 526 (Block Trades), as applicable.
1
BTIC transactions have their own unique ticker codes. Use the following tickers when entering BTIC Blocks and BTIC trades on
CME Globex.
Clears into
BTIC Block
Underlying
Trade Threshold Product
Index Futures Product
BTIC Ticker
BTIC Minimum
Tick Increment
E-mini S&P 500*
EST
0.05
500
ES
E-mini NASDAQ-100*
NQT
0.05
500
NQ
E-mini Dow ($5)*
YMT
1.00
500
YM
E-mini Russell 1000*
R1T
0.05
50
RS1
E-mini FTSE 100*
FTT
0.25
50
FT1
E-mini USD-Denominated FTSE 100*
FTB
0.05
50
FTU
E--mini FTSE China 50*
FTC
1.00
50
FT5
E-mini FTSE Developed Europe*
DVT
0.01
50
DVE
E-mini FTSE Emerging *
EIT
0.05
50
EI
E-mini Russell 1000 Growth*
RGT
0.05
50
RSG
E-mini Russell 1000 Value*
RVT
0.05
50
RSV
E-mini S&P Consumer Discretionary Select Sector
XYT
0.10
50
XAY
E-mini S&P Consumer Staples Select Sector
XPT
0.10
50
XAP
E-mini S&P Energy Select Sector
XET
0.10
50
XAE
E-mini S&P Financial Select Sector
XFT
0.05
50
XAF
E-mini S&P Healthcare Select Sector
XVT
0.10
50
XAV
E-mini S&P Industrial Select Sector
XIT
0.10
50
XAI
E-mini S&P Materials Select Sector
XBT
0.10
50
XAB
E-mini S&P Real Estate Select Sector
XRT
0.05
50
XAR
E-mini S&P Technology Select Sector
XKT
0.10
50
XAK
E-mini S&P Utilities Select Sector
XUT
0.10
50
XAU
Dow Jones U.S. Real Estate
REX
0.10
50
JR
E-mini NASDAQ Biotechnology
BIT
0.10
50
BQ
E-mini IPOX 100 U.S.
IPT
0.50
50
IPO
E-mini S&P MidCap 400
EMT
0.10
50
ME
E-mini S&P SmallCap 600
SMT
0.10
50
SMC
S&P 500 Total Return
TRB
0.10
500
TRI
S&P 500 Carry Adjusted Total Return
CTB
0.10
500
CTR
USD-Denominated Ibovespa
IBB
5.00
50
IBV
S&P 500 Growth
SGT
0.10
50
SG
S&P 500 Value
SUT
0.10
50
SU
S&P MLP
SLT
0.50
50
SLP
*BTIC on CME Globex available
For additional product information, visit cmegroup.com/btic.
For trade reporting and related questions, contact the Global Command Center (GCC):
United States: +1 800 438 8616
Europe: +44 20 7623 4747
Asia: +65 6532 5010
[email protected] (for non-urgent questions)
CME GROUP HEADQUARTERS
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+1 713 658 9292
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deposited for a futures position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit
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