In a TMAC transaction, counterparties agree to a spread to be added to the futures marker established at the close of the U.S. market. Once the marker price is established, the price of the underlying futures position will be determined by adding the agreed upon spread to the marker price. Please see the TAS, TAM, BTIC, and TACO Market Regulation Advisory Notice for further information here.

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The marker price is determined by the 30-second volume weighted average price (VWAP) of the underlying futures market leading up to 4:00 p.m. ET. Marker prices are available here.

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Counterparties who wish to trade futures at or near the futures settlement level may find TMAC useful. For option on futures participants, the European style options expire to the same marker price underlying the TMAC transaction. Thus, TMAC can be useful for the hedging of any related delta near or at expiration.

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TMAC is a spread to the established marker price established at the U.S. close which has its own rounding convention, e.g., nearest 0.01, whereas TAS trades are a spread to the daily settlement price of the underlying futures contract, which are rounded to the nearest tick price increment. 

For example, if on July 20, the 30-second VWAP of the September E-mini S&P 500 index futures was 4377.13 (rounded to the nearest 0.01), for a TMAC trade at a spread of +0.05, the futures contract will be priced at 4377.13 + 0.05 = 4377.18. Note that the daily settlement price of the contract would be 4377.25.

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TMAC transactions are priced at a spread to the futures marker price established at the close of the U.S. market at 4:00 p.m. ET.

BTIC transactions, in comparison are priced at a spread, or basis, to the corresponding underlying index’s official closing value.

To learn more, view the BTIC vs. TMAC comparison guide.

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Eligible products:

• E-mini S&P 500 Futures (ES)
  
• E-mini Nasdaq-100 Futures (NQ)
• E-mini Russell 2000 Futures (RTY)
• E-mini Dow Jones Industrial Average Futures (YM)

Eligible contracts: Nearest contract expiry at all times. Only the nearest to expire contract will be available initially.  

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The minimum tick sizes are:

• E-mini S&P 500 Futures (ESX): .05
  
• E-mini Nasdaq-100 Futures (NQX): .05
• E-mini Russell 2000 Futures (RTX): .05
• E-mini Dow Jones Industrial Average Futures (YMX): 1

The above tick sizes are aligned with the reduced tick associated with calendar spreads for these products, as well as the minimum tick associated with BTIC instruments.  

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“Allowable trading range” is the upper and lower limit of the spread for a TMAC trade. They may differ from product to product. Specifications for each product are detailed below.  

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All Equity Index TMAC markets match 100% FIFO.

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TMAC orders may be entered into CME Globex as soon as the pre-open period prior to the opening of trading starts. Please note that only same day orders are accepted. GTC/GTD orders are not allowed. Market participants are reminded that the timing of the pre-open state is randomized, it is imperative to wait until the receipt of the security status message indicating that the market has transitioned to the pre-open before the initiation of any orders into Globex as described in the TAS, TAM, BTIC and TACO Transactions MRAN here

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TMAC is eligible for block trades via CME ClearPort, subject to a minimum block quantity which is 500 contracts during RTH and 100 during ETH and ATH for S&P 500, Nasdaq-100, and Dow Jones. Russell 2000 will be 40 contracts. All information is as of launch.  

The most up to date information regarding minimum block quantity can be found here.

Please see the Block Trade Market Regulation Advisory Notice for further information here.

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Please refer to the Globex Product Reference Sheet here. 

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TMAC trades executed by 4:00 p.m. ET will be included in that day’s clearing cycle. Transactions consummated after 4:00 p.m. ET will be considered as a TMAC trade for the following trading session and will be included in the next day’s clearing cycle, and margin will first be assessed in the intraday cycle on the following day.

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Fees may be found on the CME Fee Schedule.

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TMAC transactions have distinct product codes which differ from the corresponding outright futures. This results in a separate line on the trader’s blotter after the execution that will enable the traders to track their TMAC transactions through the day. Once the clearing cycle is complete, the TMAC transactions’ resultant futures price will be calculated by the exchange and placed into the relevant clearing accounts 

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Approximately 15 minutes after the VWAP calculation window, cleared trade data in the corresponding futures will be sent to your clearing firm with a trade price reflecting the 30-second VWAP plus (or minus) the differential price at which the TMAC was traded. This price will be used when CME Group runs its end-of-day clearing cycle. At that point, the trade will be marked to market versus the daily settlement price in the corresponding futures contract.

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You can receive the resultant futures price reflecting the TMAC transaction either through your clearing firm or via the Straight Through Processing (STP) solution offered by CME Group if you are subscribed. Learn more about CME Group STP.

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For additional details, please visit cmegroup.com/TMAC.

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