CME Globex Cross (G-Cross) for Equity Index Futures

  • 22 Mar 2018
  • By CME Group

Overview

Pre-execution communications (“Pre-Ex”) are discussions between market participants for the purpose of discerning interest in the execution of a transaction prior to the exposure of the order to the market. Pre-Ex communications allow for size, price, and direction to be discussed prior to the entry of orders into CME Globex.

CME permits Globex Cross (G-Cross) for all equity index futures, including the recently launched BTIC on E-mini S&P Select Sector futures. In a G-Cross, the order of the party that initiated the pre-execution must be entered into CME Globex first. The second party’s order may not be entered into Globex until 5 seconds after the first order was submitted.

Please see the Market Regulation Advisory Notice on pre-execution communications for complete and accurate regulatory guidance attendant to G-Crosses in equity index futures.

Example

Suppose that two market participants want to transact a BTIC trade for E-mini Financial Select Sector futures based on the closing index value of the Financial Select Sector Index. The market participants engage in pre-execution communications and agree to the following terms:

  • June 2018 E-mini Financial Select Sector futures
    • BTIC entry symbol XFTM8, not the outright contract symbol XAFM8
  • 20 contracts at a basis/price of -6.35
    • Negotiated and traded in 0.05 index point increments, the minimum price increment (tick size) of the XAFM8 contract

Since 20 contracts is below the minimum BTIC block threshold of 50 contracts, the optimal way to execute this trade is via Globex Cross. In accordance with the Globex Cross protocol, the order of the participant who initiated the pre-execution must be sent to Globex first. 5 seconds thereafter, the second participant’s order is sent to Globex, and the trade is executed: XFTM8 20x @ -6.35.

Suppose the closing Financial Select Sector index level is 359.80. The trade price will be applied to the official closing level (i.e. 359.8 + (-6.35)) at the end of the trading session, and a futures position of XAFM8 20x @ 353.45 will be created.

Select Sector Trading Codes

Outright Futures
Select Sector Futures Underlying Index Corresponding ETF CME Globex Bloomberg Front Month Thomson Reuters Front Month
Communication Services IXCPR XLC XAZ XASA XAZc1
Consumer Discretionary IXY XLY XAY IXYA XAYc1
Consumer Staples IXR XLP XAP IXRA XAPc1
Energy IXE XLE XAE IXPA XAEc1
Financial IXM XLF XAF IXAA XAFc1
Health Care IXV XLV XAV IXCA XAVc1
Industrial IXI XLI XAI IXIA AIXc1
Materials IXB XLB XAB IXDA XABc1
Real Estate IXRE XLRE XAR XARA XATc1
Technology IXT XLK XAK IXTA XAKc1
Utilities IXU XLU XAU IXSA XAUc1
BTIC
Select Sector Futures Underlying Index Corresponding ETF BTIC Block and CME Globex Bloomberg Front Month Thomson Reuters Front Month
Communication Services IXCPR XLC XZT XZTA XZTc1
Consumer Discretionary IXY XLY XYT XYAA XYTc1
Consumer Staples IXR XLP XPT XPTA XPTc1
Energy IXE XLE XET XEYA XETc1
Financial IXM XLF XFT XFTA XFTc1
Health Care IXV XLV XVT XVTA XVTc1
Industrial IXI XLI XIT XIWA XITc1
Materials IXB XLB XBT XMTA XBTc1
Real Estate IXRE XLRE XRT XRTA TRXc1
Technology IXT XLK XKT XKSA XKTc1
Utilities IXU XLU XUT XUTA XUTc1

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