Trading at Settlement on Cryptocurrency futures
Access the Bitcoin, Micro Bitcoin, Ether and Micro Ether futures close with certainty using Trading at Settlement (TAS), a way to trade futures at a spread to their underlying 4:00 p.m. ET daily settlement price.
Transact at/near settlement price in advance
Execute at any point of the trading day, including non-U.S. hours, at a spread to the settlement price rather than waiting for the market close. Mitigate uncertainty around settlement pricing.
Manage risk around ETFs
Effectively manage risk around the creation or redemption of the net asset value (NAV) print of cryptocurrency based ETFs, at any time of the day.
Enjoy multiple ways to trade
Choose the trade execution method that suits your needs: trade via CME Globex central limit order book or by privately negotiating block trades with a preferred counterparty.
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How TAS works for Cryptocurrency futures
The TAS mechanism allows clients to mitigate execution risk during the settlement period in the trading session. Clients can execute at the settlement price even outside of U.S. hours. TAS trades off a "base price" of zero (equal to the daily settlement price) to create a differential versus the daily settlement price in the underlying futures contract month. The TAS clearing price equals the daily settlement price of the underlying futures contract month plus or minus the TAS transaction price.
| Symbol | Contract |
|---|---|
| TBT | TAS on Bitcoin futures |
| TBM | TAS on Micro Bitcoin futures |
| TET | TAS on Ether futures |
| TEM | TAS on Micro Ether futures |
TAS ON BITCOIN FUTURES EXAMPLE
TAS transaction at execution
A market participant wants to execute TAS on Bitcoin futures (BTC), at a spread of +2. The participant would transact under its TAS symbol, TBT, at a price of +2.
Spread = +2
BTC Settlement Price
Assume that Bitcoin (BTC) futures later settle at $95,000 at 4:00 p.m. ET.
BTC Settlement Price = $95,000
Final price of resulting position
The TBT trade would be replaced with a BTC contract at a price of $95,002.
$95,000 +2 = $95,002
Contract specifications
| Bitcoin futures | Micro Bitcoin futures | Ether futures | Micro Ether futures | |
|---|---|---|---|---|
| CME PRODUCT CODES | Futures: BTC TAS: TBT | Futures: MTB TAS: TBM | Futures: ETH TAS: TET | Futures: MET TAS: TEM |
| UNDERLYING CONTRACT SIZE | 5 bitcoin | 0.10 bitcoin | 50 ether | 0.10 ether |
| Trading hours | Globex: Sunday - Friday 6:00 p.m. - 4:00 p.m. ET ClearPort: Sunday 6:00 p.m. - Friday 6:45 p.m. ET with no reporting Monday - Thursday from 6:45 p.m. - 7:00 p.m. ET. TAS submission for the next day's settlement price is available after 7:00 p.m. ET. | |||
| MINIMUM PRICE FLUCTUATION | Outright: $5.00 per bitcoin = $25.00 per contract Calendar Spread: $1.00 per bitcoin = $0.10 per contract TAS: Zero or +/- 25 ticks. $1.00 per bitcoin = $5.00 | Outright: $5.00 per bitcoin = $0.50 per contract Calendar Spread: $1.00 per bitcoin = $5.00 per contract TAS: Zero or +/- 25 ticks. $1.00 per bitcoin = $0.10 | Outright: $0.50 per ether = $25.00 Calendar Spread: $0.05 per ether = $2.50 TAS: Zero or +/- 40 ticks at $0.05 per ether = $2.50 | Outright: $0.50 per ether = $0.05 per contract Calendar Spread: $0.10 per ether = $0.01 per contract TAS: Zero or +/- 20 ticks at $0.10 per ether = $0.01 per contract |
| LISTED CONTRACTS | Monthly contracts listed for six consecutive months, quarterly contracts (Mar, Jun, Sep, Dec) listed for four additional quarters and a second Dec contract if only one is listed. TAS is available on the three nearest expirations in the underlying futures | Monthly contracts listed for six consecutive months, quarterly contracts (Mar, Jun, Sep, Dec) listed for four additional quarters and a second Dec contract if only one is listed. TAS is available on the front month only. | Monthly contracts listed for six consecutive months, quarterly contracts (Mar, Jun, Sep, Dec) listed for four additional quarters and a second Dec contract if only one is listed. TAS is available on the three nearest expirations in the underlying futures | |
| TERMINATION OF TRADING | Futures: Trading terminates at 4:00 p.m. London time on the last Friday of the contract month if that day is a business day in either the U.K. or the U.S. If that day is not a business day in both the U.K. and the U.S, trading shall terminate on the preceding day that is a business day in either the U.K. or the U.S. TAS: For an expiring futures contract, TAS trading shall terminate at 4:00 P.M. ET on the business day immediately preceding the last trade date for such futures contract. For clarity, TAS transactions in expiring futures contracts may not be initiated on the last trade date on such expiring futures. | |||
| BLOCK MINIMUM | Futures: 5 contracts TAS: 5 contracts | Futures: 10 contracts TAS: 10 contracts | Futures: 5 contracts TAS: 5 contracts | Futures: 100 contracts TAS: 100 contracts |
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