About BTIC and BTIC+ trading

A BTIC transaction is entered into via a basis expressed in 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 financing to maturity.

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 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.

• 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 closes and independent of primary equity market closing auction deadlines.
• Choice: Trade BTIC on CME Globex or as Blocks for equity index benchmarks. Trade BTIC+ on CME Globex or as Blocks for E-mini S&P 500.
• Control: Directly negotiate a Block trade with a selected eligible counterparty.
• Security: Risk management and safeguards provided by CME Clearing.

Timing: must be reported to the exchange within five (5) minutes of agreeing to terms of the transaction. Block trade reporting time window extend to 15 minutes during non-US hours for all block-eligible equity index futures and options products.² Reporting windows vary based on the corresponding cash index trading session. Please consult cmegroup.com for the latest contract specifications.

Reporting: can be handled just like regular Block trades and must be submitted via CME Direct or CME ClearPort.

Price Increment: must have a basis or price increment stated in standard size ticks (minimum price increments for basis) of the contract. Note, however, that trades completed based on the closing index value will be cleared in increments of 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.

Overview: Historically, customers could only trade BTIC on a “T” basis. Meaning, customers could only trade the BTIC instrument associated with the trading session immediately preceding the nearest closing index auction.With the introduction of BTIC+, customers can execute a BTIC trade for a given trading session in advance. This marks the beginning of “T+” trading.

Mechanics: While BTIC contracts deliver into outright index futures contracts on the same day trading session, BTIC+ are futures contracts that allow market participants to execute a basis trade on E-mini S&P 500 futures relative to the official closing, or opening, S&P 500 cash index level for a given trading session, days in advance. For example, suppose Participant A and Participant B trade the BTIC+ on trade date August 6 for the BTIC instrument that will ultimately deliver into E-mini S&P futures on August 9. Each day the position would be marked to market; the position will incur final mark-to-market after the close on August 8 before being delivered into an EST contract on the morning of August 9. EST is then delivered into a futures position after the August 9 closing S&P 500 value is published.

*yyyymmdd = Delivery Date (“Contract Date”)

1 BTIC Block trades must comply with requirements in CME or CBOT Rule 526 (Block Trades), as applicable.

2 Non-US trading hours are between 4pm-7am CT Monday-Friday on regular business days and at any time on the weekends.

BTIC transactions have their own unique ticker codes. Use the following tickers when entering BTIC Blocks and BTIC trades on CME Globex.

* BTIC on CME Globex available

** BTIC TOPIX futures are only available on CME Globex. BTIC block trades are not available at this time.

For additional product information, visit cmegroup.com/btic

To view a list of BTIC liquidity providers, visit cmegroup.com/eq-block-providers