General Overview
What Is Trading at Settlement (TAS)?
Trading at Settlement (TAS) enables market participants to execute trades at a spread to the yet-to-be-determined daily settlement price of cryptocurrency futures contracts. This functionality is particularly valuable for replicating indices or hedging strategies. TAS adheres to Rule 524.A and operates within CME Group’s regulatory framework.
Key Specifications for TAS Transactions
| Feature | Bitcoin Futures | Micro Bitcoin Futures | Ether Futures | Micro Ether Futures |
|---|---|---|---|---|
| CME Product Codes | BTC (Futures), TBT (TAS) | MTB (Futures), TBM (TAS) | ETH (Futures), TET (TAS) | MET (Futures), TEM (TAS) |
| Contract Size | 5 BTC | 0.10 BTC | 50 ETH | 0.10 ETH |
| Trading Hours | Globex: Sun–Fri 6:00 p.m.–4:00 p.m. ET | ClearPort: Sun 6:00 p.m.–Fri 6:45 p.m. ET | ||
| Price Fluctuation | $5.00 per BTC (Outright), $1.00 per BTC (Calendar Spread) | $0.50 per ETH (Outright), $0.05 per ETH (Calendar Spread) | ||
| Listed Contracts | 6 consecutive monthly + 4 quarterly contracts | Front-month only for Micro Bitcoin TAS | ||
| Block Minimums | 5 contracts (Futures/TAS) | 10 contracts (Micro Bitcoin), 100 contracts (Micro Ether) |
Differences Between TAS and BTIC
- TAS: Executed at a spread to the futures settlement price.
- BTIC (Basis Trade at Index Close): Executed at a spread to an underlying reference rate.
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Trading Mechanics
Vendor Codes and Quoting Conventions
| Product | Globex Code | Bloomberg Code | CQG Code | Refinitiv Code |
|---|---|---|---|---|
| TAS Bitcoin Futures | TBT | TBTA | TBT | TKT |
| TAS Micro Ether | TEM | TEYA Curncy | TEM | TKM |
Quoting Examples:
- A Bitcoin TAS trade at +2 spread settles at **$70,002** if BTC futures settle at $70,000.
- A Micro Ether TAS trade at -5 spread settles at **$2,495** if MET futures settle at $2,500.
Match Algorithm and Block Trading
- TAS orders match via 100% FIFO (First-In-First-Out).
- Eligible for block trading with minimum thresholds (e.g., 5 contracts for Bitcoin futures).
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Margin and Fees
Margin Calculation Timeline
- Trades executed by 4:00 p.m. ET are included in the same-day clearing cycle.
- Post-4:00 p.m. ET trades roll into the next day’s cycle.
Fee Structure
Refer to the CME Group Fee Schedule for detailed pricing.
FAQs
How is TAS volume reported?
TAS volume consolidates with underlying futures post-clearing (not real-time).
When are final TAS prices disseminated?
~15 minutes after the 4:00 p.m. ET settlement price.
How to receive TAS trade prices?
Via clearing firms or CME’s Straight Through Processing (STP).