Trade At Index Close

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Trade At Index Close is an execution trade strategy on InterContinental Exchange's futures markets on its electronic trading platfom that allows a market participant to trade a futures contract in terms relative to the closing price of the underlying index.

During the course of the day, a market participant my express a bid or offer as a differential to the closing price of the underlying index, also sometimes referred to as the cash index or spot index.[1]

At the CME Group, this type of trade is referred to as a BTIC, or Basis Trade at Index Close.[2]

Another related strategy is TAS, or Trade at Settlement. In a TAS trade, the differential price is relative to the closing settlement price of the futures contract.[3][4]

Example

For example:

  • a TIC bid of +.53 means that the bidder wants to buy at the closing value of the underlying index, plus .53 index points);
  • a TIC offer of -.21 means that the seller wants to sell at the closing value of the underlying index, minus .21 index points;
  • a TIC order placed at 0 means that the buyer or seller wants to trade at the underlying closing value of the index (the closing cash value of the index).

References

  1. Trade At Index Close (TIC). Intercontinental Exchange.
  2. Basis Trade at Index Close (BTIC). CME Group.
  3. TRADE AT SETTLEMENT (TAS). Intercontinental Exchange.
  4. rade at Settlement - TAS. CME Group.