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[edit]

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[edit]

  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.