Trading at Settlement (TAS) is a powerful functionality for cryptocurrency futures traders, enabling transactions based on the yet-to-be-determined daily settlement price. This guide explores how TAS works across Bitcoin and Ether futures, its specifications, trading mechanisms, and practical applications.
What is Trading at Settlement (TAS)?
TAS allows market participants to enter trades at a predetermined spread to the official daily settlement price of the underlying futures contract. This settlement price is calculated daily at 4:00 p.m. Eastern Time (ET). TAS orders clear into existing futures contracts, providing a mechanism to execute trades at or very near the final settlement value.
This functionality is particularly valuable for traders replicating indices or managing precise execution strategies around the market close. TAS operates under the regulatory framework of Rule 524.A, ensuring standardized and secure trading practices.
Core Specifications for TAS Transactions
TAS is available on several major cryptocurrency futures products, each with distinct specifications.
| Product Feature | 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 |
| Contract Size | 5 bitcoin | 0.10 bitcoin | 50 ether | 0.10 ether |
| Minimum Price Fluctuation | Outright: $25/contract<br>Calendar Spread: $0.10/contract TAS: Zero or +/- 20 ticks | Outright: $0.50/contract<br>Calendar Spread: $5.00/contract TAS: Zero or +/- 20 ticks | Outright: $25.00<br>Calendar Spread: $2.50 TAS: Zero or +/- 40 ticks | Outright: $0.05/contract<br>Calendar Spread: $0.01/contract TAS: Zero or +/- 20 ticks |
| Block Minimum | 5 contracts | 10 contracts | 5 contracts | 100 contracts |
TAS vs. BTIC: Key Differences
While both TAS and Basis Trade at Index Close (BTIC) involve trading at a spread, their reference points differ significantly.
- TAS transactions are executed at a spread to the daily settlement price of the underlying futures contract.
- BTIC transactions are executed at a spread to the corresponding underlying reference rate or index.
This distinction is crucial for traders selecting the appropriate instrument for their specific hedging or execution strategy.
Trading Hours and Vendor Codes
TAS trading follows specific schedules and is identified by unique codes across various trading platforms.
Trading Hours (ET):
- Globex: Sunday - Friday, 6:00 p.m. - 4:00 p.m. ET.
- ClearPort: Sunday 6:00 p.m. - Friday 6:45 p.m. ET. No reporting occurs Monday - Thursday from 6:45 p.m. - 7:00 p.m. ET. TAS orders for the next day's settlement can be submitted after 7:00 p.m. ET.
| Product Name | CME Globex | Bloomberg | CQG | Refinitiv |
|---|---|---|---|---|
| TAS on Bitcoin Futures | TBT | TBTA | TBT | TKT |
| TAS on Micro Bitcoin Futures | TBM | MBTA | TBM | BTV |
| TAS on Ether Futures | TET | TEBA Curncy | TET | TET |
| TAS on Micro Ether Futures | TEM | TEYA Curncy | TEM | TKM |
How TAS Pricing and Execution Works
The TAS mechanism is designed for precision. Trades are quoted in U.S. dollars per bitcoin or ether and are executed at a spread to the unknown daily settlement price.
Quoting Convention for Bitcoin Futures
A "base price" of zero represents the eventual settlement price. A TAS trade creates a differential versus this price.
- The final clearing price equals the daily settlement price plus or minus the TAS transaction price.
Example:
A trader executes a TAS order on Bitcoin futures (TBT) at a spread of +2. If the underlying BTC futures contract later settles at $70,000, the TBT trade clears at $70,002. Conversely, a trade at -2 would clear at $69,998.
Quoting Convention for Ether Futures
The same principle applies to Ether-based products. A trade is executed at a spread, and the final price is determined after settlement.
Example:
A trader executes a TAS order on Micro Ether futures (TEM) at a spread of -5. If the MET contract settles at $2,500, the trade clears at $2,495. A trade at +5 would clear at $2,505.
The matching algorithm for all TAS markets is 100% FIFO (First-In, First-Out).
Contract Availability and Expiry
TAS availability varies by product:
- Bitcoin, Ether, and Micro Ether Futures: TAS is available on the three nearest monthly expirations.
- Micro Bitcoin Futures: TAS is only available on the front-month contract.
For expiring contracts, TAS trading terminates at 4:00 p.m. ET on the business day immediately preceding the Last Trade Date. TAS eligibility for the next contract month is added at 6:00 p.m. ET on that same day.
Calendar Spreads and Block Trading
TAS supports intra-commodity calendar spreads for Bitcoin, Ether, and Micro Ether futures between the first three listed expirations. Micro Bitcoin futures do not support spread functionality.
All TAS products are eligible for block trading, provided the order meets the minimum contract thresholds outlined in the specifications table. A list of approved block liquidity providers is available for traders seeking large-volume executions. 👉 Explore more strategies for block trading
Margin, Fees, and Settlement
Understanding the operational details of margins and fees is essential for risk management.
Margin Calculation Timing
TAS trades executed by 4:00 p.m. ET are included in that day’s clearing cycle. Trades executed after 4:00 p.m. ET are included in the next day’s cycle, with margin first assessed in the following day’s intraday cycle.
Fee Structure
All fees for TAS transactions are detailed in the official CME Group Fee Schedule. Traders should consult this document for the most current rates.
Trade Lifecycle and Price Dissemination
A TAS execution is distinct from a standard futures trade. It appears as a separate line item on a trader's blotter with its unique product code (e.g., TBT, TBM). This allows traders to track TAS activity throughout the day.
After the clearing cycle is complete, these TAS positions are consolidated into the corresponding underlying futures contract. Importantly, TAS volume is not added to the outright futures volume in real-time.
The final traded price from TAS transactions is disseminated to clearing firms approximately 15 minutes after the 4:00 p.m. ET settlement price is calculated. This final price reflects the settlement price plus or minus the traded differential.
Traders can receive this finalized futures price through their clearing firm or via CME Group’s Straight Through Processing (STP) solution, which automates the trade allocation and confirmation process.
Frequently Asked Questions
What is the main advantage of using TAS?
TAS allows traders to execute orders at or very near the official daily settlement price, which is crucial for strategies that require precision around the market close, such as index replication or certain hedging activities. It eliminates the uncertainty of trying to trade exactly at the closing auction.
How does TAS manage risk with an unknown settlement price?
The risk is managed through the spread. By agreeing to a fixed differential (e.g., +2 or -5 ticks) from the unknown settlement price, traders lock in their entry or exit price relative to the final benchmark. The ultimate profit or loss depends on the settlement price itself.
Can retail traders access TAS on cryptocurrency futures?
Yes, retail traders can access TAS products, provided they trade through a futures broker that offers access to CME Group markets and the specific TAS order types. However, they must be aware of the contract specifications and block minimums, which may be larger than standard micro contracts.
Is TAS available on weekends?
Trading hours for TAS on Globex run from Sunday 6:00 p.m. ET to Friday 4:00 p.m. ET. This includes weekend trading sessions for cryptocurrency futures, allowing for nearly continuous market access.
How are TAS trades ultimately reflected in my portfolio?
After the daily clearing cycle, your TAS trade is converted into a position in the standard underlying futures contract (e.g., BTC, ETH). The cost basis for this position is the final settlement price adjusted by the spread you traded.
Where can I find more educational resources on advanced order types?
Many trading platforms and exchanges offer detailed guides and webinars on complex instruments like TAS. 👉 Get advanced methods for futures trading to deepen your understanding of market mechanics and execution strategies.