FAQ: TAS on Cryptocurrency Futures

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Trading at Settlement (TAS) has become a vital tool for sophisticated traders engaging with cryptocurrency futures on regulated exchanges. Designed to offer precision and efficiency, TAS allows market participants to execute trades relative to the upcoming daily settlement price—rather than the current market price—of Bitcoin, Ether, and their micro counterparts. This guide provides a comprehensive yet accessible breakdown of how TAS works, its specifications, and practical use cases across CME Group’s cryptocurrency futures suite.

Understanding Trading at Settlement (TAS)

What Is TAS?

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Trading at Settlement (TAS) enables traders to enter futures contracts at a specified spread (or basis) to the as-yet-undetermined daily settlement price of the underlying cryptocurrency futures contract. This settlement price is finalized at 4:00 p.m. Eastern Time (ET) each day. Once executed, TAS trades are cleared into the corresponding standard futures contract.

This mechanism is especially valuable for institutional investors and index replicators who need to align their entry or exit points closely with official settlement values. TAS operates under CME Rule 524.A, ensuring compliance and transparency in execution.

Key Specifications Across Cryptocurrency Futures

TAS is available on four major cryptocurrency futures products:

Each product has unique contract sizes, tick values, and listing rules that affect how TAS can be used.

Contract Details and Trading Parameters

Underlying Contract Sizes:

Minimum Price Fluctuations (Ticks):

Trading Hours (Globex & ClearPort):

Block Trade Minimums:

These thresholds allow large-volume participants to transact efficiently without disrupting market prices.

TAS vs. BTIC: Clarifying the Difference

A common point of confusion is distinguishing TAS from Basis Trade at Index Close (BTIC).

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While both tools enable basis trading, TAS is more commonly used when alignment with futures clearing prices is essential—such as in hedging or portfolio rebalancing.

How TAS Quoting Works

Bitcoin and Micro Bitcoin Futures

TAS prices are quoted in U.S. dollars per bitcoin. The "base price" is set at zero, representing the final settlement price.

For example:

The final position is then converted into a standard BTC futures contract during clearing.

Ether and Micro Ether Futures

Similarly, Ether-based TAS trades are quoted in U.S. dollars per ether.

Example:

This quoting convention ensures clarity and consistency across all cryptocurrency TAS executions.

Execution Mechanics and Market Structure

Match Algorithm

All TAS markets operate on a First-In, First-Out (FIFO) basis with 100% matching priority. This ensures fairness and transparency in order execution, critical for institutional-grade trading environments.

Calendar Spreads Eligibility

Calendar spreads (intra-commodity spreads between different expiration months) are supported for:

However, Micro Bitcoin futures (TBM) do not support spread functionality—only outright trades in the front-month contract are eligible for TAS.

Margin and Clearing Procedures

When Are Trades Included in Margin Calculations?

TAS trades executed by 4:00 p.m. ET are included in that day’s clearing cycle. Those executed after 4:00 p.m. ET roll into the next business day’s cycle, with margin assessed during the intraday cycle the following day.

This timing is crucial for risk management and capital planning.

Fee Structure

Fees for TAS transactions follow the standard CME Group fee schedule, which varies by membership type, volume tier, and execution method (electronic vs. voice-brokered). Specific rates can be found in the official CME clearing fee documentation.

Operational Insights

Distinguishing TAS from Outright Trades

Each TAS instrument uses a unique product code:

These codes appear separately on trading blotters, allowing traders to monitor TAS activity independently before consolidation into the underlying futures contract post-clearing.

Volume Reporting

TAS volume is not aggregated with outright futures volume in real time. Instead:

This prevents market distortion while maintaining auditability.

Final Price Dissemination

Approximately 15 minutes after 4:00 p.m. ET, cleared trade data—including the final execution price (settlement ± differential)—is distributed to clearing members. This price becomes the basis for mark-to-market valuation and margin calculations.

Traders can access this data via:

Frequently Asked Questions (FAQ)

Q: Can I use TAS on expiring futures contracts?
A: Yes, but only until 4:00 p.m. ET on the business day before the Last Trade Date. No TAS transactions can be initiated on the final trading day.

Q: Is TAS available on all listed contract months?
A: For BTC, ETH, and MET, TAS is available on the three nearest expirations. For MBT, it's limited to the front-month contract only.

Q: How are block trades handled in TAS?
A: All cryptocurrency TAS products support block trading with minimum thresholds ranging from 5 to 100 contracts depending on the product.

Q: Are there dedicated liquidity providers for TAS blocks?
A: Yes, CME lists approved block liquidity providers who facilitate large-size executions with disclosed contact information.

Q: What happens to my TAS position after clearing?
A: After clearing, your TAS trade is converted into a standard futures position at the calculated price (settlement ± spread) and merged with any existing positions in that contract.

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