Contract Title

CME

352 Nikkei Stock Average Futures

352B Yen Denominated Nikkei Stock Average Futures

354 USD Denominated Ibovespa Futures

355 S&P 500 Growth Index Futures

356 S&P 500 Value Index Futures

357 S&P 500 Total Return Index Futures

357B Adjusted Interest Rate S&P 500 Total Return Index Futures

358 E-mini Standard and Poor's 500 Stock Price Index Futures

359 E-mini Nasdaq 100 Index Futures

360 E-Mini Nasdaq Biotechnology Index Futures

362 E-mini Standard and Poor's Midcap 400 Stock Price Index Futures

364 E-mini S&P 500 ESG Index Futures

367 E-mini S&P Europe 350 ESG Index Futures

368 E-Mini S&P Smallcap 600 Index Futures

369 E-mini Standard and Poor's Select Sector Stock Index Futures

371 Yen Denominated TOPIX Index Futures

372 Adjusted Interest Rate Russell 1000® Total Return Index Futures

373 Adjusted Interest Rate Russell 2000® Total Return Index Futures

374 Adjusted Interest Rate Nasdaq-100 Total Return Index® Futures

375 Adjusted Interest Rate FTSE® 100 Total Return Declared Dividend Index Futures

383 E-mini Russell 1000 Index Futures

384 E-mini Russell 1000 Growth Index Futures

385 E-mini Russell 1000 Value Index Futures

386 E-mini USD Denominated FTSE 100 Index Futures

387 E-mini FTSE 100 Index Futures

388 E-mini FTSE China 50 Index Futures

390 E-mini FTSE Developed Europe Index Futures

391 E-mini FTSE Emerging Index Futures

392 E-mini® IPOX® 100 U.S. Index Futures

393 E-mini® Russell 2000® Index Futures

394 E-mini® Russell 2000® Growth Index Futures

395 E-mini® Russell 2000® Value Index Futures

396 Nasdaq-100 Total Return Index Futures

397 Russell 1000 Total Return Index Futures

398 Russell 2000 Total Return Index Futures

CBOT

27 CBOT E-mini Dow Jones Industrial Average Index Futures ($5 Multiplier)

30 CBOT Dow Jones US Real Estate Index Futures

31 Dow Jones Industrial Average Total Return Index Futures

33 Adjusted Interest Rate Dow Jones Industrial Average TM Total Return Index Futures

Chapter 352

Nikkei Stock Average Futures

***

35206. BASIS TRADE AT INDEX CLOSE (“BTIC”)

Futures shall be eligible for BTIC transactions. All BTIC transactions must be executed in accordance 

with the requirements of Rule 524.B. Notwithstanding the provisions in Rule 524.B.2., BTIC transactions 

are permitted on the last day of trading for the contract.

35206.A. Price Assignment Procedure for BTIC Futures BTIC Block Trade Requirements
BTIC block trades must be executed in accordance with the requirements of Rule 526.

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the current Trading Day. 

For a BTIC or BTIC block trade executed on a given Trading Day after the scheduled close of the Primary 

Listing Exchange, the corresponding futures price shall be made by reference to the Index closing value 

for the next Trading Day.

The futures price of a BTIC transaction shall be determined by the Exchange subsequent to the 

dissemination of the applicable closing value of the underlying Index.

35206.B. BTIC Order Minimum Price Increment BTIC Price Assignment Procedures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The minimum price increment shall be 0.1 Index point, equal to $0.5 per contract, for any basis adjustment 

that is applied to the Index closing level to establish the futures price of a BTIC transaction.

35206.C. Reserved BTIC Minimum Price Increments

The minimum price increment shall be 0.1 Index point, equal to $0.5 per contract, for any basis adjustment 

that is applied to the Index closing level to establish the futures price of a BTIC transaction.

35206.D. Market Disruption Events

In the event of a market disruption in to the underlying securities marketPrimary Listing Exchange that 

precluded a valid calculation of the official closing value of the underlying index, all pending and executed 

BTIC transactions in the corresponding futures contract shall be cancelled by the Exchange. Such 

disruption shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close closure for the day of the underlying securities marketPrimary Listing Exchange

or a regulatory trading halt necessitating an early closure of the underlying securities marketPrimary 

Listing Exchange. 

(End Chapter 352)

Chapter 352B

Yen Denominated Nikkei Stock Average Futures

***

352B06 BASIS TRADE AT INDEX CLOSE (“BTIC”)

Futures shall be eligible for BTIC transactions. All BTIC transactions must be executed in accordance 

with the requirements of Rule 524.B. Notwithstanding the provisions in Rule 524.B.2., BTIC transactions 

are permitted on the last day of trading for the contract.

352B06.A. Price Assignment Procedure for BTIC Futures BTIC Block Trade Requirements

BTIC block trades must be executed in accordance with the requirements of Rule 526.

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the current Trading Day. 

For a BTIC or BTIC block trade executed on a given Trading Day after the schedule close of the Primary 

Listing Exchange, the corresponding futures price shall be made by reference to the Index closing value 

for the next Trading Day.

The futures price of a BTIC transaction shall be determined by the Exchange subsequent to the 

dissemination of the applicable closing value of the underlying Index.

352B06.B. BTIC Order Minimum Price Increment BTIC Price Assignment Procedures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The minimum price increment shall be 0.1 Index point, equal to ¥50 per contract, for any basis adjustment 

that is applied to the Index closing level to establish the futures price of a BTIC transaction.
352B06.C. Reserved BTIC Minimum Price Increments

The minimum price increment shall be 0.1 Index point, equal to ¥50 per contract, for any basis adjustment 

that is applied to the Index closing level to establish the futures price of a BTIC transaction.

352B06.D. Market Disruption Events

In the event of a market disruption in to the underlying securities marketPrimary Listing Exchange that 

precluded a valid calculation of the official closing value of the underlying index, all pending and 

executed BTIC transactions in the corresponding futures contract shall be cancelled by the Exchange. 

Such disruption shall be declared by the Exchange in its sole discretion, and may include, without 

limitation, an unscheduled early close closure for the day of the underlying securities marketPrimary 

Listing Exchange or a regulatory trading halt necessitating an early closure of the underlying securities 

marketPrimary Listing Exchange. 

(End Chapter 352B)

Chapter 354

USD Denominated Ibovespa Futures

***

35406. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS 

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

35406.A. BTIC Block Trade Requirements

BTIC block trades must be executed in accordance with the requirements of Rule 526.

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the 

Primary Listing Exchangeunderlying primary securities market, the corresponding futures price shall be 

made by reference to the Index closing value for the current Trading Day. 

For a BTIC or BTIC block trade executed on a given Trading Day after the scheduled close of the Primary 

Listing Exchangeunderlying primary securities market, the corresponding futures price shall be made by 

reference to the Index closing value for the next Trading Day.

35406.B. BTIC Price Assignment Procedures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The futures price of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 

minutes after the close of the primary securities market in the case of an early scheduled close of the 

primary securities market). Such price determination shall be deemed final.

35406.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in full tick increments of five (5) Index points.

35406.D. Market Disruption Events 

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a regulatory trading halt necessitating an 

early closure of the Primary Listing Exchange.

(End Chapter 354)

Chapter 355

S&P 500 Growth Index Futures

***

35506. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.
35506.A. BTIC Block Trade Requirements 

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the current Trading Day. 

For a BTIC or BTIC block trade that is executed on a given Trading Day after the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the next Trading Day.

35506.B. BTIC Price Assignment Procedures 

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The futures price of a BTIC transaction will be determined by the Exchange at 3:45 p.m. (or within 45 

minutes after the close of the Primary Listing Exchange in the case of an early scheduled close of the 

Primary Listing Exchange). Such price determination shall be deemed final. 

35506.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in full tick increments of 0.10 Index points.

35506.D. Market Disruption Events 

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 355)

Chapter 356

S&P 500 Value Index Futures

***

35606. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

35606.A. BTIC Block Trade Requirements

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the current Trading Day. 

For a BTIC or BTIC block trade executed on a given Trading Day after the scheduled close of the Primary 

Listing Exchange, the corresponding futures price shall be made by reference to the Index closing value 

for the next Trading Day.

35606.B. BTIC Price Assignment Procedures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The futures price of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 

minutes after the close of the Primary Listing Exchange in the case of an early scheduled close of the 

Primary Listing Exchange). Such price determination shall be deemed final.

35606.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in full tick increments of 0.10 index points.

35606.D. Market Disruption Events 

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 
unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 356)

Chapter 357

S&P 500 Total Return Index Futures

***

35706. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

35706.A. BTIC Block Trade Requirements 

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the current Trading Day. 

For a BTIC or BTIC block trade executed on a given Trading Day after the scheduled close of the Primary 

Listing Exchange, the corresponding futures price shall be made by reference to the Index closing value 

for the next Trading Day.

35706.B. BTIC Price Assignment Procedures for BTIC Futures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The price of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 minutes 

after the close of the Primary Listing Exchange in the case of an early scheduled close of the Primary 

Listing Exchange). Such price determination shall be deemed final.

Where an order for a BTIC block trade would result in a futures price lower than the respective 20% Price 

Limit (Rule CCC02.I.), such BTIC block trade order shall be cancelled. 

35706.C. BTIC Order Minimum Price Increments

The minimum price increment shall be 0.05 Index points, equal to $1.25 per contract, for any basis 

adjustment that is applied to an Index closing price to establish a BTIC transaction price. 

35706.D. Market Disruption Events 

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 357)

Chapter 357B

Adjusted Interest Rate S&P 500 Total Return Index Futures

***

357B06. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

357B06.A. BTIC Block Trade Requirements

BTIC block trades must be executed in accordance with the requirements of Rule 526. 
For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the current Trading Day. 

For a BTIC or BTIC block trade executed after the scheduled close of the Primary Listing Exchange, the 

corresponding futures price shall be made by reference to the Index closing value for the next Trading 

Day.it shall be construed as a trade for the next business day and its price shall be determined based on 

all the parameters governing trades for the following business day.

357B06.B. BTIC Price Assignment Procedures for BTIC Futures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3. 

The price of a BTIC transaction shall be determined by the Exchange after the close of the Primary Listing 

Exchange, according to the Definitions in 357B01.

Where an order for a BTIC block trade would result in a futures price lower than the respective 20% Price 

Limit (Rule 589), such BTIC block trade order shall be cancelled.

If the Index Administrator publishes an Index Close but then subsequently amends and re-publishes the 

Index Close prior to the end of the next trading period, then the amended Index Close shall be used to 

recalculate the daily settlement price. In addition, the amended Index Close shall be used to calculate the 

difference applicable to impacted trades in relation to their originally calculated Traded Futures Price and 

determine the corresponding adjustment based on the amended Index Close. These adjustments shall 

be determined on the next trading day.

357B06.C. BTIC Order Minimum Price Increments

The minimum price increment shall be 0.50 basis points, per contract, for any basis adjustment that is 

applied to an Index closing price to establish a BTIC transaction price.

357B06.D. Termination of Trading Market Disruption Events

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

BTIC Trading in an expiring futures contract shall terminate at the scheduled close of the Primary Listing 

Exchange on the Exchange business day first preceding the day of Final Settlement Price determination 

for such futures contract pursuant to CME Rules 524.B.

Until such time as the Exchange shall enable outright trading in futures contracts made under these Rules, 

trading shall be permitted only where such futures contracts are traded through Basis Trade at Index 

Close transactions and Rules 357B06 of this Chapter, provided that in any instance where such futures 

contracts are traded as the futures component of an EFRP transaction, pursuant to Rule 538. (Exchange 

for Related Positions), the price of such futures contracts may be made either in Index Point terms 

outright, pursuant to Rules 357B02. of this Chapter, or in BTIC terms, pursuant to Rules 524.B. and Rules 

357B06. of this Chapter.

357B06.ED. Trading Halts for BTIC Futures [Reserved]

At such time as the Primary Listing Exchange may declare a Regulatory Halt in response to a Level 3 (20%) Market 

Decline in the S&P 500 Total Return Index, such BTIC transactions shall be cancelled.

(End Chapter 357B)

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 357B

1. Trading Specifications

Until such time as the Exchange shall enable outright trading in futures contracts made under these Rules, trading shall 

be permitted only where such futures contracts are traded through Basis Trade at Index Close transactions, pursuant 

to Rules 524.B. (Basis Trade at Index Close (“BTIC”) Transactions) and Rules 35706. of this Chapter, provided that in 

any instance where such futures contracts are traded as the futures component of an EFRP transaction, pursuant to 

Rule 538. (Exchange for Related Positions), the price of such futures contracts may be made either in Index terms 

outright, pursuant to Rules 35702. of this Chapter, or in BTIC terms, pursuant to Rules 524.B. and Rules 35706. of this 

Chapter.
Trading in an expiring futures contract shall terminate at the scheduled close of the Primary Listing Exchange on the 

Exchange business day first preceding the day of Final Settlement Price determination for such futures contract.

Chapter 358

E-mini Standard and Poor’s 500 Stock Price Index Futures

***

35806. BASIS TRADE AT INDEX CLOSE (“BTIC”) AND BASIS TRADE AT CASH OPEN 

(“TACO”) TRANSACTIONS 

All BTIC transactions and TACO transactions must be executed in accordance with the requirements of 

Rules 524.B. and 524.C., respectively. 

35806.A. Block Trade Requirements 

1. BTIC block trades must be executed in accordance with the requirements of Rule 526. For a BTIC 

or BTIC block trade executed on a given Trading Day on or before the scheduled close of the Primary 

Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the current Trading Day. For a BTIC or BTIC block trade executed on a given Trading Day 

after the scheduled close of the Primary Listing Exchange, the corresponding futures price shall be 

made by reference to the Index closing value for the next Trading Day.

2. TACO block trades must be executed in accordance with the requirements of Rule 526. For a TACO 

block trade executed on a given Trading Day on or before the scheduled opening auction on the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index 

special opening quotation (“SOQ”) for such Trading Day. For a TACO block trade executed on a 

given Trading Day after the scheduled start of the opening auction on the Primary Listing Exchange, 

the corresponding futures price shall be made by reference to the SOQ for the next Trading Day.

35806.B. Price Assignment Procedures 

1. The price assignment procedures for BTIC transactions shall follow Rule 524.B.3. The futures price 

of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 minutes after 

the close of the Primary Listing Exchange in the case of an early scheduled close of the Primary 

Listing Exchange). Such price determination shall be deemed final.

2. The futures price of a TACO transaction made by reference to the Index SOQ for a given Trading 

Day shall be determined by the Exchange following the publication of the Index SOQ. No revisions 

to the price shall be made until the close of the next Business Day. no later than 3:00 p.m. on such 

Trading Day. Such price determination shall be deemed final.

35806.C. Minimum Price Increments 

The valid basis or price increment applied either to the Index closing value to establish the BTIC futures 

price or to the Index SOQ to establish the TACO futures price must be an integer multiple of the contract 

minimum price increment of 0.05 index points.

35806.D. Market Disruption Events 

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 358)

Chapter 359

E-mini Nasdaq-100 Index® Futures
***

35906. BASIS TRADE AT INDEX CLOSE (“BTIC”) AND BASIS TRADE AT CASH OPEN 

(“TACO”) TRANSACTIONS

All BTIC transactions and TACO transactions must be executed in accordance with the requirements of 

Rules 524.B. and 524.C., respectively.

35906.A. Block Trade Requirements 

1. BTIC block trades must be executed in accordance with the requirements of Rule 526. For a BTIC 

or BTIC block trade executed on a given Trading Day on or before the scheduled close of the Primary 

Listing Exchangeunderlying primary securities market, the corresponding futures price shall be made 

by reference to the Index closing value for the current Trading Day. For a BTIC or BTIC block trade 

executed on a given Trading Day after the scheduled close of the primary securities marketPrimary 

Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the next Trading Day. 

2. TACO block trades must be executed in accordance with the requirements of Rule 526. For a TACO 

block trade executed on a given Trading Day on or before the scheduled opening auction on the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index 

special opening quotation (“SOQ”) for such Trading Day. For a TACO block trade executed on a 

given Trading Day after the scheduled start of the opening auction on the Primary Listing Exchange, 

the corresponding futures price shall be made by reference to the SOQ for the next Trading Day. 

35906.B. Price Assignment Procedures 

1. The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.The futures price 

of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 minutes after 

the close of the primary securities market in the case of an early scheduled close of the primary 

securities market). Such price determination shall be deemed final.

2. The futures price of a TACO transaction made by reference to the Index SOQ for a given Trading 

Day shall be determined by the Exchange following the publication of the Index SOQ. No revisions 

to the price shall be made until the close of the next Business Day. no later than 3:00 p.m. on such 

Trading Day. Such price determination shall be deemed final. 

35906.C. Minimum Price Increments

The valid basis or price increment applied either to the Index closing value to establish the BTIC futures 

price or to the Index SOQ to establish the TACO futures price must be an integer multiple of the contract 

minimum price increment of 0.05 index points. 

35906.D. Market Disruption Events 

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 359)

Chapter 360

E-miniTM Nasdaq® Biotechnology Index Futures

***

36006. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

36006.A. BTIC Block Trade Requirements

BTIC block trades must be executed in accordance with the requirements of Rule 526. 
For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of 

the Primary Listing Exchange underlying primary securities market, the corresponding futures price 

shall be made by reference to the Index closing value for the current Trading Day. 

For a BTIC or BTIC block trade executed on a given Trading Day after the scheduled close of the

Primary Listing Exchangeunderlying primary securities market, the corresponding futures price shall be 

made by reference to the Index closing value for the next Trading Day.

36006.B. BTIC Price Assignment Procedures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The futures price of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 

minutes after the close of the primary securities market in the case of an early scheduled close of the 

primary securities market). Such price determination shall be deemed final.

36006.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in full tick increments of 0.10 index points.

36006.D. Market Disruption Events 

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 360)

Chapter 362

E-mini Standard and Poor's Midcap 400® Stock Price Index Futures

***

36206. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

36206.A. BTIC Block Trade Requirements

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of 

the Primary Listing Exchange underlying primary securities market, the corresponding futures price 

shall be made by reference to the Index closing value for the current Trading Day. 

For a BTIC or BTIC block trade executed on a given Trading Day after the scheduled close of the

Primary Listing Exchangeunderlying primary securities market, the corresponding futures price shall be 

made by reference to the Index closing value for the next Trading Day.

36206.B. BTIC Price Assignment Procedures 

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3. The futures price of a 

BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 minutes after the close 

of the primary securities market in the case of an early scheduled close of the primary securities 

market). Such price determination shall be deemed final.

36206.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in full tick increments of 0.05 index points.

36206.D. Market Disruption Events 

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 
(End Chapter 362)

Chapter 364

E-mini S&P 500 ESG Index Futures

***

36406. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

36406.A. BTIC Block Trade Requirements

BTIC block trades must be executed in accordance with the requirements of Rule 526.

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the current Trading Day. 

For a BTIC or BTIC block trade executed on a given Trading Day after the scheduled close of the Primary 

Listing Exchange, the corresponding futures price shall be made by reference to the Index closing value 

for the next Trading Day.

36406.B. BTIC Price Assignment Procedures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The futures price of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 

minutes after the close of the Primary Listing Exchange in the case of an early scheduled close of the 

Primary Listing Exchange). Such price determination shall be deemed final.

364 06.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in increments of 0.01 index points.

36406.D. Market Disruption Events 

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 364)

Chapter 367 

E-mini S&P Europe 350 ESG Index Futures

***

36706. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

On any given Business Day, there shall be no BTIC trading in futures on CME Globex for trades 

consummated after 4:30 p.m. London time.

All BTIC trading in expiring futures shall terminate at 4:30 p.m. London time on the Business Day first 

preceding the Business Day scheduled for Termination of Trading of such futures (Rule 36702.G.) 

pursuant to CME Rules 524.B. For clarity, BTIC transactions in expiring futures may not be initiated on 

the Last Trade Date in such expiring futures (Rule 36702.G)

36706.A. BTIC Block Trade Requirements

BTIC block trades must be executed in accordance with the requirements of Rule 526.
For a BTIC or BTIC block trade executed on a given Trading Day on or before 4:30 p.m. London time, the 

corresponding futures price shall be made by reference to the Index closing value for the current Trading 

Day. 

For a BTIC or BTIC block trade executed on a given Trading Day after 4:30 p.m. London time, the 

corresponding futures price shall be made by reference to the Index closing value for the next Trading 

Day.

36706.B. BTIC Price Assignment Procedures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

For a BTIC or BTIC block trade executed on a given Trading Day after 4:30 p.m. London time, the 

corresponding futures price shall be made by reference to the Index closing value for the next Trading 

Day.

If the closing index value used for the calculation in the price determination of a BTIC transaction is revised 

by the Index Administrator, appropriate price adjustment shall be calculated and applied, up to the close 

of Business Day of the next trading day. Thereafter, price assignments and adjustments shall be deemed 

final.

36706.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in increments of 0.01 index points.

36706.D. Market Disruption Events 

In the event of a market disruption, which precludes a valid Index closing value calculation, all pending 

and executed BTIC transactions in the corresponding futures contract shall be cancelled by the Exchange. 

Such disruption shall be declared by the Exchange in its sole discretion, and may include, without 

limitation, an unscheduled early close closure for the day of the futures trading.

(End Chapter 367)

Chapter 368

E-mini S&P Smallcap 600 IndexTM Futures

***

36806. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

36806.A. BTIC Block Trade Requirements

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the

Primary Listing Exchangeunderlying primary securities market, the corresponding futures price shall be 

made by reference to the Index closing value for the current Trading Day. 

For a BTIC or BTIC block trade executed on a given Trading Day after the scheduled close of the Primary 

Listing Exchangeunderlying primary securities market, the corresponding futures price shall be made by 

reference to the Index closing value for the next Trading Day.

36806.B. BTIC Price Assignment Procedures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The futures price of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 

minutes after the close of the primary securities market in the case of an early scheduled close of the 

primary securities market). Such price determination shall be deemed final.

36806.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in full tick increments of 0.05 index points.

36806.D. Market Disruption Events 

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 
shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 368)

Chapter 369

E-mini Standard and Poor’s Select SectorTM Stock Index Futures

***

36906. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS 

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B. 

36906.A. BTIC Block Trade Requirements

BTIC block trades must be executed in accordance with the requirements of Rule 526.

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the

Primary Listing Exchangeunderlying primary securities market, the corresponding futures price shall be 

made by reference to the Index closing value for the current Trading Day. 

For a BTIC or BTIC block trade executed on a given Trading Day after the scheduled close of the Primary 

Listing Exchangeunderlying primary securities market, the corresponding futures price shall be made by 

reference to the Index closing value for the next Trading Day.

39606.B. BTIC Price Assignment Procedures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The futures price of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 

minutes after the close of the primary securities market in the case of an early scheduled close of the 

primary securities market). Such price determination shall be deemed final.

36906.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in full tick increments of 0.10 index points for all E-mini S&P Select Sector Stock Index 

futures except for the E-mini S&P Financial Select Sector Stock Index futures, E-mini Real Estate Select 

Sector Stock Index futures, and E-mini Communication Services Select Sector Index futures where the 

basis or price increment applied to the index close to establish the BTIC futures price must be stated in a 

full tick increments of 0.05 index points.

On any Business Day, BTIC transactions in a futures contract are made on the basis of that day’s closing 

value of the corresponding S&P Select Sector Stock Index value. Such Index closing value is reported to 

two decimal places of precision. Accordingly, any futures contract position bought or sold through a BTIC 

transaction shall be cleared in minimum price increment of 0.01 Index points.

36906.D. Market Disruption Events 

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 369)

Chapter 371

Yen Denominated TOPIX Index Futures

***

37106. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

Futures shall be eligible for BTIC transactions. All BTIC transactions must be executed in accordance 

with the requirements of Rule 524.B. Notwithstanding the provisions in Rule 524.B.2., BTIC transactions 
are permitted on the last day of trading for the contract.

37106.A. Reserved

37106.B. BTIC Price Assignment Procedures for BTIC Futures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The futures price of a BTIC transaction shall be determined by the Exchange no later than 3:45 p.m. 

Such price determination shall be deemed final.

37106.C. BTIC Order Minimum Price Increments

The minimum price increment shall be 0.1 Index points, equal to ¥500 per contract, for any basis 

adjustment that is applied to the Index closing level to establish the futures price of a BTIC transaction. 

37106.D. Reserved Market Disruption Events

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a regulatory trading halt necessitating an 

early closure of the Primary Listing Exchange.

37106.E. [Reserved] Market Disruption Events

In the event of disruption to the TSE, all pending and executed BTIC transactions in futures shall be 

cancelled by the Exchange. Such disruption shall be declared by the Exchange in its sole discretion, and 

may include, without limitation, an unscheduled early closure for the day of the TSE or a regulatory trading 

halt necessitating an early closure of the TSE.

(End Chapter 371)

Chapter 372

Adjusted Interest Rate Russell 1000® Total Return Index Futures

***

37206. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

37206.A. BTIC Block Trade Requirements

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the current Trading Day. 

For a BTIC or BTIC block trade executed after the scheduled close of the Primary Listing Exchange, the 

corresponding futures price shall be made by reference to the Index closing value for the next Trading 

Day.it shall be construed as a trade for the next business day and its price shall be determined based on 

all the parameters governing trades for the following business day.

37206.B. BTIC Price Assignment Procedures for BTIC Futures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The price of a BTIC transaction shall be determined by the Exchange after the close of the Primary Listing 

Exchange, according to the Definitions in 37201. 

Where an order for a BTIC block trade would result in a futures price lower than the respective 20% Price 

Limit (Rule 589), such BTIC block trade order shall be cancelled. 

If the Index Administrator publishes an Index Close but then subsequently amends and re-publishes the 

Index Close prior to the end of the next trading period, then the amended Index Close shall be used to 

recalculate the daily settlement price. In addition, the amended Index Close shall be used to calculate the 

difference applicable to impacted trades in relation to their originally calculated Traded Futures Price and 

determine the corresponding adjustment based on the amended Index Close. These adjustments shall 

be determined on the next trading day.
37206.C. BTIC Order Minimum Price Increments

The minimum price increment shall be 0.50 basis points, per contract, for any basis adjustment that is 

applied to an Index closing price to establish a BTIC transaction price.

37206.D. Market Disruption Events Termination of Trading

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

BTIC Trading in an expiring futures contract shall terminate at the scheduled close of the Primary Listing 

Exchange on the Exchange business day first preceding the day of Final Settlement Price determination 

for such futures contract pursuant to CME Rules 524.B. 

Until such time as the Exchange shall enable outright trading in futures contracts made under these Rules, 

trading shall be permitted only where such futures contracts are traded through Basis Trade at Index 

Close transactions and Rules 37206 of this Chapter, provided that in any instance where such futures 

contracts are traded as the futures component of an EFRP transaction, pursuant to Rule 538. (Exchange 

for Related Positions), the price of such futures contracts may be made either in Index Point terms 

outright, pursuant to Rules 37202. of this Chapter, or in BTIC terms, pursuant to Rules 524.B. and Rules 

37206. of this Chapter.

37206.ED. [Reserved] Trading Halts for BTIC Futures

At such time as the Primary Listing Exchange may declare a Regulatory Halt in response to a Level 3 (20%) Market 

Decline in the E-mini® Russell 1000® Index Futures, such BTIC transactions shall be cancelled. 

(End Chapter 372)

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 372

1. Trading Specifications

Until such time as the Exchange shall enable outright trading in futures contracts made under these Rules, trading shall 

be permitted only where such futures contracts are traded through Basis Trade at Index Close transactions, pursuant 

to Rules 524.B. (Basis Trade at Index Close (“BTIC”) Transactions) and Rules 37206. of this Chapter, provided that in 

any instance where such futures contracts are traded as the futures component of an EFRP transaction, pursuant to 

Rule 538. (Exchange for Related Positions), the price of such futures contracts may be made either in Index terms 

outright, pursuant to Rules 37202. of this Chapter, or in BTIC terms, pursuant to Rules 524.B. and Rules 37206. of this 

Chapter.

Trading in an expiring futures contract shall terminate at the scheduled close of the Primary Listing Exchange on the 

Exchange business day first preceding the day of Final Settlement Price determination for such futures contract.

Chapter 373

Adjusted Interest Rate Russell 2000® Total Return Index Futures

***

37306. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

37306.A. BTIC Block Trade Requirements

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the current Trading Day. 

For a BTIC or BTIC block trade executed after the scheduled close of the Primary Listing Exchange, the 

corresponding futures price shall be made by reference to the Index closing value for the next Trading 
Day.it shall be construed as a trade for the next business day and its price shall be determined based on 

all the parameters governing trades for the following business day.

37306.B. BTIC Price Assignment Procedures for BTIC Futures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The price of a BTIC transaction shall be determined by the Exchange after the close of the Primary Listing 

Exchange, according to the Definitions in 37301. 

Where an order for a BTIC block trade would result in a futures price lower than the respective 20% Price 

Limit (Rule 589), such BTIC block trade order shall be cancelled. 

If the Index Administrator publishes an Index Close but then subsequently amends and re-publishes the 

Index Close prior to the end of the next trading period, then the amended Index Close shall be used to 

recalculate the daily settlement price. In addition, the amended Index Close shall be used to calculate the 

difference applicable to impacted trades in relation to their originally calculated Traded Futures Price and 

determine the corresponding adjustment based on the amended Index Close. These adjustments shall 

be determined on the next trading day.

37306.C. BTIC Order Minimum Price Increments

The minimum price increment shall be 0.50 basis points, per contract, for any basis adjustment that is 

applied to an Index closing price to establish a BTIC transaction price.

37306.D. Market Disruption Events Termination of Trading 

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

BTIC Trading in an expiring futures contract shall terminate at the scheduled close of the Primary Listing 

Exchange on the Exchange business day first preceding the day of Final Settlement Price determination 

for such futures contract pursuant to CME Rules 524.B.

Until such time as the Exchange shall enable outright trading in futures contracts made under these Rules, 

trading shall be permitted only where such futures contracts are traded through Basis Trade at Index 

Close transactions and Rules 37306 of this Chapter, provided that in any instance where such futures 

contracts are traded as the futures component of an EFRP transaction, pursuant to Rule 538. (Exchange 

for Related Positions), the price of such futures contracts may be made either in Index Point terms 

outright, pursuant to Rules 37302. of this Chapter, or in BTIC terms, pursuant to Rules 524.B. and Rules 

37306. of this Chapter.

37306.ED. [Reserved] Trading Halts for BTIC Futures 

At such time as the Primary Listing Exchange may declare a Regulatory Halt in response to a Level 3 (20%) Market 

Decline in the E-mini® Russell 2000® Index Futures, such BTIC transactions shall be cancelled.

(End Chapter 373)

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 373

1. Trading Specifications

Until such time as the Exchange shall enable outright trading in futures contracts made under these Rules, trading shall 

be permitted only where such futures contracts are traded through Basis Trade at Index Close transactions, pursuant 

to Rules 524.B. (Basis Trade at Index Close (“BTIC”) Transactions) and Rules 37306. of this Chapter, provided that in 

any instance where such futures contracts are traded as the futures component of an EFRP transaction, pursuant to 

Rule 538. (Exchange for Related Positions), the price of such futures contracts may be made either in Index terms 

outright, pursuant to Rules 37302. of this Chapter, or in BTIC terms, pursuant to Rules 524.B. and Rules 37306. of this 

Chapter.

Trading in an expiring futures contract shall terminate at the scheduled close of the Primary Listing Exchange on the 

Exchange business day first preceding the day of Final Settlement Price determination for such futures contract.
Chapter 374

Adjusted Interest Rate Nasdaq-100 Total Return Index® Futures

***

37406. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

37406.A. BTIC Block Trade Requirements

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the current Trading Day. 

For a BTIC or BTIC block trade executed after the scheduled close of the Primary Listing Exchange, the 

corresponding futures price shall be made by reference to the Index closing value for the next Trading 

Day.it shall be construed as a trade for the next business day and its price shall be determined based on 

all the parameters governing trades for the following business day.

37406.B. BTIC Price Assignment Procedures for BTIC Futures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The price of a BTIC transaction shall be determined by the Exchange after the close of the Primary Listing 

Exchange, according to the Definitions in 37401. 

Where an order for a BTIC block trade would result in a futures price lower than the respective 20% Price 

Limit (Rule 589), such BTIC block trade order shall be cancelled. 

If the Index Administrator publishes an Index Close but then subsequently amends and re-publishes the 

Index Close prior to the end of the next trading period, then the amended Index Close shall be used to 

recalculate the daily settlement price. In addition, the amended Index Close shall be used to calculate the 

difference applicable to impacted trades in relation to their originally calculated Traded Futures Price and 

determine the corresponding adjustment based on the amended Index Close. These adjustments shall 

be determined on the next trading day.

37406.C. BTIC Order Minimum Price Increments

The minimum price increment shall be 0.50 basis points, per contract, for any basis adjustment that is 

applied to an Index closing price to establish a BTIC transaction price. 

37406.D. Market Disruption Events Termination of Trading 

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

BTIC Trading in an expiring futures contract shall terminate at the scheduled close of the Primary Listing 

Exchange on the Exchange business day first preceding the day of Final Settlement Price determination 

for such futures contract pursuant to CME Rules 524.B. 

Until such time as the Exchange shall enable outright trading in futures contracts made under these Rules, 

trading shall be permitted only where such futures contracts are traded through Basis Trade at Index 

Close transactions and Rules 37406 of this Chapter, provided that in any instance where such futures 

contracts are traded as the futures component of an EFRP transaction, pursuant to Rule 538. (Exchange 

for Related Positions), the price of such futures contracts may be made either in Index Point terms 

outright, pursuant to Rules 37402. of this Chapter, or in BTIC terms, pursuant to Rules 524.B. and Rules 

37406. of this Chapter. 

37406.ED. [Reserved] Trading Halts for BTIC Futures 

At such time as the Primary Listing Exchange may declare a Regulatory Halt in response to a Level 3 (20%) Market 

Decline in the Nasdaq-100 Total Return Index®, such BTIC transactions shall be cancelled. 

(End Chapter 374)

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 374
1. Trading Specifications

Until such time as the Exchange shall enable outright trading in futures contracts made under these Rules, trading shall 

be permitted only where such futures contracts are traded through Basis Trade at Index Close transactions, pursuant 

to Rules 524.B. (Basis Trade at Index Close (“BTIC”) Transactions) and Rules 37406. of this Chapter, provided that in 

any instance where such futures contracts are traded as the futures component of an EFRP transaction, pursuant to 

Rule 538. (Exchange for Related Positions), the price of such futures contracts may be made either in Index terms 

outright, pursuant to Rules 37402. of this Chapter, or in BTIC terms, pursuant to Rules 524.B. and Rules 37406. of this 

Chapter.

Trading in an expiring futures contract shall terminate at the scheduled close of the Primary Listing Exchange on the 

Exchange business day first preceding the day of Final Settlement Price determination for such futures contract.

Chapter 375

Adjusted Interest Rate FTSE® 100 Total Return Declared Dividend Index Futures

***

37506. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

37506.A. BTIC Block Trade Requirements 

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the current Trading Day. 

For a BTIC or BTIC block trade executed on a given Trading Day after the scheduled close of the Primary 

Listing Exchange, the corresponding futures price shall be made by reference to the Index closing value 

for the next Trading Day.

37506.B. BTIC Price Assignment Procedures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The price of a BTIC transaction shall be determined by the Exchange after the close of the Primary Listing 

Exchange, according to the Definitions in 37501.

If the Index Administrator publishes an Index Close but then subsequently amends and re-publishes the 

Index Close prior to the end of the next trading period, then the amended Index Close shall be used to 

recalculate the daily settlement price. In addition, the amended Index Close shall be used to calculate the 

difference applicable to impacted trades in relation to their originally calculated Traded Futures Price and 

determine the corresponding adjustment based on the amended Index Close. These adjustments shall 

be determined on the next trading day.

37506.C. BTIC Order Minimum Price Increments

The minimum price increment shall be 0.50 basis points, per contract, for any basis adjustment that is 

applied to an Index closing price to establish a BTIC transaction price.

37506.D. Market Disruption Events Termination of Trading BTIC

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange.

Trading in an expiring futures contract shall terminate at the scheduled close of the Primary Listing 

Exchange on the Exchange business day first preceding the day of Final Settlement Price determination 

for such futures contract pursuant to CME Rule 524.B. Until such time as the Exchange shall enable 

outright trading in futures contracts made under these Rules, trading shall be permitted only where such 

futures contracts are traded through Basis Trade at Index Close transactions and Rule 37506. of this 

Chapter, provided that in any instance where such futures contracts are traded as the futures component 

of an EFRP transaction, pursuant to Rule 538. (Exchange for Related Positions), the price of such futures 

contracts may be made either in Index Point terms outright, pursuant to Rule 37502. of this Chapter, or 

in BTIC terms, pursuant to Rule 524.B. and Rule 37506. of this Chapter.
37506.E. [Reserved] Disruption Event Handling

In the event of a market disruption in to the cash market, such that there is no valid official closing Index 

available for that trade date, all BTIC transactions in the corresponding futures contract shall be cancelled 

by the Exchange. Such disruption shall be declared by the Exchange in its sole discretion, and may 

include, without limitation, an unscheduled early close of the primary listing exchange.

(End Chapter 375)

Chapter 383

E-mini® Russell 1000® Index Futures

***

38306. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

38306.A. BTIC Block Trade Requirements 

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the

Primary Listing Exchangeunderlying primary securities market, the corresponding futures price shall be 

made by reference to the Index closing value for the current Trading Day. 

For a BTIC or BTIC block trade that is executed on a given Trading Day after the scheduled close of the

Primary Listing Exchangeunderlying primary securities market, the corresponding futures price shall be 

made by reference to the Index closing value for the next Trading Day.

38306.B. BTIC Price Assignment Procedures 

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The futures price of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 

minutes after the close of the primary securities market in the case of an early scheduled close of the 

primary securities market). Such price determination shall be deemed final. 

38306.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in full tick increments of 0.05 Index points. 

38306.D. Market Disruption Events 

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 383)

Chapter 384

E-Mini® Russell 1000® Growth Index Futures

***

38406. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

38406.A. BTIC Block Trade Requirements 

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the

Primary Listing Exchangeunderlying primary securities market, the corresponding futures price shall be 

made by reference to the Index closing value for the current Trading Day. 
For a BTIC or BTIC block trade that is executed on a given Trading Day after the scheduled close of the

Primary Listing Exchangeunderlying primary securities market, the corresponding futures price shall be 

made by reference to the Index closing value for the next Trading Day.

38406.B. BTIC Price Assignment Procedures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The futures price of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 

minutes after the close of the primary securities market in the case of an early scheduled close of the 

primary securities market). Such price determination shall be deemed final.

38406.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in full tick increments of 0.05 Index points. 

38406.D. Market Disruption Events 

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 384)

Chapter 385

E-mini® Russell 1000® Value Index Futures

***

38506. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

38506.A. BTIC Block Trade Requirements 

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the

Primary Listing Exchangeunderlying primary securities market, the corresponding futures price shall be 

made by reference to the Index closing value for the current Trading Day. 

For a BTIC or BTIC block trade that is executed on a given Trading Day after the scheduled close of the

Primary Listing Exchangeunderlying primary securities market, the corresponding futures price shall be 

made by reference to the Index closing value for the next Trading Day.

38506.B. BTIC Price Assignment Procedures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The futures price of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 

minutes after the close of the primary securities market in the case of an early scheduled close of the 

primary securities market). Such price determination shall be deemed final.

38506.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in full tick increments of 0.05 Index points. 

38506.D. Market Disruption Events 

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 385)
Chapter 386

E-mini® USD Denominated FTSE® 100 Index Futures

***

38606. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B. 

38606.A. BTIC Block Trade Requirements 

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the

Primary Listing ExchangeLondon Stock Exchange, the corresponding futures price shall be made by 

reference to the Index closing value for the current Trading Day. 

For a BTIC or BTIC block trade that is executed on a given Trading Day after the scheduled close of the

Primary Listing Exchangeunderlying primary securities market, the corresponding futures price shall be 

made by reference to the Index closing value for the next Trading Day. 

38606.B. BTIC Price Assignment Procedures 

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The futures price of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 

minutes after the close of the primary securities market in the case of an early scheduled close of the 

primary securities market). Such price determination shall be deemed final. 

38606.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in full tick increments of 0.05 Index points. 

38606.D Market Disruption Events

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange.

(End Chapter 386)

Chapter 387

E-mini® FTSE® 100 Index Futures

***

38706. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

38706.A. BTIC Block Trade Requirements 

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the

Primary Listing ExchangeLondon Stock Exchange, the corresponding futures price shall be made by 

reference to the Index closing value for the current Trading Day. 

For a BTIC or BTIC block trade that is executed on a given Trading Day after the scheduled close of the

Primary Listing Exchangeunderlying primary securities market, the corresponding futures price shall be 

made by reference to the Index closing value for the next Trading Day. 

38706.B. BTIC Price Assignment Procedures 

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The futures price of a BTIC transaction shall be determined by the Exchange. At 3:45 p.m. (or within 45 

minutes after the close of the primary securities market in the case of an early scheduled close of the 

primary securities market). Such price determination shall be deemed final. 

38706.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in full tick increments of 0.25 Index points.
38706.D. Market Disruption Events

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange.

(End Chapter 387)

Chapter 388

E-mini® FTSE® China 50 Index Futures

***

38806. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

38806.A. BTIC Block Trade Requirements 

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the

Primary Listing ExchangeHong Kong Exchange Securities Market, the corresponding futures price shall 

be made by reference to the Index closing value for the current Trading Day. 

For a BTIC or BTIC block trade that is executed on a given Trading Day after the scheduled close of the

Primary Listing Exchangeunderlying primary securities market, the corresponding futures price shall be 

made by reference to the Index closing value for the next Trading Day. 

38806.B. BTIC Price Assignment Procedures 

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The futures price of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 

minutes after the close of the primary securities market in the case of an early scheduled close of the 

primary securities market). Such price determination shall be deemed final. 

38806.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the closing value to establish the BTIC futures price must be 

stated in full tick increments of one (1) Index point. 

38806.D. Market Disruption Events

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange.

(End Chapter 388)

Chapter 390

E-mini® FTSE® Developed Europe Index Futures

***

39006. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B. 

On any given Business Day, there shall be no BTIC trading in futures on CME Globex after 4:30 p.m. 

London time.

All BTIC trading in expiring futures shall terminate at 4:30 p.m. London time on the Business Day first 

preceding the Business Day scheduled for determination of the Final Settlement Price of such futures. 

39006.A. BTIC Block Trade Requirements 

BTIC block trades must be executed in accordance with the requirements of Rule 526. 
For a BTIC or BTIC block trade executed on a given Trading Day on at or before 4:30 p.m. London time, 

the corresponding futures price shall be assigned by reference to the Index closing value for the current 

Business Day.

For a BTIC or BTIC block trade executed on a given Business Day after 4:30 p.m. London time, the 

corresponding futures price shall be assigned by reference to the Index closing value for the next following 

Business Day. 

39006.B. BTIC Price Assignment Procedures 

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

For a BTIC transaction made on a given Business Day, the corresponding futures price shall be assigned 

by the Exchange upon publication of the Index closing value for such Business Day. Without limitation to 

the foregoing, the Exchange typically shall make such price assignment no later than 5:00 p.m. Such 

futures price determination shall be deemed final. 

39006.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be an integer multiple of 0.01 Index points. 

39006.D. Market Disruption Events

In the event of a market disruption, which precludes a valid Index closing value calculation, all pending 

and executed BTIC transactions in the corresponding futures contract shall be cancelled by the Exchange. 

Such disruption shall be declared by the Exchange in its sole discretion, and may include, without 

limitation, an unscheduled early close of the futures trading.

(End Chapter 390)

Chapter 391

E-mini® FTSE® Emerging Index Futures

***

39106. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B. 

39106.A. BTIC Block Trade Requirements 

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on at or before 3:00 p.m., the 

corresponding futures price shall be assigned by reference to the Index closing value for the current 

Business Day.

For a BTIC or BTIC block trade executed on a given Business Day after 3:00 p.m., the corresponding 

futures price shall be assigned by reference to the Index closing value for the next following Business 

Day. 

All BTIC trading in expiring futures shall terminate at 3:00 p.m. on the Business Day first preceding the 

Business Day scheduled for determination of the Final Settlement Price of such futures. 

39106.B. BTIC Price Assignment Procedures 

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

For a BTIC transaction made on a given Business Day, the corresponding futures price shall be assigned 

by the Exchange upon publication of the Index closing value for such Business Day. Without limitation to 

the foregoing, the Exchange typically shall make such price assignment no later than 5:00 p.m. Such 

futures price determination shall be deemed final. 

39106.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in increments of 0.01 Index points. 

39106.D. Market Disruption Events

In the event of a market disruption, which precludes a valid Index closing value calculation, all pending 

and executed BTIC transactions in the corresponding futures contract shall be cancelled by the Exchange. 

Such disruption shall be declared by the Exchange in its sole discretion, and may include, without 

limitation, an unscheduled early close of the futures trading.
(End Chapter 391)

Chapter 392

E-mini® IPOX® 100 U.S. Index Futures

***

39206. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B. 

Futures shall be eligible for BTIC transactions.

For any BTIC transaction in futures on a given Trading Day, the price shall be based on the Index closing 

price on such Trading Day, adjusted by an admissible futures price increment (“basis adjustment”) above 

or below such Index closing price, in accordance with Rule 39206.C. The magnitude of such basis 

adjustment must be fair and reasonable in light of factors such as, but not limited to, financing rates, 

expected dividend income, and time remaining until futures contract expiration.

39206.A. BTIC Block Trade Requirements 

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

A BTIC transaction in futures may be executed as a block trade, provided that such block trade is executed 

in accordance with CME Rule 526.

Both the size of such block trade and any applicable basis adjustment shall be reported to the Exchange 

within five (5) minutes after agreement by the parties to such trade. 

For a BTIC or BTIC block trade that is executed on a given Trading Day on or before the scheduled close 

of the Primary Listing Exchange and reported to the Exchange at least 10 minutes prior to the scheduled 

close of the primary securities market, the corresponding futures price shall be made by reference to the 

Index closing value price for the current Trading Day. 

For a such BTIC or BTIC block trade that is executed on a given Trading Day after the scheduled close 

of the Primary Listing Exchange reported to the Exchange later than 10 minutes prior to the scheduled 

close of the primary securities market, the corresponding futures price shall be made by reference to the 

Index closing value price for the next following Trading Day.

39206.B. BTIC Price Assignment Procedures for BTIC Futures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The price of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 minutes 

after the close of the primary securities market in the case of an early scheduled close of the primary 

securities market). Such price determination shall be deemed final.

Where an order for a BTIC block trade would result in a futures price lower than the respective 20% Price 

Limit (Rule CCC02.I.), such BTIC block trade order shall be cancelled. 

39206.C. BTIC Order Minimum Price Increments

The minimum price increment shall be 0.25 Index points, equal to $2.50 per contract, for any basis 

adjustment that is applied to an Index closing price to establish a BTIC transaction price. 

39206.D. Market Disruption Events BTIC Orders Prohibited on Last Day of Trading 

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

Orders for BTIC transactions in expiring futures may not be initiated on the last day of trading in such 

expiring futures (Rule 39202.G.). 

39206.E. [Reserved] Market Disruption Events 

In the event of disruption in the primary securities market, all orders for BTIC block trades in futures shall 

be cancelled. Such event of disruption shall be declared by the Exchange, in its sole discretion, and may 

include without limitation:

1. unscheduled early closure of the primary securities market, or
2. a NYSE Rule 80B trading halt declared in response to a Level 3 (20%) decline in the S&P 500 

Index, necessitating early close of the primary securities market.

(End Chapter 392)

Chapter 393

E-mini® Russell 2000® Index Futures

***

39306. BASIS TRADE AT INDEX CLOSE (“BTIC”) AND BASIS TRADE AT CASH OPEN (“TACO”)

TRANSACTIONS

All BTIC transactions and TACO transactions must be executed in accordance with the requirements of 

Rules 524.B. and 524.C., respectively.

39306.A. Block Trade Requirements

1. BTIC block trades must be executed in accordance with the requirements of Rule 526. For a BTIC or 

BTIC block trade executed on a given Trading Day on or before the scheduled close of the Primary 

Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the current Trading Day. For a BTIC or BTIC block trade executed on a given Trading Day 

after the scheduled close of the Primary Listing Exchange, the corresponding futures price shall be 

made by reference to the Index closing value for the next Trading Day.

2. TACO block trades must be executed in accordance with the requirements of Rule 526. For a TACO 

block trade executed on a given Trading Day on or before the scheduled opening auction on the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index 

special opening quotation (“SOQ”) for such Trading Day. For a TACO block trade executed on a given 

Trading Day after the scheduled start of the opening auction on the Primary Listing Exchange, the 

corresponding futures price shall be made by reference to the SOQ for the next Trading Day. 

39306.B. Price Assignment Procedures

1. The price assignment procedures for BTIC transactions shall follow Rule 524.B.3. The futures price 

of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 minutes after 

the close of the Primary Listing Exchange in the case of an early scheduled close of the Primary 

Listing Exchange). Such price determination shall be deemed final.

2. The futures price of a TACO transaction made by reference to the Index SOQ for a given Trading Day 

shall be determined by the Exchange following the publication of the Index SOQ. No revisions to the 

price shall be made until the close of the next Business Day. no later than 3:00 p.m. on such Trading 

Day. Such price determination shall be deemed final.

39306.C. Minimum Price Increments

The valid basis or price increment applied either to the Index closing value to establish the BTIC futures 

price or to the Index SOQ to establish the TACO futures price must be an integer multiple of the contract 

minimum price increment stated in full tick increments of 0.05 index points. 

39306.D. Market Disruption Events

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 393)

Chapter 394

E-mini® Russell 2000® Growth Index Futures
***

39406. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

39406.A. BTIC Block Trade Requirements

BTIC block trades must be executed in accordance with the requirements of Rule 526.

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the current Trading Day. 

For a BTIC or BTIC block trade executed on a given Trading Day after the scheduled close of the Primary 

Listing Exchange, the corresponding futures price shall be made by reference to the Index closing value 

for the next Trading Day.

39406.B. BTIC Price Assignment Procedures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The futures price of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 

minutes after the close of the Primary Listing Exchange in the case of an early scheduled close of the 

Primary Listing Exchange). Such price determination shall be deemed final.

394 06.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in full tick increments of 0.05 index points.

39406.D. Market Disruption Events

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 394)

Chapter 395

E-mini® Russell 2000® Value Index Futures

***

39506. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

39506.A. BTIC Block Trade Requirements

BTIC block trades must be executed in accordance with the requirements of Rule 526.

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the current Trading Day. 

For a BTIC or BTIC block trade executed on a given Trading Day after the scheduled close of the Primary 

Listing Exchange, the corresponding futures price shall be made by reference to the Index closing value 

for the next Trading Day.

39506.B. BTIC Price Assignment Procedures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The futures price of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 

minutes after the close of the Primary Listing Exchange in the case of an early scheduled close of the 

Primary Listing Exchange). Such price determination shall be deemed final.

395 06.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in full tick increments of 0.05 index points.

39506.D. Market Disruption Events
In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 395)

Chapter 396

Nasdaq-100 Total Return Index Futures 

***

39606. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B

39606.A. BTIC Block Trade Requirements 

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of 

the Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index 

closing value for the current Trading Day. 

For a BTIC or BTIC block trade executed on a given Trading Day after the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index 

closing value for the next Trading Day.

39606.B. BTIC Price Assignment Procedures for BTIC Futures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The price of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 minutes 

after the close of the Primary Listing Exchange in the case of an early scheduled close of the Primary 

Listing Exchange). Such price determination shall be deemed final.

39606.C. BTIC Order Minimum Price Increments

The minimum price increment shall be 0.10 Index points, equal to $1.00 per contract, for any basis 

adjustment that is applied to an Index closing price to establish a BTIC transaction price. 

39606.D. Market Disruption Events

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 396)

Chapter 397

Russell 1000 Total Return Index Futures 

***

39706. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

39706.A. BTIC Block Trade Requirements 

BTIC block trades must be executed in accordance with the requirements of Rule 526. 
For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of 

the Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index 

closing value for the current Trading Day. 

For a BTIC or BTIC block trade executed on a given Trading Day after the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index 

closing value for the next Trading Day.

39706.B. BTIC Price Assignment Procedures for BTIC Futures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The price of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 minutes 

after the close of the Primary Listing Exchange in the case of an early scheduled close of the Primary 

Listing Exchange). Such price determination shall be deemed final.

39706.C. BTIC Order Minimum Price Increments

The minimum price increment shall be 0.10 Index points, equal to $1.00 per contract, for any basis 

adjustment that is applied to an Index closing price to establish a BTIC transaction price. 

39706.D. Market Disruption Events

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 397)

Chapter 398

Russell 2000 Total Return Index Futures 

***

39806. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

39806.A. BTIC Block Trade Requirements 

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of 

the Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index 

closing value for the current Trading Day. 

For a BTIC or BTIC block trade executed on a given Trading Day after the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index 

closing value for the next Trading Day.

39806.B. BTIC Price Assignment Procedures for BTIC Futures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.The price of a BTIC 

transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 minutes after the close of the 

Primary Listing Exchange in the case of an early scheduled close of the Primary Listing Exchange). Such 

price determination shall be deemed final.

39806.C. BTIC Order Minimum Price Increments

The minimum price increment shall be 0.10 Index points, equal to $1.00 per contract, for any basis 

adjustment that is applied to an Index closing price to establish a BTIC transaction price. 

39806.D. Market Disruption Events

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 
shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 398)

CBOT Rulebook

(additions underscored; deletions struckthrough)

Chapter 27

CBOT® E-mini Dow Jones Industrial AverageSM Index Futures ($5 Multiplier)

***

27106. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

27106.A. BTIC Block Trade Requirements 

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the current Trading Day. 

For a BTIC or BTIC block trade that is executed on a given Trading Day after the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the next Trading Day.

27106.B. BTIC Price Assignment Procedures 

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The futures price of a BTIC transaction will be determined by the Exchange at 3:45 p.m. (or within 45 

minutes after the close of the Primary Listing Exchange in the case of an early scheduled close of the 

Primary Listing Exchange). Such price determination shall be deemed final. 

27106.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in full tick increments of 1 index point.

27106.D. Market Disruption Events

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 27)

Chapter 30

CBOT® Dow Jones US Real Estate Index Futures

***

30107. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

30107.A. BTIC Block Trade Requirements

BTIC block trades must be executed in accordance with the requirements of Rule 526. 
For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the current Trading Day. 

For a BTIC or BTIC block trade that is executed on a given Trading Day after the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the next Trading Day. 

30107.B. BTIC Price Assignment Procedures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The futures price of a BTIC transaction will be determined by the Exchange at 3:45 p.m. (or within 45 

minutes after the close of the Primary Listing Exchange in the case of an early scheduled close of the 

Primary Listing Exchange). Such price determination shall be deemed final.

30107.C. BTIC Minimum Price Increments

The valid basis or price increment applied to the Index closing value to establish the BTIC futures price 

must be stated in full tick increments of 0.10 index points.

30107.D. Market Disruption Events

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 30)

Chapter 31

Dow Jones Industrial Average Total Return Index Futures

***

31106. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B.

31106.A. BTIC Block Trade Requirements 

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of 

the Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index 

closing value for the current Trading Day. 

For a BTIC or BTIC block trade executed on a given Trading Day after the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index 

closing value for the next Trading Day.

31106.B. BTIC Price Assignment Procedures for BTIC Futures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The price of a BTIC transaction shall be determined by the Exchange at 3:45 p.m. (or within 45 minutes 

after the close of the Primary Listing Exchange in the case of an early scheduled close of the Primary 

Listing Exchange). Such price determination shall be deemed final.

31106.C. BTIC Order Minimum Price Increments

The minimum price increment shall be 0.50 Index points, equal to $1.00 per contract, for any basis 

adjustment that is applied to an Index closing price to establish a BTIC transaction price. 

31106.D. Market Disruption Events

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 
response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

(End Chapter 31)

Chapter 33

Adjusted Interest Rate Dow Jones Industrial Average TM Total Return Index 

Futures

***

3306. BASIS TRADE AT INDEX CLOSE (“BTIC”) TRANSACTIONS

All BTIC transactions must be executed in accordance with the requirements of Rule 524.B. 

3306.A. BTIC Block Trade Requirements 

BTIC block trades must be executed in accordance with the requirements of Rule 526. 

For a BTIC or BTIC block trade executed on a given Trading Day on or before the scheduled close of the 

Primary Listing Exchange, the corresponding futures price shall be made by reference to the Index closing 

value for the current Trading Day. 

For a BTIC or BTIC block trade executed after the scheduled close of the Primary Listing Exchange, the 

corresponding futures price shall be made by reference to the Index closing value for the next Trading 

Day.it shall be construed as a trade for the next business day and its price shall be determined based on 

all the parameters governing trades for the following business day.

3306.B. BTIC Price Assignment Procedures for BTIC Futures

The price assignment procedures for BTIC transactions shall follow Rule 524.B.3.

The price of a BTIC transaction shall be determined by the Exchange after the close of the Primary Listing 

Exchange, according to the Definitions in 3301. 

Where an order for a BTIC block trade would result in a futures price lower than the respective 20% Price 

Limit (Rule 589), such BTIC block trade order shall be cancelled. 

If the Index Administrator publishes an Index Close but then subsequently amends and re-publishes the 

Index Close prior to the end of the next trading period, then the amended Index Close shall be used to 

recalculate the daily settlement price. In addition, the amended Index Close shall be used to calculate the 

difference applicable to impacted trades in relation to their originally calculated Traded Futures Price and 

determine the corresponding adjustment based on the amended Index Close. These adjustments shall 

be determined on the next trading day. 

3306.C. BTIC Order Minimum Price Increments

The minimum price increment shall be 0.50 basis points, per contract, for any basis adjustment that is 

applied to an Index closing price to establish a BTIC transaction price. 

3306.D. Market Disruption Events Termination of Trading 

In the event of a market disruption in the Primary Listing Exchange, all pending and executed BTIC 

transactions in the corresponding futures contract shall be cancelled by the Exchange. Such disruption 

shall be declared by the Exchange in its sole discretion, and may include, without limitation, an 

unscheduled early close of the Primary Listing Exchange or a NYSE Rule 7.12 trading halt declared in 

response to a Level 3 (20%) decline in the S&P 500 Index that necessitates an early close of the Primary 

Listing Exchange. 

BTIC Trading in an expiring futures contract shall terminate at the scheduled close of the Primary Listing 

Exchange on the Exchange business day first preceding the day of Final Settlement Price determination 

for such futures contract pursuant to CME Rules 524.B. 

Until such time as the Exchange shall enable outright trading in futures contracts made under these Rules, 

trading shall be permitted only where such futures contracts are traded through Basis Trade at Index 

Close transactions and Rules 3306 of this Chapter, provided that in any instance where such futures 

contracts are traded as the futures component of an EFRP transaction, pursuant to Rule 538. (Exchange 
for Related Positions), the price of such futures contracts may be made either in Index Point terms 

outright, pursuant to Rules 3302. of this Chapter, or in BTIC terms, pursuant to Rules 524.B. and Rules 

3306. of this Chapter. 

3306.ED. [Reserved] Trading Halts for BTIC Futures 

At such time as the Primary Listing Exchange may declare a Regulatory Halt in response to a Level 3 

(20%) Market Decline in the DJIA Total Return Index, such BTIC transactions shall be cancelled. 

(End Chapter 33)

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 33

1. Trading Specifications

Until such time as the Exchange shall enable outright trading in futures contracts made under these Rules, trading shall 

be permitted only where such futures contracts are traded through Basis Trade at Index Close transactions, pursuant 

to Rules 524.B. (Basis Trade at Index Close (“BTIC”) Transactions) and Rules 3306. of this Chapter, provided that in 

any instance where such futures contracts are traded as the futures component of an EFRP transaction, pursuant to 

Rule 538. (Exchange for Related Positions), the price of such futures contracts may be made either in Index terms 

outright, pursuant to Rules 3302. of this Chapter, or in BTIC terms, pursuant to Rules 524.B. and Rules 3306. of this 

Chapter.

Trading in an expiring futures contract shall terminate at the scheduled close of the Primary Listing Exchange on the 

Exchange business day first preceding the day of Final Settlement Price determination for such futures contract.