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Trade at Cash Open (TACO)
Efficiently manage a.m.-expiring options delta
With the launch of our TACO market maker program last month, liquidity is trending up and the bid-ask spread is tightening. In July, market participants traded 769 E-mini S&P 500 futures TACO contracts leading up to the a.m. expiry, equivalent to two percent of the market-on-open (MOO) volume* and $107M in notional value.
With the August SPX options expiry approaching this Friday, August 17, it’s a good time trade TACO and take advantage of growing liquidity and volume. Discover how TACO can help you avoid slippage and better manage risk around the cash index open.
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How TACO Works
TACO uses the same quoting convention as the Basis Trade at Index Close (BTIC) and allows market participants to execute a basis trade on the E-mini S&P 500 futures relative to the day’s official cash index opening level, ahead of the market’s opening auction. Cash index options traders can use TACO to replace their expiring delta exposure at a price that aligns exactly with the final settlement price of the expiring options.
*2% of trading volume at NYSE and Nasdaq as of July 20, 2018
Trade at Cash Open (TACO)
Efficiently manage a.m.-expiring options delta
With the launch of our TACO market maker program last month, liquidity is trending up and the bid-ask spread is tightening. In July, market participants traded 769 E-mini S&P 500 futures TACO contracts leading up to the a.m. expiry, equivalent to two percent of the market-on-open (MOO) volume* and $107M in notional value.
With the August SPX options expiry approaching this Friday, August 17, it’s a good time trade TACO and take advantage of growing liquidity and volume. Discover how TACO can help you avoid slippage and better manage risk around the cash index open.
Learn more
How TACO Works
TACO uses the same quoting convention as the Basis Trade at Index Close (BTIC) and allows market participants to execute a basis trade on the E-mini S&P 500 futures relative to the day’s official cash index opening level, ahead of the market’s opening auction. Cash index options traders can use TACO to replace their expiring delta exposure at a price that aligns exactly with the final settlement price of the expiring options.
*2% of trading volume at NYSE and Nasdaq as of July 20, 2018
