This Friday Get ready for monthly SPX expiry with TACO

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 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 2% of the market-on-open (MOO) volume* and $107M notional value.
 

With 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: https://go.cmegroup.com/e/502091/utm-content-20180817expiration/38ypjd/164304695


How TACO Works
TACO uses the same quoting convention as 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.


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