Unlocking Futures Secrets: How TAS Can Signal Price Swings
- Timothy Beggans
- Jan 3
- 2 min read
In the fast-paced world of futures trading, Trade at Settlement (TAS) is a powerful but often underappreciated tool. TAS allows market participants to buy or sell eligible futures contracts during the trading session at the official settlement price, plus or minus a small predefined spread (typically a few ticks, depending on the contract).
Offered by exchanges such as CME Group and ICE, TAS removes the need to chase intraday price moves. For traders managing size, this can materially reduce slippage and execution risk—especially near the close, when liquidity can fragment.
How TAS works: TAS orders can be entered anytime before the close and are filled at the final settlement price once it is determined. Because execution occurs at settlement, TAS is well-suited for adjusting positions without immediately impacting the screen price.
Why TAS matters for price insight: TAS activity can reveal order imbalances heading into settlement. A persistent bias toward buy-side TAS orders may indicate underlying demand and upward pressure into the close. Conversely, sell-heavy TAS flow can foreshadow downward momentum. While not predictive on its own, TAS flow often acts as an early signal of short-term directional bias when combined with volume, open interest, and spreads.
Key use cases:
Hedging & roll management: Common in energy, ags, and metals for rolling expiring contracts efficiently.
Delta hedging: Options traders use TAS to rebalance at settlement, reducing gamma exposure without disrupting markets.
ETF creation/redemption: TAS helps align futures positions with NAV at the close.
Arbitrage & relative value: Cash-futures and inter-market strategies often rely on settlement-based execution.
Used thoughtfully, TAS isn’t just an execution tool—it’s a window into how large participants position risk at the most important price of the day.
Links
CME Group – Trading at Settlement: https://www.cmegroup.com/trading/trading-at-settlement.html
ICE – Futures & Options Trading: https://www.ice.com
University of Houston (TAS research): https://www.bauer.uh.edu
University of Nebraska Digital Commons: https://digitalcommons.unl.edu
Farmdoc Daily (UIUC): https://farmdocdaily.illinois.edu
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