30-Day Fed Fund Futures
Normal Daily Settlement Methodology
CBOT 30-Day Fed Fund futures (ZQ) are settled by CME Group staff based on market activity on CME Globex each day at 14:00 Central Time (CT), the settlement period.
Tier 1: Trades on CME Globex
All contract months settle to the volume-weighted average price (VWAP) of outright trades between 13:59:00 and 14:00:00 CT, the settlement period, rounded to the nearest tradable tick. If the VWAP is equidistant between two ticks, then it’s rounded towards the prior day settlement price.
Tier 2: CME Globex Market Data
In the absence of trades during the closing range, the contract month settles to the midpoint of the Low Bid/High Ask of the closing range between 13:59:00 and 14:00:00 CT, the settlement period.
Tier 3: Absence of Two Sided Markets
If there are no two sided markets available during the closing range in a particular contract month, then the settlement price will be the last trade price (or prior settle in the absence of a last trade price) – adjusted to the Low Bid/High Ask if one side is present.