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S&P 500 Futures Daily Settlement Procedure

Normal Daily Settlement Procedure

Lead month

The lead month is the anchor leg for settlements and is the contract expected to be the most active.

  • The volume-weighted average price (“VWAP”) of all trades executed in the full-sized futures contract on the trading floor and in the E-mini futures contract executed on CME Globex will be calculated for a the designated lead month contract from 15:14:30 – 15:15:00 Central Time (“CT”), the settlement period.  A multiplier of 5 will be applied to the quantities traded in the full-sized contract to reflect the 5 to 1 relationship between the full-sized and the E-mini contracts.
  • The combined VWAP for the designated lead month will be rounded to the nearest .10 index point.
Second month

When the lead month is the expiry month, then the second month is defined as the calendar month immediately following the lead month. When the lead month is not the expiry month, then the second month is defined as the first expiring non-lead month.

  • The second contract month will settle to the combined VWAPs of the lead month-second month spread using the same methodology as described above.
Back months

To derive settlements for all remaining contract months, the net change in the second contract month from the prior day’s settlement price will be applied to the remaining contracts months’ prior-day settlements.  The appropriate adjustments will be made to incorporated relevant market data including but not limited to, transactions, bids and offers in relevant outright and spread markets, or other market information deemed relevant by the Global Command Center.

End of Month Fair Value Procedure

http://www.cmegroup.com/trading/equity-index/fairvaluefaq.html


Final Settlement

The Final Settlement Price shall be a special quotation of the S&P 500 Index based on the opening prices of the component stocks in the index, determined on the third Friday of the contract month. If the S&P 500 Index is not scheduled to be published on the third Friday of the contract month, the Final Settlement Price shall be determined on the first earlier day for which the Index is scheduled to be published.

If the primary market for a component stock in the index does not open on the day scheduled for determination of the Final Settlement Price, then the price of that stock shall be determined, for the purposes of calculating the Final Settlement Price, based on the opening price of that stock on the next day that its primary market is open for trading.

If a component stock in the index does not trade on the day scheduled for determination of the Final Settlement Price while the primary market for that stock is open for trading, the price of that stock shall be determined, for the purposes of calculating the Final Settlement Price, based on the last sale price of that stock.  However, if the Exchange determines that there is a reasonable likelihood that trading in the stock shall occur shortly, the Exchange may instruct that the price of stock shall be based, for the purposes of calculating the Final Settlement Price, on the opening price of the stock on the next day that it is traded on its primary market.  Factors to be considered in determining whether trading in the stock is likely to occur shortly shall include the nature of the event and recent liquidity levels in the affected stock.

Additional Details

For information regarding the SOQ, please see the following links:

E-Mini S&P 500 Futures

Normal Daily Settlement Procedure

The lead month is the anchor leg for settlements and is the contract expected to be the most active.

  • The volume-weighted average price (“VWAP”) of all trades executed in the full-sized futures contract on the trading floor and in the E-mini futures contract executed on CME Globex will be calculated for a the designated lead month contract from 15:14:30 – 15:15:00 Central Time (“CT”), the settlement period.  A multiplier of 5 will be applied to the quantities traded in the full-sized contract to reflect the 5 to 1 relationship between the full-sized and the E-mini contracts.
  • The combined VWAP for the designated lead month will be rounded to the nearest .10 index point.
Second month

When the lead month is the expiry month, then the second month is defined as the calendar month immediately following the lead month. When the lead month is not the expiry month, then the second month is defined as the first expiring non-lead month.

  • The second contract month will settle to the combined VWAPs of the lead month-second month spread using the same methodology as described above.
Back months

To derive settlements for all remaining contract months, the net change in the second contract month from the prior day’s settlement price will be applied to the remaining contracts months’ prior-day settlements.  The appropriate adjustments will be made to incorporated relevant market data including but not limited to, transactions, bids and offers in relevant outright and spread markets, or other market information deemed relevant by the Global Command Center.

End of Month Fair Value Procedure

http://www.cmegroup.com/trading/equity-index/fairvaluefaq.html

 

Final Settlement

The Final Settlement Price shall be a special quotation of the S&P 500 Index based on the opening prices of the component stocks in the index, determined on the third Friday of the contract month. If the S&P 500 Index is not scheduled to be published on the third Friday of the contract month, the Final Settlement Price shall be determined on the first earlier day for which the Index is scheduled to be published.

If the primary market for a component stock in the index does not open on the day scheduled for determination of the Final Settlement Price, then the price of that stock shall be determined, for the purposes of calculating the Final Settlement Price, based on the opening price of that stock on the next day that its primary market is open for trading.

If a component stock in the index does not trade on the day scheduled for determination of the Final Settlement Price while the primary market for that stock is open for trading, the price of that stock shall be determined, for the purposes of calculating the Final Settlement Price, based on the last sale price of that stock. However, if the Exchange determines that there is a reasonable likelihood that trading in the stock shall occur shortly, the Exchange may instruct that the price of stock shall be based, for the purposes of calculating the Final Settlement Price, on the opening price of the stock on the next day that it is traded on its primary market.  Factors to be considered in determining whether trading in the stock is likely to occur shortly shall include the nature of the event and recent liquidity levels in the affected stock.

Additional Details

For information regarding the SOQ, please see the following links:


If you have any questions, please call the CME Global Command Center.

Global Command Center (GCC)

Phone: 800 438 8616 (US)
Phone: 44 20 7623 4747 (Europe)
Phone: 65 6532 5010 (Asia)
Email: gcc@cmegroup.com

Note: In the event the aforementioned calculations described in this advisory cannot be made or if CME Group staff, in its sole discretion, determines that anomalous activity yields results that are not representative of the fair value of the contract, the staff may determine an alternative settlement price.


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