With the integration of NYMEX and COMEX products into CME Clearing, clearing firms and customers, in defined circumstances, are now able to confirm an Exchange-computed average price when multiple prices are received on the execution of an order or a series of orders ("series averaging") during a single trading day for their energy and metals trades.
The Average Price System (APS) is the vehicle by which firms obtain the Exchange-generated average price and allocate trades (at the average price) to the carrying firm(s). Procedures and guidelines for average pricing are analogous for open outcry trades and CME Globex trades.
All futures, options and legs of combination transactions are eligible for APS (not available for TAS and variable contracts). An average price is computed by multiplying the price by the quantity executed at that price divided by the total quantity.
For example:
Futures - order for 100 Light Sweet Crude Oil (WTI) futures contracts
Executed Contracts – Quantity |
|
Price |
|
Actual Value |
20 |
X |
73.25 |
= |
1,465 |
40 |
X |
73.30 |
= |
2,932 |
40 |
X |
73.35 |
= |
2,934 |
100 |
|
|
|
$7,331 / 100 = 73.31 |
In the above example, the average price is 73.31.
Futures - order for 100 Gold futures contracts
Executed Contracts – Quantity |
|
Price |
|
Actual Value |
20 |
X |
1051.0 |
= |
21,020 |
40 |
X |
1050.0 |
= |
42,000 |
40 |
X |
1049.0 |
= |
41,960 |
100 |
|
|
|
$104,980 / 100 = 1049.80 |
In the above example, the average price is 1049.80.
 For more information on using the APS functionality in Front End Clearing (FEC), please contact your clearing firm or CME Clearing at (312) 207-2525 or ccs@cmegroup.com
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