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This page describes:

CME Bitcoin Futures Daily Settlement Procedure

Normal Daily Settlement Procedure

CME Group staff determines the daily settlements for Bitcoin futures based on trading activity on CME Globex between 14:59:00 and 15:00:00 Central Time, the settlement period.

Tier 1: Trades on CME Globex 

All contract months settle to the volume-weighted average price (VWAP) of outright trades between 14:59:00 and 15:00:00 Central Time, the settlement period, rounded to the nearest tradable tick. If the VWAP is equidistant between two ticks it will be rounded towards the prior day settlement price.

Tier 2: CME Globex Market Data 

In the absence of trades during the settlement period, the contract month settles to the midpoint of the Bid/Ask between 14:59:00 and 15:00:00 Central Time, the settlement period.

Tier 3: Absence of Two Sided Markets

If there are no two-sided markets available during the settlement period in the Lead* 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 Bid/Ask if one side is present.  Deferred months will settle to the net change of the previous month, adjusted to the Bid/Ask if one side is present.   

*The Lead month is the contract expected to be the most active.

Final Settlement Procedure

Delivery is by cash settlement by reference to the Final Settlement Price, equal to the CME CF Bitcoin Reference Rate (BRR) on the Last Day of Trading.

 

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


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.