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30-Day Fed Fund Futures

Normal Daily Settlement Procedure

CME Group staff determines the daily settlement of 30-Day Fed Fund (ZQ) futures based on the market activity on CME Globex.

Front 12 Contracts

The first 12 contract months (ZQ) settle based upon the bid/ask activity of both outright and spread markets on Globex between 13:59:00 and 14:00:00 CT. An optimization routine is run to find a set of prices that will fall within the bid offer market in outright contracts and certain spreads.  Spreads to be considered in this manner are 1 month calendars, 2 month calendars, 3 month calendars, 6 month calendars, and 1 month butterflies.  In all cases, the solution that accommodates the most spread bids and asks will be chosen.

Remaining 24 Contracts

The remaining 24 deferred monthly contracts will be settled using bids and asks in calendar spreads and butterfly instruments in conjunction with settlements from any months where a settlement price has been determined to form an implied market in the contract to be settled. These implied markets, along with the outright bid/ask market for the contract, will be used to derive the best possible bid and the best possible ask. If there are multiple prices that are eligible between this best possible bid and the best possible ask, the price will be chosen that sets the net change as close to the net change of the contract that precedes it in the settlement order

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.