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CME Livestock Futures include the following:

Livestock Futures

CME Group staff determines the daily settlements for Feeder Cattle (GF), Lean Hogs (HE), and Live Cattle (LE) futures based on trading activity on CME Globex between 12:59:30 and 13:00:00 Central Time (CT), the settlement period.

Normal Daily Settlement Procedure  

Tier 1:   Each contract month settles to its volume-weighted average price (VWAP) of all trades that occur between 12:59:30 and 13:00:00 CT, the settlement period, rounded to the nearest tradable tick.  If the VWAP is exactly in the middle of two tradable ticks, then the settlement will be the tradable price that is closer to the contract’s prior day settlement price.

Tier 2:   If no trades occur on CME Globex between 12:59:30 and 13:00:00 CT, the settlement period, then the last trade (or the contract’s settlement price from the previous day in the absence of a last trade price) is used to determine whether to settle to the low bid or the high ask during this period.

  1. If the last trade price is outside of the bid/ask spread, then the contract month settles to the nearest bid or ask price.
  2. If the last trade price is within the bid/ask spread, or if a bid/ask spread is not available, then the contract month settles to the last trade price.

Tier 3:   In the absence of any trade activity or bid/ask in a given contract month during the current trading day, the daily settlement price will be determined by applying the net change from the preceding contract month to the given contract month’s prior daily settlement price.

CME Feeder Cattle Futures Final Settlement Procedure

Feeder Cattle (GF) futures are cash settled. Please note that the settlement price determined on the last day of trading is only a temporary settlement price, and the contract will be cash settled based upon the CME Feeder Cattle Index™ price for the seven calendar days ending on the day on which trading terminates. The index price is released one business day after trading in the expiring contract month terminates. For example, the index for the seven calendar days ending on Thursday, May 21, 2015 was released on Friday, May 22, 2015.

Temporary Settlement Calculation for Expiring Contract

CME Group staff determines the temporary settlement for the expiring Feeder Cattle (GF) futures contract based on trading activity on CME Globex between 11:58:30 and 12:00:00 Central Time (CT) – the last minute and a half of the contract’s life.


Tier 1:   The expiring contract’s temporary final settlement is its volume-weighted average price (VWAP) of all trades that occur between 11:58:30 and 12:00:00 CT on the day of expiration, rounded to the nearest tradable tick. If the VWAP is equidistant between two ticks, then it’s rounded to the nearest tradable tick that is closer to the prior-day’s settlement price.

Tier 2:   In the absence of any trade activity in the expiring contract between 11:58:30 and 12:00:00 CT, the bid price that is higher than the last trade or prior day’s settlement price, or the ask price that is lower than the last trade or prior day’s settlement price, from 11:58:30 and 12:00:00 CT will determine the temporary final settlement price for that contract month.

Tier 3:   If there is no market activity, then the contract settles to the prior-day settlement price.

Final Settlement Details

For additional details, please see the CME Rulebook (Chapter 102):

http://www.cmegroup.com/rulebook/CME/II/100/102/102.pdf

CME Lean Hog Futures Final Settlement Procedure

Lean Hog (HE) futures are cash settled. Please note that the settlement price determined on the last day of trading is only a temporary settlement price, and the contract will be cash settled based upon the CME Lean Hog Index® price for the two–day period ending on the day on which trading terminates. The relevant index price is released two business days after trading in the expiring contract month terminates. For example, the index for the two-day period ending on Friday, June 12, 2015 was released on Tuesday, June 16, 2015.

Temporary Settlement Calculation for Expiring Contract

CME Group staff determines the settlement for the expiring Lean Hog (HE) future contract based on  trading activity on CME Globex between 11:58:30 and 12:00:00 Central Time (CT) – the last minute and a half of the contract’s life.

Tier 1:   The expiring contract’s temporary final settlement is its volume-weighted average price (VWAP) of all trades that occur between 11:58:30 and 12:00:00 CT on the day of expiration, rounded to the nearest tradable tick. If the VWAP is equidistant between two ticks, then it’s rounded to the nearest tradable tick that is closer to the prior-day’s settlement price.

Tier 2:   In the absence of any trade activity in the expiring contract between 11:58:30 and 12:00:00 CT, the bid price that is higher than the last trade or prior day’s settlement price, or the ask price that is lower than the last trade or prior day’s settlement price, from 11:58:30 and 12:00:00 CT, will determine the temporary final settlement price for that contract month.

Tier 3:   If there is no market activity, then the contract’s temporary final settlement will be its prior-day settlement price.

Final Settlement Details

For final settlement details, please see the CME Rulebook (Chapter 152):

http://www.cmegroup.com/rulebook/CME/II/150/152/152.pdf

 

CME Live Cattle Futures Final Settlement Procedure

Final Settlement Calculation for Expiring Contract  

CME Group staff determines the settlement for the expiring Live Cattle (LE) futures contract based on  trading activity on CME Globex between 11:58:30 and 12:00:00 Central Time (CT) – the last minute and a half of the contract’s life.

Tier 1:  The expiring contract settles to its volume-weighted average price (VWAP) of all trades that occur between 11:58:30 and 12:00:00 CT on the day of expiration, rounded to the nearest tradable tick. If the VWAP is equidistant between two ticks, then it’s rounded to the nearest tradable tick that is closer to the prior-day’s settlement price.

Tier 2:  In the absence of any trade activity in the expiring contract between 11:58:30 and 12:00:00 CT, the bid price that is higher than the last trade or prior day’s settlement price, or the ask price that is lower than the last trade or prior day’s settlement price, from 11:58:30 and 12:00:00 CT, will determine the temporary final settlement price for that contract month.

Tier 3:  If there is no market activity, then the contract’s temporary final settlement will be its  prior-day settlement price.

Final Settlement Details

For final settlement details, please see the CME Rulebook (Chapter 101):

http://www.cmegroup.com/rulebook/CME/II/100/101/101.pdf

 

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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