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Once the settlement of the designated active month has been derived, all other months, beginning with the nearest month and proceeding in chronological order, will settle using a Volume Weighted Average Price (VWAP) of accumulated calendar spread transactions. Spread transactions must total 25 contracts or greater (for Gold and Silver) and have traded between 13:15:00 - 13:30:00 ET, the calendar spread settlement period.

Each month's settle will be derived using spread transactions in which the settling month is the deferred contract. For example, Dec17's settlement will take into account the spread trades occurring in Nov17-Dec17, Oct17-Dec17, and any other spreads in which Dec17 is the deferred month. A transaction in Dec17-Jan18 would not be used to settle Dec17.

Example:  Metals Futures Settlement

Contracts

Settlement Price

Derivation Logic

December (Active) Contract

1322.2

VWAP of 4052 contracts of outright trade in the Dec (Active) contract. 

February Contract

1325.9

The Feb settlement was derived from the Dec (Active)-Feb spread trading 218 contracts at an average spread price of -3.7.  Using the Dec (Active) settlement of 1322.2 - (-3.7) = Feb settlement of 1325.9

April Contract

1329.4

Since the April didn't trade as a part of a calendar during the 15 minute settlement window an implied bid/ask was created using all of the calendar spread markets where the April was the deferred leg. An implied market of  1329.3 bid/1329.4 offer was derived.  That implied bid/ask was averaged and rounded to 1329.4.

June Contract

1332.8

The June settlement was derived from the Feb-June spread trading 151 contracts at an average spread price of -6.9. Using the Feb settlement of 1325.9 - (-6.9) = June settlement 1332.8.  And the Dec (Active) -June spread trading 117 contracts at an average spread price of -10.6.  Using the Dec (Active) settlement of 1322.2 - (-10.6) = June settlement of 1332.8.  Each of these June prices are VWAP'ed to derive a June settlement of 1332.8.  

August Contract

1336.2

The Aug settlement was derived from the Dec (Active) -Aug spread trading 30 contracts at an average spread price of -14.0. Using the Dec (Active) settlement 1322.2 - (-14.0) = Aug settlement of 1336.2

October Contract

1339.7

The Oct settlement was derived from the Dec (Active)-Oct spread trading 25 contracts at an average spread price of -17.5. Using the Dec (Active) settlement 1322.2 - (-17.5) = Oct settlement of 1339.7

December (Deferred) Contract

1343.4

The Dec (Deferred) settlement was derived from the Aug-Dec (Deferred) spread trading 75 contracts at an average spread price of -7.1. Using the Aug settlement of 1336.2 - (-7.1) = Dec (Deferred) settlement of 1343.30. The June-Dec (Deferred) spread trading 26 contracts at an average spread price of -10.6.  Using the June settlement 1332.8 - (-10.6) = Dec (Deferred) settlement of 1343.4. The Dec (Active) -Dec (Deferred) spread trading 217 contracts at an average spread price of -21.2. Using the Dec (Active) settlement of 1322.2 - (-21.2) = Dec (Deferred) settlement of 1343.4. The three Dec (Deferred) settlements of 1343.3, 1343.4 and 1343.4 are VWAP-ed to a final Dec (Deferred) settlement of 1343.4