Monthly Weather (CAT, CDD, HDD) Futures Daily Settlement Procedure
Normal Daily Settlement Methodology
Daily settlements for Monthly Futures contracts are calculated by CME Group staff according to the following methodology:
Tier 1: Trades on CME Globex
The baseline for the settlement is the price of the last trade that occurs on CME Globex as of the snapshot time, a randomly selected time between 15:00 and 15:15 Central Time (CT). The last trade must have at least 10 lots in order for its price to be used as the baseline. If a Globex trade and a Block trade both occur for a given instrument, then the more recent one is the baseline.
Adjusting the Baseline
If the baseline falls outside of the Globex market posted between 15:00 and 15:15 CT, then it is adjusted to either the bid or the ask, depending on the side of the market on which the trade falls. If a better bid or ask is posted on third party bulletins, the settlement price may also be adjusted to respect this bid or ask. However, third party information will never adjust the settlement outside of a posted Globex market.
Bids and asks of fewer than 50 contracts (from any source) may be discarded for settlement calculation purposes, and the next best bid or ask that meets that minimum may be used.
Tier 2: CME Globex Market Data
In the absence of trade information, the instrument settles to the mid-market price on Globex between 15:00 and 15:15 CT.
Tier 3: Absence of Market Data
In the absence of market data, a contract settles to the prior-day price. Monthly contracts may be adjusted to reflect price discovery in the strips of which they are a component. Options trades may also be considered for monthly futures contract settlement.
Within the Accumulation Period
The settlement may also be adjusted according to the contract’s position within the accumulation period. The accumulation period of each contract begins on the first calendar day of the contract month and ends on the last calendar day of the contract month.
A contract in the accumulation period may be adjusted to the actual daily accumulation of heating degrees plus the 10-year average of heating degrees for each of the days remaining of the period. The heating degrees for a given day are the total number of degrees that the average outside air temperature drops below the base temperature of 65°F (or 18°C for non-U.S. cities).