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Normal Daily Settlement Procedure

CME Group staff determines the daily settlements in the NASDAQ-100 Implied Volatility Index Futures (VLQ) based on Globex trading activity between 14:59:30 and 15:00:00 Central Time (CT), the settlement period.

Lead Month

The designated lead month* is settled according to the following procedure:

Tier 1:   The lead month settles to the volume-weighted average price (VWAP) of the outright between 14:59:30 and 15:00:00 Central Time (CT), the settlement period, rounded to the nearest tradable tick. If the VWAP is equidistant between two ticks, then it’s rounded to the tick that is closer to the prior-day’s settlement price.

Tier 2:   If there is no VWAP, then the last trade price is checked against the bid/ask.

  1. If the last trade price is outside of the bid/ask spread, then the contract 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 is not available, then the contract settles to the last trade price

Tier 3:   If there is no last trade price available, then the prior settle is checked against the bid/ask.

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

Deferred Months

Deferred contract months consist of all non-lead months and settle according to the following procedure:

Tier 1:  All months other than the designated lead month will settle based upon the VWAP of calendar spread transactions executed on Globex from 14:59:30 - 15:00:00 CT.

Tier 2:  In the absence of relevant calendar spread trades, bids and offers in those calendar spreads will be used 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. Provided that implied bid/ask spread is consistent with reasonability thresholds for the product, as determined by the Global Command Center, the contract will settle at the midpoint of the implied bid/ask spread.

Tier 3:  In the absence of an implied best bid/best ask that meets reasonability thresholds, the net change of the previous contract month will be applied to determine the contract’s settlement price. However, if a contract is initially settled to the net change of the previous month and there are posted markets at 15:00:00 CT in one or more calendar spreads with that contract as the nearby leg, then the settlement price will be adjusted on a subsequent iteration based upon the implied best bid/best ask of those calendar spreads, provided it is consistent with bid/ask reasonability thresholds. 

Tier 4:  If the settlement price in a deferred month created by using the “net change” method described above violates a bid or an offer in a calendar spread or in the deferred month itself that could otherwise be honored, the settlement price for that deferred month will be adjusted to honor that bid or offer. If not all spread bids or offers can be honored in this way, precedence will be given to the tightest bid/ask markets.

*The designated lead month will roll to the next listed contract two business days prior to the expiration of the first listed contract. 

Final Settlement Procedures

The Final Settlement Price shall be the NASDAQ-100 Volatility Index Final Settlement Price Index to be determined by the Nasdaq Stock Market Inc. (“Nasdaq”).  

On the day of final settlement price determination, the final settlement value will be available under ticker symbol VOLS Index on Bloomberg, or .VOLS on Reuters. This final settlement price is also available at https://indexes.nasdaqomx.com/Index/History/VOLS with daily price history . Please note that this value is produced daily, however only the value on settlement date is relevant for determining settlement value. For example, if settlement date is the 21st of the month, the value produced on the morning of the 21st is the relevant value for settlement.


For further final settlement details please see the CME Rulebook (Chapter 379).


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.

 



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