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NY Harbor ULSD (HO) Futures Daily Settlement Procedure

Normal Daily Settlement Procedure

NYMEX NY Harbor ULSD (HO) futures are settled by CME Group staff based on trading activity on CME Globex during the settlement period. The settlement period is defined as: 14:28:00 to 14:30:00 ET for the Active Month and 14:28:00 to 14:30:00 ET for calendar spreads.

Active Month

The active month is the nearest of the contract months listed. The active month becomes a non-active month (the same day the Crude Oil rolls) effective two business days prior to the Crude Oil spot month expiration. 

Tier 1: If a trade(s) occurs on Globex between 14:28:00 and 14:30:00 ET, the active month settles to the volume-weighted average price (VWAP), rounded to the nearest tradable tick.

Tier 2: If there is no VWAP, then the last trade price is checked against the 14:30 ET 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 current 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.

All Other Months

All months other than the designated active month will settle per the following guidelines:

Tier 1:  All months other than the designated active month will settle based upon the VWAP of accumulated calendar spread transactions between 14:28:00 - 14:30:00 ET, the calendar spread settlement period.  These calendar spreads will be used in conjunction with settlements from any months where a settlement price has been determined to form a VWAP in in the contract month to be settled.  For examples please click here.      

Tier 2: In the absence of relevant calendar spread trades, bid/asks 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 month to be settled. These implied markets will be used to derive the best possible bid and the best possible ask. Provided the implied bid/ask spread is consistent with reasonability thresholds as determined by the Global Command Center (GCC), the contract will settle within the implied bid/ask spread. Note- Efforts will be made to honor relevant resting bids and asks, but VWAP trades will take precedence.

Tier 3: In the absence of an implied bid/ask that meets reasonability thresholds, the net change of the previous contract month will be applied to determine the contract month’s settlement price.

Final Settlement Calculation for Expiring Contract

On the day of expiration, the expiring month will settle based on the VWAP of the outright CME Globex trades executed between 14:00:00 and 14:30:00 ET. 

In the absence of outright or spread trades during this period, the settlement price will be the best bid or best ask in the expiring contract at 14:30:00 ET, whichever is closer to the last trade price. If there is not a bid/ask pair in the expiring contract at that time, the settlement price will be the best bid or ask implied by the bid/ask in the spread between the front (expiring) and second month contracts at 14:30:00 ET, whichever is closer to the last outright trade price in the front (expiring) contract. 

Only bids and asks that remain active through expiration at 14:30:00 ET will be considered in these calculations. In the event there is insufficient activity to make the aforementioned calculations, staff may rely on earlier data or other available market information to determine an appropriate settlement price.

Additional Details

NY Harbor ULSD (HO) futures are physically delivered upon expiration. For additional details on delivery, please see the NYMEX Rulebook (Chapter 150):

http://www.cmegroup.com/rulebook/NYMEX/1a/150.pdf

 

NYMEX E-mini Heating Oil Futures

Normal Daily Settlement

The settlements in the E-mini Heating Oil (QH) futures contracts are derived directly from the settlements of the regular sized Heating Oil (HO) futures contracts.

Example

If the HOU3 settles 2.9987, then the QHU3 would settle 2.9987.

Final Settlement

CME Group staff determines the settlement of the expiring E-mini Heating Oil (QH) contract by following the regular daily settlement procedure.

Additional Details

E-mini Heating Oil (QH) futures are cash settled upon expiration. For additional details, please see the NYMEX Rulebook (Chapter 404).

 

 

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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