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Orders for TAS (Trade at Settlement) products are executed at the current day’s settlement price for the standard contract or at a valid price increment above or below the settlement price of the standard contract.

Example
For Cotton futures (TT), the minimum price fluctuation is .01 cents per pound. A trader may enter an order for Cotton TAS (TC) a price of 0 (which means the trader wants to trade at the TT settlement price), or at +1 or +2 (which would mean that the trader wants to trade at the TT settlement price plus one or two minimum price increments (settlement price plus .01 or plus .02), or at -1 or -2 (settlement price minus .01 or minus .02).  

TAS Calendar Spreads

The pricing of the legs of a TAS calendar spread is calculated as follows:
  • The legs of TAS spread trades executed on CME Globex at zero or at a negative differential will be priced as follows:
    • If the spread trades at zero, each leg will be priced at the settlement price for the respective contract months.
    • If the spread trades at a negative differential:
      • the nearby leg of the spread will be priced at the settlement price for that contract month.
      • the far leg of the spread will be priced at the settlement price for that contract month minus the allowable TAS price increment traded (negative 1 through negative 10).
  • The legs of TAS spread trades executed on CME Globex at a positive differential will be priced as follows:
    • The far leg of the spread will be priced at the settlement price for that contract month.
    • The nearby leg of the spread will be priced at the settlement price for that contract month plus the TAS price increment traded.


Example 1
A February 2015/March 2015 (G/H) Light Sweet Crude Oil calendar spread trades at TAS -1 (minus 1). Assume the February contract settles at 101.31 and the March contract settles at 101.52.

The February leg will be priced at the February settlement price of 101.31. The March leg will be priced at 101.53, which is the March settlement price of 101.52 minus the TAS price increment of -1 (101.52 minus -.01 = 101.53).

Example 2
A March 2015/April 2015 (H/J) Henry Hub Natural Gas calendar spread trades at TAS +3. Assume the March contract settles at 3.050 and the April contract settles at 3.115.
 
The April leg will be priced at the April settlement price of 3.115. The March leg will be priced at 3.053, which is the March settlement price of 3.050 plus the TAS price increment of +3 (3.050 plus +.003 = 3.053).

 

TAS orders can be accepted through the Convenience Gateways or Market Segment Gateways (MSGWs).

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