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Normal Daily Settlement
CME Group staff determines the daily settlements in CBOT Oats (ZO) futures on trading activity on CME Globex between 13:14:00 and 13:15:00 Central Time (CT), the settlement period.
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Maximum Spread Bid/Ask
Final Settlement Price Calculation for Expiring Contract
CME Group staff determines the final settlement price of the expiring CBOT Oat (ZO) futures contract based on trading activity on CME Globex between 12:00:00 and 12:01:00 Central Time (CT), the settlement period, on the day of expiration.
Tier 1: If there is an outright trade during the settlement period (12:00:00-12:01:00 CT), then the final settlement is derived using a volume weighted average price (VWAP) of all trades executed during the settlement period.
Tier 2: If there are no outright trades in the expiring month, then the VWAP of the nearest spread (expiring and next consecutive month) between 12:00:00 and 12:01:00 CT, the settlement period, is used to derive a settlement in the expiring contract. The spread value that is calculated is applied to the last trade of the next consecutive month to settle the expiring contract accordingly.
Tier 3: If neither of the above scenarios applies, the settlement is based on the market (bid/ask) in the expiring and next consecutive month spread. The spread value is calculated using the midpoint of the bid/ask information, and is applied to the last trade of the consecutive month to settle the expiring contract accordingly.
Tier 4: If there are no outright trades, spread trades, or spread markets (bid/ask), then either a better bid or better ask will be considered.
Tier 5: If none of the above applies, then the previous day’s settlement is used.
CBOT Oat (ZO) futures are physically delivered upon expiration. For additional details on delivery, please see the CBOT Rulebook (Chapter 15):
If the lead month trades exclusively at its limit price or is locked limit during the closing period, and the contract settles at the limit price. In this event, the next listed contract that is not at limit will be used as the anchor price for determining the settlement prices of the other contracts; however, no contract will settle through its price limit and any contract that trades exclusively at its limit price or is locked limit during the closing period will settle at its limit price. When price limits are lifted on a spot month contract and the other months in that contract are locked limit, the spot month will settle based upon the outright activity in the spot month rather than on spread relationships.