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http://www.cmegroup.com/rulebook/CME/II/150/152/152.pdf


CME Pork Cutout Futures Final Settlement Procedure

Pork Cutout (PRK) futures are cash settled. Please note that the settlement price determined on the last day of trading is only a temporary settlement price, and the contract will be cash settled based upon the CME Pork Cutout Index® price for the five–day period ending on the day on which trading terminates. The relevant index price is released one business day after trading in the expiring contract month terminates. For example, the index for the five-day period ending on Monday, December 14, 2020 was released on Tuesday, December 15, 2020.

Temporary Settlement Calculation for Expiring Contract

CME Group staff determines the settlement for the expiring Pork Cutout (PRK) future contract based on  trading activity on CME Globex between 11:58:30 and 12:00:00 Central Time (CT) – the last minute and a half of the contract’s life.


Tier 1:   The expiring contract’s temporary final settlement is its volume-weighted average price (VWAP) of all trades that occur between 11:58:30 and 12:00:00 CT on the day of expiration, rounded to the nearest tradable tick. If the VWAP is equidistant between two ticks, then it’s rounded to the nearest tradable tick that is closer to the prior-day’s settlement price.

Tier 2:   In the absence of any trade activity in the expiring contract between 11:58:30 and 12:00:00 CT, the bid price that is higher than the last trade or prior day’s settlement price, or the ask price that is lower than the last trade or prior day’s settlement price, from 11:58:30 and 12:00:00 CT, will determine the temporary final settlement price for that contract month.

Tier 3:   If there is no market activity, then the contract’s temporary final settlement will be its prior-day settlement price.

Final Settlement Details

For final settlement details, please see the CME Rulebook (Chapter 156):

https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/II/150/156.pdf


CME Live Cattle Futures Final Settlement Procedure

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