Page tree

Versions Compared

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.

...

Normal Daily Settlement Procedure

CME Group staff determines the daily settlements for Bitcoin (BTC) futures based on trading activity on CME Globex between 14:59:00 and 15:00:00 Central Time (CT), the settlement period.

Lead Month

The lead month is the anchor leg for settlements and is the contract expected to be the most active.

...

To derive settlements for all remaining months, the following Carry calculation will be used to derive settlement prices provided that this value does not violate the bid or ask between 14:59:00 and 15:00:00 CT for the respective outrights and spreads.


Reference Rate + [(Days to expiration/ 365) x Interest rate x Reference Rate)]

...

To derive settlements for all remaining months, the following Carry calculation will be used to derive settlement prices provided that this value does not violate the bid or ask between 14:59:00 and 15:00:00 CT for the respective outrights and spreads.

 

Reference Rate + [(Days to expiration/ 365) x Interest rate x Reference Rate)]

...