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Daily settlements of the CME Equity Index futures E-mini Nasdaq 100 (NQ), Micro E-mini Nasdaq (MNQ), E-mini Dow (YM), Micro E-mini Dow (MYM), E-mini Russell 2000 (RTY), Micro E-mini Russell 2000 (M2K), Nikkei Yen (NIY), Nikkei Dollar (NKD), E-mini Nikkei Yen (ENY) and TOPIX (TPY) are determined by CME Group staff based on trading and market activity on CME Globex.  These include:  RTY, NQ, TPY, YM, NIY, NK and ENY Daily settlement of the Micro contracts are equal to the settlement price of their associated Mini contracts.

Lead Month

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

Tier 1:   If the lead month contract trades on Globex between 15between 14:1459:30 and 15and 15:1500:00 Central 00 Central Time (CT), the settlement period, then the lead month settles to the volume-weighted average price (VWAP) of the trade(s) during this period.

Tier 2:   If no trades in the lead month occur on Globex between 15between 14:1459:30 and 15and 15:1500:00 CT00 CT, then the contract month settles to the midpoint of the Bid/Ask between 15between 14:1459:30 and 15and 15:1500:00 CT, the settlement period.

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Tier 1:   If the lead month-second month spread trades on Globex between 15between 14:1459:30 and 15and 15:1500:00 CT, then the spread VWAP is calculated, rounded to the spread’s nearest tradable tick and then applied to the lead month settle to derive the second month settle.

Tier 2:   If there are no spread trades on Globex between 15between 14:1459:30 and 15and 15:1500:00 CT, then the last spread trade price is applied to the lead month settle to derive the second month settle.

If the last spread trade is outside of the spread’s Bid/ Ask, then the bid or ask price that is closer to the last spread trade is applied to the lead month settle to derive the second month settle. 

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To derive settlements for all remaining months, the following Carry calculation will be used to derive a settlement prices provided that this value does not violate the bid or ask between 15between 14:1459:30 and 15and 15:1500:00 CT for the respective outrights.

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The Index Price used in the Carry calculation in this methodology, for futures that settle at a different time than their underlying Cash Equity Index, will be a ‘Synthetic’ Index price.  This ‘Synthetic’ price will be derived by taking the Lead month futures contract minus the Cash Index at the cash close to calculate a Basis.  At the futures settlement time, the Lead Month settlement minus the Basis will equal the ‘Synthetic’ Index price.  The Interest Rate component used in the Carry calculation in this methodology is derived by subtracting expected dividends from a normalized interest rate curve. 


End of Month Fair Value Procedure 

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