Page tree
Skip to end of metadata
Go to start of metadata

You are viewing an old version of this page. View the current version.

Compare with Current View Page History

« Previous Version 20 Next »

Regular Sized NYMEX RBOB Gasoline

The first six contract months in NYMEX RBOB Gasoline futures (RB) are settled by CME Group staff based on trading activity on CME Globex between 14:28:00 and 14:30:00 Eastern Time (ET), the settlement period.

Normal Daily Settlement Procedure

Front Month

The front month settles to the volume-weighted average price (VWAP) of all trades in the outright contract that are executed between 14:28:00 and 14:30:00 ET, the settlement period, rounded to the nearest tradable tick. The procedure changes for the front month’s last two days of trading. Please see the end of this document for further details.

Second Month

The second month settles to the price implied from the VWAP of all trades executed in the front month second month spread between 14:28:00 and 14:30:00 ET, the settlement period, using the front month settlement as the anchor price. To use the spread VWAP, this spread must satisfy the product’s respective minimum volume threshold:

Product

Second Month Minimum Volume Threshold

RBOB Gasoline

50 contracts

In the event that the spread does not satisfy the minimum volume threshold, the second month’s settlement price is derived from the price implied from the midpoint of the spread between the front and second months, using the front month settlement as the anchor price.

Third through sixth contract months

The third through sixth months are settled in chronological order according to the following procedure:

Tier 1:   Settlement is based on prices implied from the VWAPs of the contract’s one-month (e.g. July/August) and two-month (e.g. June/August) spreads, provided that the nearer leg already has a settlement price and that the minimum volume thresholds for the spreads have been met. The minimum volume thresholds for spreads used to settle NYMEX energy futures vary according to the product and month being settled:

Product

Months 3-4 Minimum Volume Threshold

Months 5-6 Minimum Volume Threshold

RBOB Gasoline

25 contracts

One contract

Using the implied prices weighting formula below, an 85% weighting factor is applied to the price implied from the one-month spread, and a 15% weighting factor is applied to the price implied from the two-month spread. If either the one-month spread or the two-month spread does not trade during the two-minute window but the volume in the other spread meets the threshold, then the settlement price will be implied by the VWAP of the spread that traded.

Implied prices weighting formula

P = implied price

W = Weighting factor

V = Volume

Tier 1:   If the combined volume of the spreads does not meet the volume threshold, then the midpoint of the best bids/asks in the relevant one-month and two-month spreads at 14:30:00 ET are used to imply prices for the contract.

The settlement price for that contract will be derived using the implied prices weighting formula (below).

Settlement price weighted average formula:

P = Implied price

W = Weighting factor

Contracts beyond six months

The far back months are settled by CME Group staff in conjunction with market participants based on relevant spread relationships. The greatest weight is given to spreads executed in large volumes late in the trading day.

In the absence of trading activity, spread bids and asks on Globex late in the trading day are used to determine settlements.

Wherever possible, no settlement price will be established that lies outside of an unfilled bid or ask available for execution during the final 15 minutes of trading if the volume of the spreads is 200 or more for Crude, 100 or more for Natural Gas, and 50 or more for Heating Oil and RBOB Gasoline.

Only bids and asks that remain active through expiration at 14:30:00 ET will be considered in these calculations. In the event there is insufficient activity to make the aforementioned calculations, staff may rely on earlier data or other available market information to determine an appropriate settlement price.

Settlement on Last Two Trading Days of the Front Month

On the day before the front month contract expires, the front and second months settle to the VWAP of the outright CME Globex trades executed between 14:28:00 and 14:30:00 ET, the settlement period,  rounded to the nearest tradable tick. The next five months will settle based on the same procedures mentioned above.

On the day of expiration, the front (expiring) month will settle based on the VWAP of the outright CME Globex trades executed between 14:00:00 and 14:30:00 ET, and the second month will settle based on the VWAP of the outright CME Globex trades executed between 14:28:00 and 14:30:00 ET. The next five months will settle based on the same procedures mentioned above.

In the absence of outright or spread trades during this period, the settlement price will be the best bid or best ask in the expiring contract at 14:30:00 ET, whichever is closer to the last trade price. If there is not a bid/ask pair in the expiring contract at that time, the settlement price will be the best bid or ask implied by the bid/ask in the spread between the front (expiring) and second month contracts at 14:30:00 ET, whichever is closer to the last outright trade price in the front (expiring) contract. 

Only bids and asks that remain active through expiration at 14:30:00 ET will be considered in these calculations. In the event there is insufficient activity to make the aforementioned calculations, staff may rely on earlier data or other available market information to determine an appropriate settlement price.

 

*Pending Regulatory Approval the Settlement Methodology will follow the logic detailed below beginning November 6, 2017

New RBOB (RB) Futures Daily Settlement Procedure

Normal Daily Settlement Procedure

NYMEX RBOB Gasoline (RB) futures are settled by CME Group staff based on trading activity on CME Globex during the settlement period. The settlement period is defined as: 14:28:00 to 14:30:00 ET for the Active Month and 14:28:00 to 14:30:00 ET for calendar spreads.

Active Month

The active month is the nearest of the contract months listed. The active month becomes a non-active month (the same day Crude Oil rolls) effective two business days prior to the Crude Oil Spot Month expiration.

Tier 1: If a trade(s) occurs on Globex between 14:28:00 and 14:30:00 ET, the active month settles to the volume-weighted average price (VWAP), rounded to the nearest tradable tick.

Tier 2: If there is no VWAP, then the last trade price is checked against the 14:30 ET bid/ask.

1. If the last trade price is outside of the bid/ask spread, then the contract settles to the nearest bid or ask price.

2. If the last trade price is within the bid/ask spread or if a bid/ask is not available, then the contract settles to the last trade price.

Tier 3: If there is no last trade price available, then the prior settle is checked against the current bid/ask.

1. If the prior settle is outside of the bid/ask spread, then the contract settles to the nearest bid or ask price.

2. If the prior settle is within the bid/ask spread or if a bid/ask is not available, then the contract settles to the prior settlement price.

All Other Months

All months other than the designated active month will settle per the following guidelines:

Tier 1:  All months other than the designated active month will settle based upon the VWAP of accumulated calendar spread transactions between 14:28:00 - 14:30:00 ET, the calendar spread settlement period.  These calendar spreads will be used in conjunction with settlements from any months where a settlement price has been determined to form a VWAP in in the contract month to be settled.  For examples please click here.      

Tier 2: In the absence of relevant calendar spread trades, bid/asks in those calendar spreads will be used in conjunction with settlements from any months where a settlement price has been determined to form an implied market in the contract month to be settled. These implied markets will be used to derive the best possible bid and the best possible ask. Provided the implied bid/ask spread is consistent with reasonability thresholds as determined by the Global Command Center (GCC), the contract will settle within the implied bid/ask spread. Note- Efforts will be made to honor relevant resting bids and asks, but VWAP trades will take precedence.                                                                                                     

Tier 3: In the absence of an implied bid/ask that meets reasonability thresholds, the net change of the previous contract month will be applied to determine the contract month’s settlement price.

Final Settlement Calculation for Expiring Contract

On the day of expiration, the expiring month will settle based on the VWAP of the outright CME Globex trades executed between 14:00:00 and 14:30:00 ET. 

In the absence of outright or spread trades during this period, the settlement price will be the best bid or best ask in the expiring contract at 14:30:00 ET, whichever is closer to the last trade price. If there is not a bid/ask pair in the expiring contract at that time, the settlement price will be the best bid or ask implied by the bid/ask in the spread between the front (expiring) and second month contracts at 14:30:00 ET, whichever is closer to the last outright trade price in the front (expiring) contract. 

Only bids and asks that remain active through expiration at 14:30:00 ET will be considered in these calculations. In the event there is insufficient activity to make the aforementioned calculations, staff may rely on earlier data or other available market information to determine an appropriate settlement price.

Additional Details

RBOB Gasoline (RB) futures are physically delivered upon expiration. For additional details on delivery, please see the NYMEX Rulebook (Chapter 191):

http://www.cmegroup.com/rulebook/NYMEX/1a/191.pdf



NYMEX E-Mini RBOB Gasoline

Normal Daily Settlement Procedure

The settlements in the E-mini RBOB Gasoline (QU) futures contracts are derived directly from the settlements of the regular sized RBOB Gasoline (RB) futures contracts.

Example

If the RBQ3 settles 3.0214, then the QUQ3 would settle 3.0214.

Final Settlement Procedure

CME Group staff determines the settlement of the expiring E-mini RBOB Gasoline (QU) contract by following the regular daily settlement procedure.

Additional Details

E-mini RBOB Gasoline (QU) futures are cash settled upon expiration. For additional details, please see the NYMEX Rulebook (Chapter 403).

NYMEX RBOB Gasoline Bullet Futures

Normal Daily Settlement Procedure

The settlements in the RBOB Gasoline Bullet (RT) futures contracts are derived directly from the settlements of the RBOB Gasoline Physical (RB) futures contracts.

Example

If the RBQ3 settles 3.0214, then the RTQ3 would settle 3.0214.

Final Settlement Procedure

CME Group staff determines the settlement of the expiring RBOB Gasoline Bullet (RT) futures contract by following the regular daily settlement procedure.

Additional Details

RBOB Gasoline Bullet (RT) futures are cash settled upon expiration. For additional details, please see the NYMEX Rulebook (Chapter 555).


If you have any questions, please call the CME Global Command Center.


Note: In the event the aforementioned calculations described in this advisory cannot be made or if CME Group staff, in its sole discretion, determines that anomalous activity yields results that are not representative of the fair value of the contract, the staff may determine an alternative settlement price.


  • No labels