The new daily settlement price determination schedule will be effective on Monday, October 26, 2020.
The daily settlement price determination time for the following products will be changed from 4:15 p.m. ET/3:15 p.m. CT to 4:00 p.m. ET/3:00 p.m. CT:
Please note other CME Group Equity Index products not listed above already have their daily settlement price determination set at 4:00 p.m. ET/3:00 p.m. CT. Effectively, all CME Group Equity Index products will have identical timing for daily settlement price determination following the change.
1:00 p.m. ET/12:00 noon CT
No. Following the change, daily settlement price determination will occur at 4:00 p.m. ET/3:00 p.m. CT (1:00 p.m. ET/12 noon CT on shortened trading days) every day.
The change is being made to harmonize the daily valuation time of CME listed Equity derivatives to the cash equity market and minimize the valuation mismatches due to the current 15-minute time difference.
There is no change in valuation methodology. The same methodology currently in place for 4:00 p.m. ET/3:00 p.m. CT settlement determination on the last business day of the month will be used every day. It is primarily based on the volume weighted average price of transactions occurring within the 30-second period leading up to 4:00 p.m. ET/3:00 p.m. CT. For full details, please consult the CME Group settlement information page: https://www.cmegroup.com/confluence/display/EPICSANDBOX/Equity+Indices
Yes. At 4:00 p.m. ET/3:00 p.m. CT, CME Group will publish the S&P settlement and tag it as Settle Type = Actual. This price will appear on all market data vendors, CME Group website, our ftp and the daily bulletin per usual.
No. Trading hours remain unchanged. For example, E-mini S&P 500 index futures will continue to trade from 6:00 p.m. ET/5:00 p.m. CT on the previous day to 5:00 p.m. ET/4:00 p.m. CT, with a 15-minute pause between 4:15 p.m. ET/3:15 p.m. CT and 4:30 p.m. ET/3:30 p.m. CT on normal trading days. Please consult contract specifications for each product for more detail, if necessary.
The timing for any post-trade processing, including clearing information availability, remains unchanged.
The procedure remains unchanged. Currently there are two types of options on index futures – they are either (a) American style options that expiries on the same day as the expiration of the underlying futures – in which case the daily settlement time change is irrelevant as the auto exercise will be determined at the expiration of the futures, or (b) European style options that are auto-exercised based on the moneyness against a fixing at a pre-defined time, usually 4pm ET/3pm CT for options on futures based on US indexes. The timing for these fixing calculation will remain unchanged. As a result, this change in daily settlement time will have no impact on the exercise and assignment procedure.
Both the futures daily settlement price and the fixing price calculation use a 30-second volume weighted average price of the futures trades during the same 30-second period leading up to 4pm ET/3pm ET. However, the fixing price is rounded to a higher precision (0.01) than the futures daily settlement price (depending on the product, e.g. for E-mini S&P 500 / S&P 500 futures, 0.10).
Note, however, that in the cases when the nearest expiring futures is no longer the “lead month”, the fixing for the purpose of determining the exercise and assignment of European Style options will still be calculated using the traded prices of the nearest expiring futures, while the daily settlement price may be derived by using the settlement price of the lead month contract and the calendar spread pricing. As a result, the two prices could be noticeably different beyond rounding during that period of time.
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