07/29/2002
With respect to all contract months not settled by weighted average, this settlement rule has provided that no settlement price shall be established that would be lower than the best bid, or higher than the best offer for a specified number of contracts for that commodity that had been posted with the Exchange and remained available for execution and unfilled for the final 30 minutes of trading.
Under the amendments, which are attached below, this timeframe is now reduced to 15 minutes.
Rule 6.52. SETTLEMENT PRICES FOR CRUDE OIL, HEATING OIL AND GASOLINE FUTURES CONTRACTS (PILOT PROGRAM)
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(B) In all other delivery months for such futures contracts, the settlement price shall be determined based upon spread relationships between and among contract months, which relationships shall be determined in the judgement of the Settlement Price Committee with: (a) greatest weight given to spreads executed late in the trading day in large volumes, and (b) lesser weight given to (i) spreads traded in lesser volumes, (ii) spread bids and offers actively represented late in the trading day, and (iii) spread transactions, bids and offers from earlier in the trading day, provided that, in any circumstance where the Committee is considering bids and offers for spreads, it shall consider the mid-point of the best bid and best offer and not the individual best bid or best offer; provided, however, that in the event of a "price spike in the closing range" in any contract month satisfying the open interest and volume criteria set forth in paragraph (A), the Settlement Price Committee may disregard the settlement price for such contract month in considering spread relationships pursuant to this paragraph. For the purpose of this rule, a "price spike in the closing range" shall have occurred if, in the sole discretion of the Settlement Price Committee, a significant change in the spread relationships between the potentially "spiked month" and the contract months immediately preceding and following such month occurred during the closing range. Notwithstanding the foregoing, no settlement price shall be established that would be lower than the best bid, or higher than the best offer that: (a) was for at least 100 contracts for crude oil futures contracts or for at least 50 contracts for heating oil or gasoline futures contracts, and (b) had been posted with the Exchange and remained available for execution and unfilled for the final 30 fifteen (15) minutes of trading.