Pending all relevant regulatory review periods, effective Monday, October 28, 2013, Chicago Mercantile Exchange, Inc. (CME) will modify the manner in which daily settlement prices are determined in CME Standard & Poor’s 500 Stock Price Index™ futures and CME NASDAQ-100 Index® futures to incorporate activity from both the open outcry and electronic venues into the determination of the daily settlement prices.
In Special Executive Report S-6863 on October 3, 2013, the CME announced the postponement of the modification of daily settlement price methodology for CME Standard & Poor’s 500 Stock Price Index™ futures and CME NASDAQ-100 Index® futures. The modification in settlement price methodology was originally scheduled for Monday, October 7, 2013, as previously announced in S-6657, but was postponed due to the recent curtailment of CFTC regulatory review process.
Beginning Monday, October 28, 2013, daily settlement prices in S&P 500 futures and NASDAQ 100 futures will be determined pursuant to the following methodology:
- The volume-weighted average price (“VWAP”) of all trades executed in the full-sized futures contract on the trading floor and in the E-mini futures contract executed on CME Globex will be calculated for the designated lead month contract from 15:14:30 – 15:15:00 Central Time (“CT”). A multiplier of 5 will be applied to the quantities traded in the full-sized contract to reflect the 5 to 1 relationship between the full-sized and E-mini contracts.
- The combined VWAP for the designated lead month will be rounded to the nearest
0.10 index point.
- The second contract month will settle to the combined VWAPs of the lead month-second month spread using the same methodology as described above.
- To derive settlements for all remaining contract months, the net change in the second contract month from the prior day’s settlement price will be applied to the remaining contract months’ prior-day settlements, with appropriate adjustments made to incorporate relevant market data, including, but not limited to, transactions, bids and offers in relevant outright and spread markets, or other market information deemed relevant by the Global Command Center.
Questions regarding this Special Executive Report should be directed to the CME Global Command Center at 312.456.2391, in Europe at 44.207.623.4708, or in Asia at 65-6223-1357.
For media inquiries concerning this Special Executive Report, please contact CME Group Corporate Communications at 312.930.3434 or firstname.lastname@example.org.