Amendments to Methodology Applied to Last Business Day of the Month Settlement for CME and CBOT U.S. Stock Index Futures Contracts

Effective on Tuesday, September 2, 2014, and pending all relevant CFTC regulatory review periods, The Chicago Mercantile Exchange Inc. (CME) and The Board of Trade of the City of Chicago, Inc. (CBOT), (collectively the “Exchanges”), will amend the methodology applied to end of month settlement price calculations for all U.S. Stock Index futures contracts on the last business day of the month only.

The Exchanges will change the methodology used to determine month-end settlement prices for U.S. equity index futures to a Fixing Price methodology.

• Month-end settlement prices will be the same value currently calculated as the daily 3:00 p.m. “Fixing Price” for U.S. equity index futures.
• Fixing Prices are based on CME Globex trading activity in the respective contracts between 2:59:30 p.m. and 3:00:00 pm CT.
• For products that have both a standard sized and E-mini contract futures contract, the E-mini futures contract will determine the Fixing Price for both products.  For the Dow Jones Industrial Average Index futures, the E-mini ($5 multiplier) futures will determine the fixing price for all three futures contracts.
• The Fixing Price methodology will consist of three tiers:
  • Tier 1:  The Fixing Price will be equal to the Volume Weighted Average Price (VWAP) of the designated lead month futures contract.  For the purposes of this calculation, the designated lead month is always the contract month closest to expiration until the Monday prior to expiration, when the designated lead month becomes the second contract month.
  • Tier 2:  If no transactions occur from 2:59:30 to 3:00:00 p.m., the Fixing Price shall be the average of the midpoints of each bid/ask spread in the designated lead month futures contract during that thirty (30) second interval; however, bid/ask spread pairs wider than two (2) ticks, shall not be included in the calculation to determine the Reference Price.
  • Tier 3:  If the Fixing Price cannot be determined pursuant to Tiers 1 and 2 above, the fixing price will be calculated by applying the net change of the underlying index to the prior day’s Fixing Price value.

The Exchanges make U.S. Stock Index futures fixing prices available shortly after 3:00 p.m. CT on its website:

 http://www.cmegroup.com/trading/fixing-price.html?tabs=20

Please note that this change will affect neither the daily settlement price methodology currently in place nor the final settlement price methodology (Special Opening Quotation).

Also, the daily and final settlement price methodology for non-U.S. Stock Index Futures will not be impacted.

The CME and CBOT U.S. Stock Index futures contracts that will be affected by this change include the following:

1. Standard and Poor’s  500 Stock Price Index Futures (CME Rulebook Chapter 351)
2. E-mini Standard and Poor’s Stock Price Index Futures (CME Rulebook Chapter 358)
3. Standard and Poor’s MidCap 400 Stock Price Index Futures (CME Rulebook Chapter 353)
4. E-mini Standard and Poor’s MidCap 400 Stock Price Index Futures (CME Rulebook Chapter 362)
5. S&P SmallCap 600 Index Futures (CME Rulebook Chapter 380)
6. E-mini S&P SmallCap 600 Index Futures (CME Rulebook Chapter 368)
7. S&P 500/Value Index Futures (CME Rulebook Chapter 356)
8. S&P 500/Growth Index Futures  (CME Rulebook Chapter 355)
9. S&P Master Limited Partnership Futures (CME Rulebook Chapter 375)
10. NASDAQ 100 Index Futures (CME Rulebook Chapter 357)
11. E-mini NASDAQ 100 Index Futures (CME Rulebook Chapter 359)
12. E-mini NASDAQ Composite Index Futures (CME Rulebook Chapter 377)
13. E-mini NASDAQ Biotechnology Index Futures (CME Rulebook Chapter 360 )
14. CBOT E-mini Dow Jones Industrial Average Index Futures (CBOT Rulebook Chapter 27)
15. CBOT Dow Jones Industrial Average Index ($10) Futures (CBOT Rulebook Chapter 26)
16. CBOT Dow Jones Industrial Average Index ($25) Futures (CBOT Rulebook Chapter 28)
17. CBOT Dow Jones U.S. Real Estate Index Futures (CBOT Rulebook Chapter 30)
18. E-mini Consumer Discretionary Select Sector Futures  (CME Rulebook Chapter 369)
19. E-mini Consumer Staples Select Sector Futures (CME Rulebook Chapter 369)
20. E-mini Energy Select Sector Futures (CME Rulebook Chapter 369)
21. E-mini Financial Select Sector Futures (CME Rulebook Chapter 369)
22. E-mini Health Care Select Sector Futures (CME Rulebook Chapter 369)
23. E-mini Industrials Select Sector Futures (CME Rulebook Chapter 369)
24. E-mini Materials Select Sector Futures  (CME Rulebook Chapter 369)
25. E-mini Technology Select Sector Futures  (CME Rulebook Chapter 369)
26. E-mini Utilities Select Sector Futures  (CME Rulebook Chapter 369)