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E-mini Dow ($5) Futures
Normal Daily Settlement Procedure
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Index price + [(Days to expiration/ 365) x Interest rate x Index price)]
Second Second Month
When the lead month is the expiry month, then the second month is defined as the calendar month immediately following the lead month. When the lead month is not the expiry month, then the second month is defined as the first expiring non-lead month.
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Index price + [(Days to expiration/ 365) x Interest rate x Index price)]
Note
The Index Price used in the Carry calculation in this methodology, for futures that settle at a different time than their underlying Cash Equity Index, will be a ‘Synthetic’ Index price. This ‘Synthetic’ price will be derived by taking the Lead month futures contract minus the Cash Index at the cash close to calculate a Basis. At the futures settlement time, the Lead Month settlement minus the Basis will equal the ‘Synthetic’ Index price. The Interest Rate component used in the Carry calculation in this methodology is derived by subtracting expected dividends from a normalized interest rate curve.
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For information regarding the SOQ, please see the following links:
E-Mini Dow Jones ($5) (YM) futures are cash settled upon expiration. For additional details, please see the CBOT Rulebook (Chapter 27).
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Normal BTIC Daily Settlement Procedure
Daily settlements of the E-mini S&P 500 (EST), E-mini Nasdaq-100 (NQT), E-mini Russell 2000 (RLT) and E-mini DJIA (YMT) BTIC futures are determined by CME Group staff based on trading and market activity on CME Globex, up to 14:45:00 Central Time (CT)
All Months
If the contract trades on Globex between 14:15:00 and 14:45:00 CT, the settlement period, then that contract month settles to the volume-weighted average price (VWAP) of the trade(s) during this period.
If no trades occur on Globex between 14:15:00 and 14:45:00 CT, then the contract settles to the last traded price validated against the Globex bid/ask.
If there are no trades then the contract settles to the net change of the preceding contract applied to the prior day settlement validated against the Globex bid/ask.
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