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E-mini S&P SmallCap 600 Futures Daily Settlement Procedure
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To derive settlements for all remaining months, the preceding contract month's net change is applied to the next contract month's prior-day settlement, provided that this value does not violate the low bid or high ask between 14:59:30 and 15:00:00 CT for the respective outrights.
Final Settlement
The Final Settlement Price shall be a special quotation of the Standard & Poor’s SmallCap 600 Stock Price Index based on the opening prices of the component stocks in the index, determined on the third Friday of the contract month.
If the S&P SmallCap 600 Index is not scheduled to be published on the third Friday of the contract month, the Final Settlement Price shall be determined on the first earlier day for which the Index is scheduled to be published.
If the primary market for a component stock in the index does not open on the day scheduled for determination of the Final Settlement Price, then the price of that stock shall be determined, for the purposes of calculating the Final Settlement Price, based on the opening price of that stock on the next day that its primary market is open for trading.
If a component stock in the index does not trade on the day scheduled for determination of the Final Settlement Price while the primary market for that stock is open for trading, the price of that stock shall be determined, for the purposes of calculating the Final Settlement Price, based on the last sale price of that stock. However, if the Exchange determines that there is a reasonable likelihood that trading in the stock shall occur shortly, the Exchange may instruct that the price of stock shall be based, for the purposes of calculating the Final Settlement Price, on the opening price of the stock on the next day that it is traded on its primary market. Factors to be considered in determining whether trading in the stock is likely to occur shortly shall include the nature of the event and recent liquidity levels in the affected stock.
Additional Details
E-mini S&P SmallCap 600 Index (SMC) futures are cash settled upon expiration. For additional details, please see the CME Rulebook (Chapter 368).
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