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RBOB (RB) Futures Daily Settlement Procedure
Normal Daily Settlement Procedure
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1. If the last trade price is outside of the bid/ask spread, then the contract settles to the nearest bid or ask price.
2. If the last trade price is within the bid/ask spread or if a bid/ask is not available, then the contract settles to the last trade price.
Tier 3: If there is no last trade price available, then the prior settle is checked against the current bid/ask.
1. If the prior settle is outside of the bid/ask spread, then the contract settles to the nearest bid or ask price.
2. If the prior settle is within the bid/ask spread or if a bid/ask is not available, then the contract settles to the prior settlement price.
All Other Months
All months other than the designated active month will settle per the following guidelines:
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Tier 3: In the absence of an implied bid/ask that meets reasonability thresholds, the net change of the previous contract month will be applied to determine the contract month’s settlement price.
Final Settlement Calculation for Expiring Contract
On the day of expiration, the expiring month will settle based on the VWAP of the outright CME Globex trades executed between 14:00:00 and 14:30:00 ET.
In the absence of outright or spread trades during this period, the settlement price will be the best bid or best ask in the expiring contract at 14:30:00 ET, whichever is closer to the last trade price. If there is not a bid/ask pair in the expiring contract at that time, the settlement price will be the best bid or ask implied by the bid/ask in the spread between the front (expiring) and second month contracts at 14:30:00 ET, whichever is closer to the last outright trade price in the front (expiring) contract.
Only bids and asks that remain active through expiration at 14:30:00 ET will be considered in these calculations. In the event there is insufficient activity to make the aforementioned calculations, staff may rely on earlier data or other available market information to determine an appropriate settlement price.
Additional Details
NY Harbor ULSD (HO) futures are physically delivered upon expiration. For additional details on delivery, please see the NYMEX Rulebook (Chapter 191):
http://www.cmegroup.com/rulebook/NYMEX/1a/191.pdf
NYMEX E-Mini RBOB Gasoline
Normal Daily Settlement Procedure
The settlements in the E-mini RBOB Gasoline (QU) futures contracts are derived directly from the settlements of the regular sized RBOB Gasoline (RB) futures contracts.
Example
If the RBQ3 settles 3.0214, then the QUQ3 would settle 3.0214.
Final Settlement Procedure
CME Group staff determines the settlement of the expiring E-mini RBOB Gasoline (QU) contract by following the regular daily settlement procedure.
Additional Details
E-mini RBOB Gasoline (QU) futures are cash settled upon expiration. For additional details, please see the NYMEX Rulebook (Chapter 403).
NYMEX RBOB Gasoline Bullet Futures
Normal Daily Settlement Procedure
The settlements in the RBOB Gasoline Bullet (RT) futures contracts are derived directly from the settlements of the RBOB Gasoline Physical (RB) futures contracts.
Example
If the RBQ3 settles 3.0214, then the RTQ3 would settle 3.0214.
Final Settlement Procedure
CME Group staff determines the settlement of the expiring RBOB Gasoline Bullet (RT) futures contract by following the regular daily settlement procedure.
Additional Details
RBOB Gasoline Bullet (RT) futures are futures are cash settled upon expiration. For additional details, please see the NYMEX Rulebook (Chapter 555).
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