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Tier 1: The lead month settles to the volume-weighted average price (VWAP) of the outright between 11:30:00 and 12:00:00 (ET), the settlement period, rounded to the nearest tradable tick. If the VWAP is equidistant between two ticks, then it’s rounded to the tick that is closer to the prior-day’s settlement price.
Tier 2: If there is no VWAP, then the last trade price is checked against the current bid/ask.
a. If the last trade price is outside of the bid/ask spread, then the contract settles to the nearest bid or ask price.
b. If 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.
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