Normal Daily Settlement Procedure
CME Group staff determines the daily settlements for Random Length Lumber (LBR) futures based on trading activity on CME Globex between 14between 14:59:30 and 1530 and 15:00:00 Central 00 Central Time (CT), the settlement period.
Tier 1: Each contract month settles to its volume-weighted average price (VWAP) of all trades that occur between 14between 14:59:30 and 1530 and 15:00:00 CT00 CT, the settlement period, rounded to the nearest tradable tick. If the VWAP is exactly in the middle of two tradable ticks, then the settlement will be the tradable price that is closer to the contract’s prior day settlement price.
Tier 2: If no trades occur on CME Globex between 14between 14:59:30 and 1530 and 15:00:00 CT00 CT, the settlement period, then the last trade is used to determine the settlement price validated against the bid/ask.
Tier 3: In In the absence of any trading activity or bid/ask in a given contract month during the current trading day, the daily settlement price will be determined by applying the net change from the preceding contract month to the given contract month’s prior daily settlement price validated against the bid/ask and adjusted to the bid or ask if necessary.
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Tier 2: If no trades occur on CME Globex between 12:03:30 and 12:05:00 CT, the settlement period, then the last trade (or prior settle in the absence of a last trade price) is used to determine whether to settle to the current bid or the current ask during the settlement period.
If the last trade price is outside of the bid/ask spread, then the contract settles to the nearest bid or ask price.
If the last trade price is within the bid/ask spread, or if a bid/ask spread is not available, then the contract settles to the last trade price.
Tier 3: In the absence of any trade activity or bid/ask in the expiring contract month during the current trading day, then the contract settles to the prior-day settlement price.
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