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Light Sweet Crude Oil (CL) Futures Daily Settlement Procedure
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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
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NYMEX E-mini Crude Oil Futures
Normal Daily Settlement
The settlements in the E-mini Crude Oil (QM) futures contracts are derived directly from the settlements of the regular sized Crude Oil (CL) futures contracts, rounded to the nearest tradable tick.
Settlement prices for the E-mini Crude Oil (QM) futures may differ slightly from the "true" settlement price displayed on the CME Daily Bulletin. These slight variances in settlements are the result of rounding due to differences in the minimum tick sizes between the E-mini contracts and the full-sized contracts. Additionally, the settlement price displayed on the Daily Bulletin matches that of the full-sized contracts for purposes of marking-to-market.
E-mini Crude Oil (QM) futures contracts are traded in 0.025 increments and the full-sized Light Sweet Crude Oil Futures in 0.01 increments.
Example
If the CLU3 settles 103.31, then the value of the QMU3 would settle 103.300.
Final Settlement Calculation for Expiring Contract
The final settlement price for the E-mini Crude Oil Futures contract will be equal to the Light Sweet Crude Oil Futures contract settlement for the corresponding contract month.
Additional Details
E-mini Crude Oil (QM) futures are cash settled upon expiration. For additional details, please see the NYMEX Rulebook (Chapter 401).
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