...
Example: Metals Futures Settlement
Contracts | Settlement Price | Derivation Logic |
|---|---|---|
December (Active) Contract | 1322.2 | VWAP of 4052 contracts of outright trade in the Dec (Active) contract. |
February Contract | 1325.9 | The Feb settlement was derived from the Dec (Active)-Feb spread trading 218 contracts at an average spread price of -3.7. Using the Dec (Active) settlement of 1322.2 - (-3.7) = Feb settlement of 1325.9 |
April Contract | 1329.4 | Since the April didn't trade as a part of a calendar during the 15 minute settlement window an implied bid/ask was created using all of the calendar spread markets where the April was the deferred leg. An implied market of 1329.3 bid/1329.4 offer was derived. That implied bid/ask was averaged and rounded to 1329.4. |
June Contract | 1332.8 | The June settlement was derived from the Feb-June spread trading 151 contracts at an average spread price of -6.9. Using the Feb settlement of 1325.9 - (-6.9) = June settlement 1332.8. And the Dec (Active) -June spread trading 117 contracts at an average spread price of -10.6. Using the Dec (Active) settlement of 1322.2 - (-10.6) = June settlement of 1332.8. Each of these June prices are VWAP'ed to derive a June settlement of 1332.8. |
August Contract | 1336.2 | The Aug settlement was derived from the Dec (Active) -Aug spread trading 30 contracts at an average spread price of -14.0. Using the Dec (Active) settlement 1322.2 - (-14.0) = Aug settlement of 1336.2 |
October Contract | 1339.7 | The Oct settlement was derived from the Dec (Active)-Oct spread trading 25 contracts at an average spread price of -17.5. Using the Dec (Active) settlement 1322.2 - (-17.5) = Oct settlement of 1339.7 |
December (Deferred) Contract | 1343.4 | The Dec (Deferred) settlement was derived from the Aug-Dec (Deferred) spread trading 75 contracts at an average spread price of -7.1. Using the Aug settlement of 1336.2 - (-7.1) = Dec (Deferred) settlement of 1343.30. The June-Dec (Deferred) spread trading 26 contracts at an average spread price of -10.6. Using the June settlement 1332.8 - (-10.6) = Dec (Deferred) settlement of 1343.4. The Dec (Active) -Dec (Deferred) spread trading 217 contracts at an average spread price of -21.2. Using the Dec (Active) settlement of 1322.2 - (-21.2) = Dec (Deferred) settlement of 1343.4. The three Dec (Deferred) settlements of 1343.3, 1343.4 and 1343.4 are VWAP-ed to a final Dec (Deferred) settlement of 1343.4 |