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| Table of Contents |
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Regular Sized KC HRW Futures
Normal Daily Settlement
CME Group staff determines the daily settlements in Kansas City Hard Red Wheat (KE) futures on trading activity on CME Globex between 13:14:00 and 13:15:00 Central Time (CT), the settlement period.
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Lead MonthThe designated lead month* is settled according to the following procedure: Tier 1: The lead month settles to the volume-weighted average price (VWAP) of outright trades in the lead month between 13:14:00 and 13:15:00 Central Time CT, 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 are no outright trades in the lead month during the settlement period, then the last trade price is checked against the current bid/ask.
Tier 3: If there is no last trade price available, then the prior settle is checked against the current bid/ask.
Deferred MonthsDeferred contract months consist of all non-lead months and settle according to the following procedure: Tier 1: All months other than the designated lead month will settle based upon the VWAP of calendar spread transactions between 13:14:00 - 13:15:00 CT, the settlement period. Tier 2: In the absence of relevant calendar spread trades, bids and asks in those calendar spreads will be used in conjunction with settlements from any months where a settlement price has been determined to form an implied market in the contract month to be settled. These implied markets, along with the outright bid/ask market for the contract month, will be used to derive the best possible bid and the best possible ask. Provided that the implied bid/ask spread is consistent with reasonability thresholds for the product, as determined by the Global Command Center, the contract will settle at the midpoint of the implied bid/ask spread. Tier 3: In the absence of an implied best bid/best ask that meets reasonability thresholds, the net change of the previous contract month will be applied to determine the contract month’s settlement price. However, if a contract month is initially settled to the net change of the previous contract month and there are posted markets at 13:15:00 CT in one or more calendar spreads with that contract month as the nearby leg, then the settlement price will be adjusted on a subsequent iteration based upon the implied best bid/best ask of those calendar spreads, provided it is consistent with bid/ask reasonability thresholds. Tier 4: If the settlement price in a deferred contract month created by using the “net change” method described above violates a bid or an ask in a calendar spread or in the deferred contract month itself that could otherwise be honored, the settlement price for that deferred contract month will be adjusted to honor that bid or ask. If not all spread bids or asks can be honored in this way, precedence will be given to the tightest bid/ask markets.
|
Product | Maximum Spread Bid/Ask |
|---|---|
KC HRW Wheat (KE) | 20 Ticks |
Final Settlement Calculation for Expiring Contract
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Mini-Sized KC HRW Futures
Normal Daily Settlement
The settlement in the Mini-Sized KC HRW (MKC) futures contract is derived directly from the settlement in the regular-sized KC Wheat (KE) futures contract.
Example
If the KEN4 settles 790’2, then the settlement for the corresponding mini-sized contract, MKCN4, would also be 790’2.
Final Settlement
The final settlement in the Mini-Sized KC HRW Wheat (MKC) futures contract is derived directly from the final settlement in the regular-sized KC HRW Wheat (KE) futures contract.
Example
If the KEK4 settles 794’4, then the settlement for the corresponding mini-sized contract, MKCK4, would also be 794’4.
Additional Details
Mini-Sized KC HRW Wheat (MKC) futures are physically delivered upon expiration. For additional details on delivery, please see the CBOT Rulebook (Chapter 14N).
Limit Markets
If the lead month trades exclusively at its limit price or is locked limit during the closing period, and the contract settles at the limit price. In this event, the next listed contract that is not at limit will be used as the anchor price for determining the settlement prices of the other contracts; however, no contract will settle through its price limit and any contract that trades exclusively at its limit price or is locked limit during the closing period will settle at its limit price. When price limits are lifted on a spot month contract and the other months in that contract are locked limit, the spot month will settle based upon the outright activity in the spot month rather than on spread relationships.
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