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E-mini S&P SmallCap 600 Futures Daily Settlement Procedure
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Tier 3: If a two-sided market is not available on Globex during the closing period, then the cash index will be used in the following Carry calculation to derive a settlement price.
Index price + [(Days to expiration/ 365) x Interest rate x Index price)]
Second Month
When the lead month is the expiry month, then the second month is defined as the calendar month immediately following the lead month. When the lead month is not the expiry month, then the second month is defined as the first expiring non-lead month.
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Tier 2: If there are no spread trades on Globex between 14:59:30 and 15:00:00 CT, then the last spread trade price is applied to the lead month settle to derive the second month settle.
If the last spread trade is outside of the spread’s Bid/ Ask, then the bid or ask price that is closer to the last spread trade is applied to the lead month settle to derive the second month settle.
Tier 3: If there is no spread market information available on Globex, then the cash index will be used in the following Carry calculation to derive a settlement price
Index price + [(Days to expiration/ 365) x Interest rate x Index price)]
Back Months
To derive settlements for all remaining months, the following Carry calculation will be used to derive a settlement prices provided that this value does not violate the bid or ask between 14:59:30 and 15:00:00 CT for the respective outrights.
Index price + [(Days to expiration/ 365) x Interest rate x Index price)]
Note
The Index Price used in the Carry calculation in this methodology, for futures that settle at a different time than their underlying Cash Equity Index, will be a ‘Synthetic’ Index price. This ‘Synthetic’ price will be derived by taking the Lead month futures contract minus the Cash Index at the cash close to calculate a Basis. At the futures settlement time, the Lead Month settlement minus the Basis will equal the ‘Synthetic’ Index price. The Interest Rate component used in the Carry calculation in this methodology is derived by subtracting expected dividends from a normalized interest rate curve.
Final Settlement
The Final Settlement Price shall be a special quotation of the Standard & Poor’s SmallCap 600 Stock Price Index based on the opening prices of the component stocks in the index, determined on the third Friday of the contract month.
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If a component stock in the index does not trade on the day scheduled for determination of the Final Settlement Price while the primary market for that stock is open for trading, the price of that stock shall be determined, for the purposes of calculating the Final Settlement Price, based on the last sale price of that stock. However, if the Exchange determines that there is a reasonable likelihood that trading in the stock shall occur shortly, the Exchange may instruct that the price of stock shall be based, for the purposes of calculating the Final Settlement Price, on the opening price of the stock on the next day that it is traded on its primary market. Factors to be considered in determining whether trading in the stock is likely to occur shortly shall include the nature of the event and recent liquidity levels in the affected stock.
Additional Details
E-mini S&P SmallCap 600 Index (SMC) futures are cash settled upon expiration. For additional details, please see the CME Rulebook (Chapter 368).
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