CME Weather Futures Heating Degree Day (HDD), Cooling Degree Day (CDD), Cumulative Average Temperature (CAT) Monthly and Seasonal Strip Settlement Methodology.
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Normal Daily Settlement Procedure
Pricing Methodology for Contracts In *Forecasting Period
Tier 1: Contract Contract settles to all relevant market activity that occurs prior to 15:00 CT.
Tier 2: In In the absence of trade info, the 1D movement for the corresponding month of Speedwell will be applied to determine the contract month’s settlement price.
Pricing Methodology for Contracts Outside *Forecasting Period
Tier 1: Contract Contract settles to all relevant market activity that occurs prior to 15:00 CT.
Tier 2: In In the absence of CME market activity info, the instrument will be adjusted using all available market data.
Tier 3: In In the absence of trade and market data, the instrument will settle to prior day.
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For example, Oct 22 contract is in the forecasting period starting from 09/16 to 10/30.
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Strip products will always equal the sum of the associated individual monthly contracts. |
Final Settlement
Please reference Weather rule book chapters.
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