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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.
End of Month Fair Value Procedure
http://www.cmegroup.com/trading/equity-index/fairvaluefaq.html
Normal BTIC Daily Settlement Procedure
Daily settlements of the E-mini S&P 500 (EST), E-mini Nasdaq-100 (NQT), E-mini Russell 2000 (RLT) and E-mini DJIA (YMT) BTIC Russell 1000 Index (R1T) futures are determined by CME Group staff based on trading and market activity on CME Globex, up to 1415:4500:00 Central Time (CT)
All Months
Tier 1: If the lead month contract trades on Globex between 14:59:30 and 15:00
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:00 CT, the settlement period, then
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the month settles to the volume-weighted average price (VWAP) of the trade(s) during this period.
Tier 2: If no trades occur on Globex between 14:59:30 and 15:00
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:00 CT, then the contract settles to the last traded price validated against
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Low Bid/High Ask during the closing range.
Tier 3: If there are no trades then the contract settles
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to the prior day settlement validated against
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Low Bid/High Ask during the closing range.
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