Lumens
This topic describes the daily and final settlement procedures for Lumens futures.
CME Lumens Futures Daily Settlement Procedure
Normal Daily Settlement Procedure
CME Group determines the daily settlements for Lumens futures (XLM) based on CME Globex trading activity between 14:59:00 and 15:00:00 Central Time (CT), the settlement period.
Lead Month
The lead month is the anchor leg for settlements and the contract expected to be the most active.
Tier 1: If the lead month contract trades on CME Globex between 14:59:00 and 15:00:00 Central Time (CT), the settlement period, then the lead month settles to the Volume-Weighted Average Price (VWAP) of the trade(s) during this period.
Tier 2: If no trades in the lead month occur between 14:59:00 and 15:00:00 CT, the contract month settles to the midpoint of the Bid/Ask between 14:59:00 to 15:00:00 CT, the settlement period.
Tier 3: If a two sided market is not available on CME Globex during the closing period, the reference rate will be used in the following Carry calculation to derive a settlement price.
Reference Rate + [(Days to expiration/ 365) x Interest rate x Reference Rate)]
Second Month
When the lead month is the expiry month, the second month is defined as the calendar month immediately following the lead month. When the lead month is not the expiry month, the second month is defined as the first expiring non-lead month.
Tier 1: If the lead month-second month spread trades on CME Globex between 14:59:00 and 15:00:00 CT, the spread VWAP is calculated, rounded to the spread’s nearest tradable tick and then applied to the lead month settle to derive the second month settle.
Tier 2: If there are no spread trades on CME Globex between 14:59:00 and 15:00:00 CT, 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, 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 CME Globex, the reference rate will be used in the following Carry calculation to derive a settlement price.
Reference Rate + [(Days to expiration/ 365) x Interest rate x Reference Rate)]
CME Lumens Futures Final Settlement Procedure
https://www.cmegroup.com/rulebook/CME/IV/400/429.pdf
CME Micro Lumens Futures Daily Settlement Procedure
Normal Daily Settlement Procedure
The daily settlements in the Micro Lumens futures (MXL) contracts are derived directly from settlements in the XLM futures (XLM) contracts. Daily settlements derived from the XLM will be copied directly to the MXL for each contract listing.
CME Micro Lumens Futures Final Settlement Procedure
https://www.cmegroup.com/rulebook/CME/IV/400/430.pdf