CME Ether-Dollar Futures Daily Settlement Procedure

Normal Daily Settlement Procedure

CME Group staff determines the daily settlements for Ether (ETH) futures based on trading activity on CME Globex 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 is the contract expected to be the most active.

Tier 1:  If the lead month contract trades on 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, then 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 Globex during the closing period, then 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, 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.

Tier 1:   If the lead month-second month spread trades on Globex between 14:59:00 and 15:00:00 CT, then 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 Globex between 14:59:00 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 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)]

Back Months

To derive settlements for all remaining months, the following Carry calculation will be used to derive settlement prices provided that this value does not violate the bid or ask between 14:59:00 and 15:00:00 CT for the respective outrights and spreads. 

Reference Rate + [(Days to expiration/ 365) x Interest rate x Reference Rate)]

CME Ether Final Settlement Procedure

https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/III/300/349.pdf

CME Micro Ether Final Settlement Procedure 

https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/III/300/347.pdf

CME Euro Denominated Ether Futures Daily Settlement Procedure

Normal Daily Settlement Procedure

CME Group staff determines the daily settlements for Euro Denominated Ether (ETE) futures based on trading activity on CME Globex 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 is the contract expected to be the most active.

Tier 1:  If the lead month contract trades on 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, then 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 Globex during the closing period, then 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, 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.

Tier 1:   If the lead month-second month spread trades on Globex between 14:59:00 and 15:00:00 CT, then 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 Globex between 14:59:00 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 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)]

Back Months

To derive settlements for all remaining months, the following Carry calculation will be used to derive settlement prices provided that this value does not violate the bid or ask between 14:59:00 and 15:00:00 CT for the respective outrights and spreads.

Reference Rate + [(Days to expiration/ 365) x Interest rate x Reference Rate)]

Final Settlement Procedure

https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/IV/400/449.pdf