Soybean Oil

This page describes daily settlements and final settlements for Regular Sized Soybean Oil Futures, Micro Soybean Oil Futures, and Soybean Oilshare Futures.

Regular Sized Soybean Oil Futures

Normal Daily Settlement

CME Group staff determines the daily settlements in CBOT Soybean Oil (ZL) futures based on trading activity on CME Globex between 13:14:00 and 13:15:00 Central Time (CT), the settlement period.

Final Settlement Price Calculation for Expiring Contract

CME Group staff determines the final settlement price of the expiring CBOT Soybean Oil (ZL) futures contract based on trading activity on CME Globex between 12:00:00 and 12:01:00 Central Time (CT), the settlement period, on the day of expiration.

Tier 1:  If there is an outright trade during the settlement period (12:00:00-12:01:00 CT), then the final settlement is derived using a volume weighted average price (VWAP) of all trades executed during the settlement period.

Tier 2:  If there are no outright trades in the expiring month, then the VWAP of the nearest spread (expiring and next consecutive month) between 12:00:00 and 12:01:00 CT, the settlement period, is used to derive a settlement in the expiring contract. The spread value that is calculated is applied to the last trade of the next consecutive month to settle the expiring contract accordingly.     

Tier 3:  If neither of the above scenarios applies, the settlement is based on the market (bid/ask) in the expiring and next consecutive month spread. The spread value is calculated using the midpoint of the bid/ask information, and is applied to the last trade of the consecutive month to settle the expiring contract accordingly.

Tier 4:  If there are no outright trades, spread trades, or spread markets (bid/ask), then either a better bid or better ask will be considered.

Tier 5:  If none of the above applies, then the previous day’s settlement is used.

Additional Details

CBOT Soybean Oil (ZL) futures are physically delivered upon expiration. For additional details on delivery, please see the CBOT Rulebook (Chapter 12):

http://www.cmegroup.com/rulebook/CBOT/II/12/12.pdf

Micro Soybean Oil Futures

Normal Daily Settlement Procedure

The settlements in the Micro Grain futures, Corn (MZC), Soybean (MZS), Wheat (MZW), Soybean Oil (MZL) and Soybean Meal (MZM) are derived directly from the settlements of the full-sized Grain futures rounded to their respective nearest tradable tick. Settlement prices for the Micro Grain futures may differ slightly from the "true" settlement price displayed on the CME Group Daily Bulletin. These slight variances in settlements are the result of rounding due to differences in the minimum tick sizes between the Micro Grain futures and the full-sized Grain futures contracts. Additionally, the settlement price displayed on the CME Group Daily Bulletin matches that of the full-sized contracts for purposes of marking-to-market and for the contracts final settlement.

Final Settlement Procedure

The Micro Grain futures final settlements will follow the daily settlement procedure.

Limit Markets

If the lead month trades exclusively at its limit price or is locked limit during the closing period, and the contract settles at the limit price. In this event, the next listed contract that is not at limit will be used as the anchor price for determining the settlement prices of the other contracts; however, no contract will settle through its price limit and any contract that trades exclusively at its limit price or is locked limit during the closing period will settle at its limit price. When price limits are lifted on a spot month contract and the other months in that contract are locked limit, the spot month will settle based upon the outright activity in the spot month rather than on spread relationships.

Soybean Oilshare Futures Daily Settlement Procedure

Normal Daily Settlement Procedure

CME Group staff uses Soybean Oil and Soybean Meal futures daily settlement prices to determine each Soybean Oilshare Futures (OSF) contract daily settlement price using the following calculation:

(BO * 0.11)/((BO * 0.11) + (SM * 0.022)) * 100