Dairy Products

This page contains settlement information for the following Dairy Futures products:

Dairy Futures Daily Settlement Procedure

Normal Daily Settlement Procedure

Daily settlement of Class III Milk (DC), Class IV Milk (GDK), Nonfat Dry Milk (GNF), Dry Whey (DY), Cash-Settled Butter (CB), Cash-Settled Cheese (CSC) and Block Cheese (BLK) futures is determined by CME Group staff based on trading activity on CME Globex.

Tier 1:  If a trade(s) occurs on Globex between 13:09:30 and 13:10:00 Central Time (CT), the settlement period, then the contract settles to the volume-weighted average price (VWAP) of the trade(s) during this period.

Tier 2:  If no trades occur on Globex between 13:09:30 and 13:10:00 CT, then the most recent trade (or prior settle in the absence of a last trade price) is used. 

The contract settles to the last trade/prior settle assuming that it does not violate the low bid or high ask in the settlement period. If the low bid in the settlement period is higher than the last trade/prior settlement price, then the lead month settles to that bid. If the high ask in the settlement period is lower than the last trade/prior settle, then the lead month settles to that ask.

Temporary Settlement Calculation for Expiring Contract

CME Group staff determine the settlement for the expiring Dairy Futures contract based upon market activity on CME Globex between 12:08:30 and 12:10:00 Central Time (CT), the settlement period – the last minute and a half of the contract’s life.

Tier 1: If a trade occurs on Globex between 12:08:30 and 12:10:00 Central Time (CT), then the expiring contract settles to the volume-weighted average price (VWAP) of the trade(s) during this period.

Tier 2: If no trades occur on Globex between 12:08:30 and 12:10:00 CT, then the last trade (or prior settle in the absence of a last trade price) is used to determine whether to settle to the current bid or the current ask.

If the current bid is higher than the last trade/prior settlement price, then the contract settles to the bid. If the current ask is lower than the last trade/prior settle, then the contract settles to the ask. The contract settles to the last trade/prior settle if it is equal to or between the bid and the ask.

CME Class III Milk Futures

Final Settlement Details

For additional details, please see the CME Rulebook (Chapter 52).

CME Class IV Milk Futures

Final Settlement Details

For additional details, please see the CME Rulebook (Chapter 55).

CME Butter Futures

Final Settlement Details

For additional details, please see the CME Rulebook (Chapter 56).

CME Cheese Futures

Final Settlement Details

For additional details, please see the CME Rulebook (Chapter 60).

CME Dry Whey Futures

Final Settlement Details

For additional details, please see the CME Rulebook (Chapter 57).

CME Nonfat Dry Milk Futures

Final Settlement Details

For additional details, please see the CME Rulebook (Chapter 54).

CME Block Cheese Futures

Final Settlement Details

For additional details, please see the CME Rulebook (Chapter 61):

https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/II/50/61.pdf

Dairy Spot Call 

Normal Daily Settlement Procedure

The settlement of the following products is determined by CME Group staff based on CME Direct Auction activity:

• Butter Spot Call (AA)

• Cheese Spot Call Blocks (KB)

• Cheese Spot Call Barrels (RB)

• Nonfat Dry Milk Spot Call Grade A (NM)

Tier 1: The contract settles to the last trade price if the last trade price is within the current bid/ask.

Tier 2: If the last trade price is outside of the current bid/ask, the contract will settle to the current bid price that is higher than the last trade or the current ask price that is lower than the last trade.

Tier 3: If no trades occur, then the contract will settle to the prior day settlement price if the prior day settlement price is within the current bid/ask. If the prior day settlement price is outside of the current bid/ask, then the contract will settle to the current bid price that is higher than the prior day settlement price or the current ask price that is lower than the prior day settlement price. In the absence of any trades or current bid/asks, the contract will settle to the prior day settlement price.