Tier 1:   If the lead month contract is transacted on CME Globex or CME ClearPort during the Settlement Period, then the lead month settles to the volume-weighted average price (“VWAP”) of those transactions.

Tier 2:   If no transactions in the lead month occur on CME Globex during the Settlement Period, the most recent transaction (or prior settle in the absence of a last trade price) is used.

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

Tier 3:  If there is no CME Globex bid or offer to validate the prior settle against, then a midpoint of broker submitted information will be used as the settlement.

Tier 1:   If the lead month-second month spread transacts on CME Globex or CME ClearPort during the Settlement Period, then the spread VWAP is calculated and rounded to the spread’s nearest tradable tick. The spread differential is then applied to the lead month settlement price to derive the second month settlement, which is rounded to the outright’s nearest tradable tick.

Tier 2:   If a VWAP is not available due to an absence of trades, then the most recent spread trade is applied to the lead month settlement price to derive the second month settlement, which is rounded to the outright’s nearest tradable tick.

If there are no trades in the lead month-second month calendar spread, then the prior-day spread relationship is used to derive the second month settlement.

In either of the above scenarios, if the derived spread differential in the lead month-second month spread is below the current bid in the settlement period in that spread, then the spread settles to that bid. If the calculated spread differential in the lead month-second month spread is higher than the current ask in the settlement period in that spread, then the spread settles to that ask. Additionally, if the derived second month settlement violates the current bid or the current ask in the outright market for the second month during the settlement period, then, the settlement will be adjusted to the nearest current bid or the current ask accordingly – provided the resulting price does not violate the current bid / current ask in the spread.

Tier 3:  If there is no CME Globex bid or offer to validate the prior settle against, then a midpoint of broker submitted information will be used as the settlement.

Tier 1: To derive settlements for all remaining months, the second chronological month’s net change from its prior-day settlement is applied to the back month contracts’ prior-day settlements, provided that this value does not violate the current bid or current ask during the Settlement Period either the respective outrights or the consecutive-month calendar spreads.

Tier 2:  If there is no CME Globex bid or offer to validate the prior settle against, then a midpoint of broker submitted information will be used as the settlement.

*Lead month designations are used by CME Group to define both the anchor leg for settlements and for circuit breaker event triggers. Lead month designations are determined by CME Group according to the first chronological contract’s expiration day. The lead month will be the first chronological contract until 1 day prior to the contract’s expirations. These dates are all detailed in the TBA calendar tab located on the cmegroup.com page associated with each futures contract. 

**Current bid/ask designates the bid/ask from CME Globex that is present at the end of the Settlement Period (i.e., the bid/ask that is active at 14:00:00 CT).