Lumber

Normal Daily Settlement Procedure

CME Group staff determines the daily settlements for Random Length Lumber (LBR) futures based on trading activity on CME Globex between 14:59:30 and 15:00:00 Central Time (CT), the settlement period.

Tier 1: Each contract month settles to its volume-weighted average price (VWAP) of all trades that occur between 14:59:30 and 15:00:00 CT, the settlement period, rounded to the nearest tradable tick. If the VWAP is exactly in the middle of two tradable ticks, then the settlement will be the tradable price that is closer to the contract’s prior day settlement price.

Tier 2: If no trades occur on CME Globex between 14:59:30 and 15:00:00 CT, the settlement period, then the last trade is used to determine the settlement price validated against the bid/ask.

Tier 3: In the absence of any trading activity or bid/ask in a given contract month during the current trading day, the daily settlement price will be determined by applying the net change from the preceding contract month to the given contract month’s prior daily settlement price validated against the bid/ask and adjusted to the bid or ask if necessary.

If you have any questions, please call the CME Global Command Center at 800.438.8616, in Europe at 44.800.898.013, or in Asia at 65.6532.5010.

Final Settlement Calculation for Expiring Contract

CME Group staff determines the final settlement price for the expiring Random Length Lumber (LBR) future contract based on trading activity on CME Globex between 12:03:30 and 12:05:00 Central Time (CT) – the settlement period for the expiring contract and the last 90 seconds of the contract’s life.

Tier 1: For the contract month, if a trade occurs between 12:03:30 and 12:05:00 CT, the settlement period, then the contract settles to the volume-weighted average price (VWAP) of the trade(s) between 12:03:30 and 12:05:00 CT, rounded to the nearest tradable tick. If the VWAP is exactly in the middle of two tradable ticks, then the settlement will be the tradable price that is closer to the contract’s prior day settlement price.

Tier 2: If no trades occur on CME Globex between 12:03:30 and 12:05:00 CT, the settlement period, 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 during the settlement period.

If the last trade price is outside of the bid/ask spread, then the contract settles to the nearest bid or ask price.
If the last trade price is within the bid/ask spread, or if a bid/ask spread is not available, then the contract settles to the last trade price.

Tier 3: In the absence of any trade activity or bid/ask in the expiring contract month during the current trading day, then the contract settles to the prior-day settlement price.

Additional Details

Random Length Lumber (LBR) futures are physically delivered upon expiration. For additional details, please see the CME Rulebook (Chapter 201):

http://www.cmegroup.com/rulebook/CME/II/200/201/201.pdf