Weather

CME Weather Futures Heating Degree Day (HDD), Cooling Degree Day (CDD), Cumulative Average Temperature (CAT) Monthly and Seasonal Strip Settlement Methodology.

1 Normal Daily Settlement Procedure
- 1.1 Pricing Methodology for Contracts In *Forecasting Period
- 1.2 Pricing Methodology for Contracts Outside *Forecasting Period

Normal Daily Settlement Procedure

Pricing Methodology for Contracts In *Forecasting Period

Tier 1: Contract settles to all relevant market activity that occurs prior to 15:00 CT.

Tier 2: In the absence of trade info, the 1D movement for the corresponding month of Speedwell will be applied to determine the contract month’s settlement price.

Pricing Methodology for Contracts Outside *Forecasting Period

Tier 1: Contract settles to all relevant market activity that occurs prior to 15:00 CT.

Tier 2: In the absence of CME market activity info, the instrument will be adjusted using all available market data.

Tier 3: In the absence of trade and market data, the instrument will settle to prior day.

*Forecasting Period Definition: A contract is in forecasting period starting from 15 calendar days prior to the first calendar day of the contract month, to the last calendar day of the contract month.

For example, Oct 22 contract is in the forecasting period starting from 09/16 to 10/30.

Strip products will always equal the sum of the associated individual monthly contracts.

Final Settlement

Please reference Weather rule book chapters.

If you have any questions, please contact the CME Global Command Center.

In the event the aforementioned calculations described in this advisory cannot be made or if CME Group staff, in its sole discretion, determines that anomalous activity yields results that are not representative of the fair value of the contract, the staff may determine an alternative settlement price.