Gold

Gold Futures 

Normal Daily Settlement Procedure

Gold futures (GC) are settled by CME Group staff based on trading activity on CME Globex during the settlement period. The settlement period is defined as: 13:29:00 to 13:30:00 ET for the active month and 13:15:00 to 13:30:00 ET for calendar spreads.

Active Month

The active month is the nearest of the contract months listed below that is not the spot month. The active month becomes a non-active month effective on its First Position Date.. 

Tier 1: If a trade(s) occurs on CME Globex between 13:29:00 and 13:30:00 ET, the active month settles to the volume-weighted average price (VWAP), rounded to the nearest tradable tick.

Tier 2: If there is no VWAP, then the last trade price is checked against the 13:30:00 ET bid/ask.

Tier 3: If there is no last trade price available, then the prior settle is checked against the current bid/ask.

All Other Months

All months other than the designated active month will settle per the following guidelines:

Tier 1:  All months other than the designated active month will settle based upon the VWAP of accumulated calendar spread transactions totaling 25 contracts or more between 13:15:00 - 13:30:00 ET, the calendar spread settlement period.  These calendar spreads will be used in conjunction with settlements from any months where a settlement price has been determined to form a VWAP in in the contract month to be settled.  For examples please click here.      

Tier 2: In the absence of relevant calendar spread trades, bid/asks in those calendar spreads will be used in conjunction with settlements from any months where a settlement price has been determined to form an implied market in the contract month to be settled. These implied markets will be used to derive the best possible bid and the best possible ask. Provided the implied bid/ask spread is consistent with reasonability thresholds as determined by the Global Command Center (GCC), the contract will settle within the implied bid/ask spread. Note- Efforts will be made to honor relevant resting bids and asks, but VWAP trades will take precedence.

Tier 3: In the absence of an implied bid/ask that meets reasonability thresholds, the net change of the previous contract month will be applied to determine the contract month’s settlement price.

Tier 4: In the absence of relevant CME Globex data, the GCC, in its sole discretion, may consider block trade information for the derivation of settlements. All block trade information must be emailed to COMEXSETTLES@cmegroup.com before the end of the settlement window (13:30:00 ET on typical trade dates) to be considered for inclusion.

Final Settlement Calculation for Expiring Contract

CME Group staff determines the settlement of the expiring Gold futures (GC) contract by following the regular daily settlement procedures for non-active months. The expiring contract, considered to be a non-active month, is settled based on relevant spread relationships on CME Globex as indicated in the All Other Months section.

Additional Details

Gold futures (GC) are physically delivered upon expiration. For additional details on delivery, please see the COMEX Rulebook (Chapter 113):

http://www.cmegroup.com/rulebook/COMEX/1a/113.pdf

E-mini Gold Futures

Normal Daily Settlement Procedure

The settlements in the E-mini Gold futures (QO) are derived directly from the settlements of the full-sized Gold futures (GC), rounded to the nearest tradable tick.

Settlement prices for the E-mini Gold futures (QO) may differ slightly from the "true" settlement price displayed on the CME Daily Bulletin. These slight variances in settlements are the result of rounding due to differences in the minimum tick sizes between the E-mini Gold futures and the full-sized contracts Gold futures (GC). Additionally, the settlement price displayed on the CME Group Daily Bulletin matches that of the full-sized contracts for purposes of marking-to-market, as the contracts are off-settable. The E-mini Gold futures (QO) outrights trade in .25 increments and the full-sized Gold futures (GC) outrights trade in .1 increments.

Example

If the GCZ2 settles 1772.1, then the QOZ2 would settle 1772.00.

The settlement procedure for the regular sized Gold contracts can be found at the following link:

http://www.cmegroup.com/trading/metals/files/daily-settlement-procedure-gold-futures.pdf

Additional Details

E-mini Gold futures (QO) are cash settled upon expiration. For additional details, please see the COMEX Rulebook (Rule 911.07).

Micro Gold Futures

Normal Daily Settlement Procedure

The settlements in the Micro Gold (MGC) Futures contracts are derived directly from the settlements of the regular sized Gold (GC) Futures contracts.

Example

If the GCZ2 settles 1772.1, then the MGCZ2 would settle 1772.00.

Final Settlement

CME Group staff determines the settlement of the expiring Micro Gold futures (MGC) by following the regular daily settlement procedure.

Gold Kilo Futures

Normal Daily Settlement Procedure

Active Month

The Gold Kilo futures (GCK) active month is settled by CME Group staff based on CME Globex activity between 13:29:00 and 13:30:00 (ET), the settlement period. The active month is the nearest base contract month that is not the current delivery month. The base months for Gold Kilo futures (GCK) will be the same as the Gold futures (GC), i.e., February, April, June, August and December.

Gold Kilo futures (GCK) active month roll schedule will coincide with the schedule for the Gold futures (GC):

Tier 1: If a trade(s) occurs on CME Globex between 13:29:00 and 13:30:00 ET, the settlement period, then the active contract month settles to the volume-weighted average price (VWAP), rounded to the nearest tradable tick.

Tier 2: In the absence of outright trades during the settlement window, the active month settles to the midpoint of the market at 13:30:00 ET – provided that there is a two-sided market (bid and ask).

Tier 3:  In the absence of a two-sided market at 13:30:00 ET, the last trade price (or prior settlement) in the active month is checked against any one-sided markets.

     a. If the last trade price (or prior settlement in the case of no trades during the trade date) is below an active bid at 13:30:00 ET, then the contract settles to that respective bid price. If the last trade price (or prior settlement in the case of no trades during the trade date) is above an active ask at 13:30:00 ET, then the contract settles to that respective ask price.

     b. If there are no active bids or asks at 13:30:00 ET, then the contract settles to the last trade price.

     c. If none of the above information is available, then the Gold Kilo futures (GCK) active month settles to its prior day settlement price.

All Other Months (non-active months)

CME Group staff, in conjunction with market participants, settles all other contract months based on relevant spread relationships on Globex and the trading floor. The greatest weight is given to spreads traded in larger volumes later in the trading day, either on the trading floor or on Globex.

In the absence of trading activity, settlements are determined using the bid/ask spreads actively represented either on the trading floor or on Globex. In the event that there is insufficient activity to make the above calculations, staff may rely on earlier data or other available market information to determine an appropriate settlement price.

Shanghai Gold Futures

Normal Daily Settlement Procedure

Shanghai Gold (USD) futures (SGU) and Shanghai Gold (CNH) futures (SGC) are settled by CME Group staff based on trading activity on CME Globex during the settlement period. The settlement period is defined as: 13:25:00 to 13:30:00 ET for the active month and 13:15:00 to 13:30:00 ET for calendar spreads.

Active Month

The active month is the nearest of the contract months listed below that is not the spot month. The active month becomes a non-active month effective on the last business day in the month prior to the active month.   

Tier 1: If a trade(s) occurs on CME Globex between 13:25:00 and 13:30:00 ET, the active month settles to the volume-weighted average price (VWAP), rounded to the nearest tradable tick.

Tier 2: If there is no VWAP, then the last trade price is checked against the 13:30:00 ET bid/ask.

1. If the last trade price is outside of the bid/ask spread, then the contract settles to the nearest bid or ask price.

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

Tier 3:  If there is no last trade price available, then the prior settle is checked against the current bid/ask.

1. If the prior settle is outside of the bid/ask spread, then the contract settles to the nearest bid or ask price.

2. If the prior settle is within the bid/ask spread or if a bid/ask is not available, then the contract settles to the prior settlement price.

All Other Months

All months other than the designated active month will settle per the following guidelines:

Tier 1:  All months other than the designated active month will settle based upon the VWAP of accumulated calendar spread transactions between 13:15:00 - 13:30:00 ET, the calendar spread settlement period.  These calendar spreads will be used in conjunction with settlements from any months where a settlement price has been determined to form a VWAP in in the contract month to be settled.  For examples please click here.         

Tier 2: In the absence of relevant calendar spread trades, bid/asks in those calendar spreads will be used in conjunction with settlements from any months where a settlement price has been determined to form an implied market in the contract month to be settled. These implied markets will be used to derive the best possible bid and the best possible ask. Provided the implied bid/ask spread is consistent with reasonability thresholds as determined by the Global Command Center (GCC), the contract will settle within the implied bid/ask spread. Note- Efforts will be made to honor relevant resting bids and asks, but VWAP trades will take precedence

Tier 3: In the absence of an implied bid/ask that meets reasonability thresholds, the net change of the previous contract month will be applied to determine the contract month’s settlement price.

Tier 4: In the absence of relevant CME Globex data, the GCC, in its sole discretion, may consider block trade information for the derivation of settlements. All block trade information must be emailed to COMEXSETTLES@cmegroup.com before the end of the settlement window (13:30:00 ET on typical trade dates) to be considered for inclusion.

Final Settlement Calculation for Expiring Contract

Shanghai Gold (USD) Futures (SGU)

SGE Gold Benchmark PM price (sourced from Bloomberg or Reuters)/USDCNH rate (sourced from EBS http://www.nexdata.com/indices/fx/ebs-cnh-benchmark/ ) at 3pm China time- (see examples below)*31.1035 rounded to nearest USD0.05.

Example:

(XAU9999FIX=SGEX/USDCNH)*31.1035

(315.12/6.87685)*31.1035=$1425.25 per gram

Shanghai Gold (CNH) Futures (SGC)

SGE Gold Benchmark PM price (sourced from Bloomberg or Reuters) rounded to the nearest CNH 0.01.

Example:

XAU9999FIX=SGEX

315.126 = 315.13 CNH per gram

Gold (Enhanced Delivery) Futures Daily Settlement Procedure

Normal Daily Settlement Procedure

COMEX Gold (Enhanced Delivery) futures (4GC) are settled by CME Group staff based on trading activity on CME Globex during the settlement period. The settlement period is defined as: 13:29:00 to 13:30:00 ET.

All Months

All Gold (Enhanced Delivery) futures (4GC) contracts will be settled based upon the bid/ask activity of both outright and spread markets on Globex between 13:29:00 and 13:30:00 ET.  Spreads to be considered in this manner are 1 month calendars, 2 month calendars, 3 month calendars, 6 month calendars, 1 month butterflies and the inter-commodity GC vs 4GC spreads.  Bids and asks in calendar spreads, butterfly instruments and inter-commodity GC vs 4GC spreads will be used in conjunction with settlements from any months where a settlement price has been determined to form an implied market in the contract to be settled. These implied markets, along with the outright bid/ask market for the contract, will be used to derive the best possible bid and the best possible ask. If there are multiple prices that are eligible between this best possible bid and the best possible ask, the price will be chosen that sets the net change as close to the net change of the contract that precedes it in the settlement order. 

Additional Details

Gold (Enhanced Delivery) Futures (4GC) futures are physically delivered upon expiration. For additional details on delivery, please see the COMEX Rulebook (Chapter 126):

https://www.cmegroup.com/content/dam/cmegroup/rulebook/COMEX/1a/126.pdf