London Spot Silver

Normal Daily Settlement Procedure

London Spot Silver futures (SSP) settlement is derived from the Silver futures (SI) active month settlement minus the Inter-Commodity Spread [Silver futures (SI) (active month) vs. London Spot Silver futures (SSP)] settlement.  The settlement methodology of these components is as follows:   

The Silver futures (SI) active month is settled by CME Group staff based on trading activity on CME Globex between 13:24:00 and 13:25:00 (ET), the settlement period. The active month is the nearest base contract month that is not the current delivery month. The base months for Silver futures (SI) are March, May, July, September and December (active month futures roll schedule below).

Tier 1:  If a trade occurs on CME Globex between 13:24:00 and 13:25:00 ET, the settlement period, then the active month settles to the volume-weighted average price (VWAP), rounded to the nearest $0.001 per troy ounce.

Tier 2:  In the absence of outright trades during the settlement window, the active month settles to the midpoint of the market at 13:25:00 ET – provided that there is a two-sided market (both a bid and ask). 

Tier 3:  In the absence of a two-sided market at 13:25:00 ET, the last trade price (or prior settlement) in the active month is checked against any one-sided markets.

1. If the last trade price (or prior settlement in the case of no trades during the trade date) is below an active bid at 13:25:00 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 13:25:00 ET, then the contract settles to that respective ask price.

2. If there are no active bids or asks at 13:25:00 ET, then the contract settles to the last trade price (or prior settlement in the case of no trades during the trade date).

The Inter-Commodity Spread [Silver futures (SI) (active month) vs. London Spot Silver futures (SSP)] is settled by CME Group staff based on trading activity on CME Globex between 13:24:00 and 13:25:00 (ET), the settlement period.

Tier 1:   If a trade(s) occurs on CME Globex between 13:24:00 and 13:25:00 ET, the settlement period, then the Inter-Commodity spread settles to the VWAP, rounded to the nearest tradable tick.

Tier 2:   In the absence of outright trades during the settlement window, the Inter-Commodity spread settles to the midpoint of the market at 13:25:00 ET – provided that there is a two-sided market (both a bid and ask).

Tier 3:   In the absence of outright trades during the settlement window, the Inter-Commodity spread settles to the midpoint of the market at 13:25:00 ET – provided that there is a two-sided market (both a bid and ask).

1. If the last trade price (or prior settlement in the case of no trades during the trade date) is below an active bid at 13:25:00 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 13:25:00 ET, then the contract settles to that respective ask price.

2. If there are no active bids or asks at 13:25:00 ET, then the contract settles to the last trade price (or prior settlement in the case of no trades during the trade date).

Silver futures (SI) active month roll schedule

Additional Details:

https://www.cmegroup.com/rulebook/COMEX/1a/130.pdf