Standard and Poors 500 - NASDAQ 100 and Russell 2000 Dividend Index Futures

S&P 500, NASDAQ-100 and Russell 2000 Dividend Index Futures Daily Settlement Procedure

Normal Daily Settlement Procedure

Daily settlements of S&P 500 Annual Dividend Index Future (SDA), S&P 500 Quarterly Dividend Index Future (SDI), NASDAQ-100 Annual Dividend Index Future (NDA) and Russell 2000 Annual Dividend Index Futures (RDA) are determined by CME Group staff based on trading activity on CME Globex and CME ClearPort.     

All Months

Tier 1:  Settle each month to its own VWAP of CME ClearPort (both outright and spread trades) AND Globex (outright only) trades.  (The settlement time window is defined by CME and can be as long as an entire trade date.)

(Important notes on Tier 1.  CME ClearPort outright AND spread trades are used where the logic takes the spread legs from CME ClearPort and treats them as two separate outright trades using the user entered prices from CME ClearPort.  CME Globex spreads are NOT used because the leg pricing uses prior day settle as opposed to current market prices.)       

Tier 2:  If no trades occurred, settle to the prior day price validated against the CME Globex bid/ask.  If the prior day settle is outside the posted CME Globex market, the settlement will be adjusted to the CME Globex bid or offer.