This topic describes the daily and final settlement procedures for CME Bitcoin Futures, CME Micro Bitcoin Futures, CME Euro Denominated Futures and Bitcoin Friday Futures.

Contents

CME Bitcoin Futures Daily Settlement Procedure

Normal Daily Settlement Procedure

CME Group determines the daily settlements for Bitcoin (BTC) futures based on CME Globex trading activity between 14:59:00 and 15:00:00 Central Time (CT), the settlement period.

Lead Month

The lead month is the anchor leg for settlements and the contract expected to be the most active.

Tier 1: If the lead month contract trades on CME Globex between 14:59:00 and 15:00:00 Central Time (CT), the settlement period, then the lead month settles to the Volume-Weighted Average Price (VWAP) of the trade(s) during this period.

Tier 2: If no trades in the lead month occur between 14:59:00 and 15:00:00 CT, the contract month settles to the midpoint of the Bid/Ask between 14:59:00 to 15:00:00 CT, the settlement period.

Tier 3: If a two sided market is not available on CME Globex during the closing period, the reference rate will be used in the following Carry calculation to derive a settlement price.

Reference Rate + [(Days to expiration/ 365) x Interest rate x Reference Rate)]

Second Month

When the lead month is the expiry month, the second month is defined as the calendar month immediately following the lead month. When the lead month is not the expiry month, the second month is defined as the first expiring non-lead month.

Tier 1: If the lead month-second month spread trades on CME Globex between 14:59:00 and 15:00:00 CT, the spread VWAP is calculated, rounded to the spread’s nearest tradable tick and then applied to the lead month settle to derive the second month settle.

Tier 2: If there are no spread trades on CME Globex between 14:59:00 and 15:00:00 CT, the last spread trade price is applied to the lead month settle to derive the second month settle.
If the last spread trade is outside of the spread’s Bid/ Ask, the bid or ask price that is closer to the last spread trade is applied to the lead month settle to derive the second month settle.

Tier 3: If there is no spread market information available on CME Globex, the reference rate will be used in the following Carry calculation to derive a settlement price.

Reference Rate + [(Days to expiration/ 365) x Interest rate x Reference Rate)]

Back Months

To derive settlements for all remaining months, the following Carry calculation will be used to derive settlement prices provided that this value does not violate the bid or ask between 14:59:00 and 15:00:00 CT for the respective outrights.

Reference Rate + [(Days to expiration/ 365) x Interest rate x Reference Rate)]

CME Micro Bitcoin Futures Daily Settlement Procedure

Normal Daily Settlement Procedure

The daily settlements in the Micro Bitcoin (MBT) Futures contracts are derived directly from settlements in the Bitcoin (BTC) futures contracts.  Daily settlements derived from the BTC will be copied directly to the MBT for each contract listing.

CME Bitcoin Final Settlement Procedure

https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/IV/350/350.pdf

CME Micro Bitcoin Final Settlement Procedure 

https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/III/300/348.pdf

CME Euro Denominated Bitcoin Futures Daily Settlement Procedure

Normal Daily Settlement Procedure

CME Group determines the daily settlements for Euro Denominated Bitcoin (BTE) futures based on CME Globex trading activity between 14:59:00 and 15:00:00 Central Time (CT), the settlement period.

Lead Month

The lead month is the anchor leg for settlements and is the contract expected to be the most active.

Tier 1: If the lead month contract trades on CME Globex between 14:59:00 and 15:00:00 Central Time (CT), the settlement period, the lead month settles to the Volume-Weighted Average Price (VWAP) of the trade(s) during this period.

Tier 2: If no trades in the lead month occur between 14:59:00 and 15:00:00 CT, the contract month settles to the midpoint of the Bid/Ask between 14:59:00 to 15:00:00 CT, the settlement period.

Tier 3: If a two sided market is not available on CME Globex during the closing period,  the reference rate will be used in the following Carry calculation to derive a settlement price.

Reference Rate + [(Days to expiration/ 365) x Interest rate x Reference Rate)]

Second Month

When the lead month is the expiry month, the second month is defined as the calendar month immediately following the lead month. When the lead month is not the expiry month, the second month is defined as the first expiring non-lead month.

Tier 1:   If the lead month-second month spread trades on CME Globex between 14:59:00 and 15:00:00 CT, the spread VWAP is calculated, rounded to the spread’s nearest tradable tick then applied to the lead month settle to derive the second month settle.

Tier 2:   If there are no spread trades on CME Globex between 14:59:00 and 15:00:00 CT, the last spread trade price is applied to the lead month settle to derive the second month settle.

If the last spread trade is outside of the spread’s Bid/ Ask, the bid or ask price that is closer to the last spread trade is applied to the lead month settle to derive the second month settle.

Tier 3:   If there is no spread market information available on CME Globex, the reference rate will be used in the following Carry calculation to derive a settlement price.

Reference Rate + [(Days to expiration/ 365) x Interest rate x Reference Rate)]

Back Months

To derive settlements for all remaining months, the following Carry calculation will be used to derive settlement prices provided that this value does not violate the bid or ask between 14:59:00 and 15:00:00 CT for the respective outrights and spreads.

Reference Rate + [(Days to expiration/ 365) x Interest rate x Reference Rate)]

CME Bitcoin Euro Final Settlement Procedure

https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/IV/400/450.pdf

Bitcoin Friday Futures Daily Settlement Procedure

Normal Daily Settlement Procedure

CME Group determines the daily settlements for Bitcoin Friday Futures (BFF) based on CME Globex trading activity  between 14:59:00 and 15:00:00 Central Time (CT), the settlement period.

Lead Month

The lead month is the anchor leg for settlements and is the contract expected to be the most active.

Tier 1:  If the lead month contract trades on CME Globex between 14:59:00 and 15:00:00 Central Time (CT), the settlement period, the lead month settles to the Volume-Weighted Average Price (VWAP) of the trade(s) during this period.

Tier 2:  If no trades in the lead month occur between 14:59:00 and 15:00:00 CT, the contract month settles to the midpoint of the Bid/Ask between 14:59:00 to 15:00:00 CT, the settlement period.

Tier 3:   If a two sided market is not available on CME Globex during the closing period, the reference rate will be used in the following Carry calculation to derive a settlement price.

Reference Rate + [(Days to expiration/ 365) x Interest rate x Reference Rate)]

Second Month

When the lead month is the expiry month, then the second month is defined as the calendar month immediately following the lead month. When the lead month is not the expiry month, the second month is defined as the first expiring non-lead month.

Tier 1: If the lead month-second month spread trades on CME Globex between 14:59:00 and 15:00:00 CT, the spread VWAP is calculated, rounded to the spread’s nearest tradable tick and then applied to the lead month settle to derive the second month settle.

Tier 2: If there are no spread trades on CME Globex between 14:59:00 and 15:00:00 CT, the last spread trade price is applied to the lead month settle to derive the second month settle.
If the last spread trade is outside of the spread’s Bid/ Ask, the bid or ask price that is closer to the last spread trade is applied to the lead month settle to derive the second month settle.

Tier 3: If there is no spread market information available on CME Globex, the reference rate will be used in the following Carry calculation to derive a settlement price.

Reference Rate + [(Days to expiration/ 365) x Interest rate x Reference Rate)]

Back Months

To derive settlements for all remaining months, the following Carry calculation will be used to derive settlement prices provided that this value does not violate the bid or ask between 14:59:00 and 15:00:00 CT for the respective outrights.

Reference Rate + [(Days to expiration/ 365) x Interest rate x Reference Rate)]

CME Bitcoin Friday Futures Final Settlement Procedure

https://www.cmegroup.com/rulebook/CME/V/450/451/451.pdf