CL HO and RBOB Settlement Examples

Owned by CME Group
Apr 26, 2024
3 min read

Example 1:

CL, RB, or HO Futures Settlement Description

Once the settlement of the designated active month has been derived, all other months, beginning with the nearest month and proceeding in chronological order, will settle using a VWAP of accumulated calendar spread transactions. Spread transactions must have traded between 14:28:00 - 14:30:00 ET, the calendar spread settlement period. For clarity, each month's settle will be derived using spread transactions in which the settling month is the deferred contract. (Example: during the month of October 2017 the March 18 settlement will take into account the spread trades occurring in Nov 17-Mch 18, Dec 17-Mch 18, Jan 18-Mch 18 and the Feb 18-Mch 18.  A transaction in Mch 18-June 18 would not be used to settle the Mch 18.)

Example 2:

CL Contracts

Settlement Price

Derivation Logic

CL Contracts

Settlement Price

Derivation Logic

November (Active) Contract (CLX7)

50.58

VWAP of 10,584 contracts of outright trade in the CLX7 (Active) contract. 

December Contract (CLZ7)

50.90

Using CLX7-CLZ7 and CLX7 to imply outright settlement: outright value(50.58) - spread value(-.32) = (50.90) * spread volume(2326) / 1 month = spread volume(2326)  

  Implying settlement using implied outright settlements prices and total spread volume 2326; Blended VWAP of 50.90

January Contract (CLF8)

51.13

Using CLZ7-CLF8 and CLZ7 to imply outright settlement: outright value(50.90) - spread value(-.24) = (51.14) * spread volume(371) / 1 month = spread volume(371)

Using CLX7-CLF8 and CLX7 to imply outright settlement: outright value(50.58) - spread value(-.55) = (51.13) * spread volume(998) / 2 month = spread volume(499)

February Contract (CLG8)

51.26

Using CLF8-CLG8 and CLF8 to imply outright settlement: outright value(51.13) - spread value(-.13) = (51.26) * spread volume(328) / 1 month = spread volume(328) 

Using CLZ7-CLG8 and CLZ7 to imply outright settlement: outright value(50.90) - spread value(-.36) = (51.26) * spread volume(70) / 2 month = spread volume(35)   

Using CLX7-CLG8 and CLX7 to imply outright settlement: outright value(50.58) - spread value(-.68) = (51.26) * spread volume(437) / 3 month = spread volume(145.6)      

Implying settlement using implied outright settlements prices and total spread volume 835; Blended VWAP of 51.26

March Contract (CLH8)

51.32

Using CLG8-CLH8 and CLG8 to imply outright settlement: outright value(51.26) - spread value(-.06) = (51.32) * spread volume(34) / 1 month = spread volume(34)

Using CLF8-CLH8 and CLF8 to imply outright settlement: outright value(51.13) - spread value(-.19) = (51.32) * spread volume(155) / 2 month = spread volume(77.5)

Using CLZ7-CLH8 and CLZ7 to imply outright settlement: outright value(50.90) - spread value(-.42) = (51.32) * spread volume(254) / 3 month = spread volume(84.6)

                      Using CLX7-CLH8 and CLX7 to imply outright settlement: outright value(50.58) - spread value(-.74) = (51.32) * spread volume(416) / 4 month = spread volume(104)

Implying settlement using implied outright settlements prices and total spread volume 859; Blended VWAP of 51.32

April Contract (CLJ8)

51.34

Using CLH8-CLJ8 and CLH8 to imply outright settlement: outright value(51.32) - spread value(-.02) = (51.34) * spread volume(414) / 1 month = spread volume(414)

Using CLG8-CLJ8 and CLG8 to imply outright settlement: outright value(51.26) - spread value(-.07) = (51.33) * spread volume(249) / 2 month = spread volume(124.5)

Using CLF8-CLJ8 and CLF8 to imply outright settlement: outright value(51.13) - spread value(-.20) = (51.33) * spread volume(31) / 3 month = spread volume(10.3)

Using CLZ7-CLJ8 and CLZ7 to imply outright settlement: outright value(50.90) - spread value(-.43) = (51.33) * spread volume(18) / 4 month = spread volume(4.5)

Using CLX7-CLJ8 and CLX7 to imply outright settlement: outright value(50.58) - spread value(-.75) = (51.33) * spread volume(77) / 5 month = spread volume(15.4)

Implying settlement using implied outright settlements prices and total spread volume 789; Blended VWAP of 51.34

May Contract (CLK8)

51.30

Using CLJ8-CLK8 and CLJ8 to imply outright settlement: outright value(51.34) - spread value(.04) = (51.30) * spread volume(250) / 1 month = spread volume(250)

Using CLH8-CLK8 and CLH8 to imply outright settlement: outright value(51.32) - spread value(.02) = (51.30) * spread volume(114) / 2 month = spread volume(57)

Using CLG8-CLK8 and CLG8 to imply outright settlement: outright value(51.26) - spread value(-.04) = (51.30) * spread volume(17) / 3 month = spread volume(5.6)

Using CLF8-CLK8 and CLF8 to imply outright settlement: outright value(51.13) - spread value(-.17) = (51.30) * spread volume(100) / 4 month = spread volume(25)

Using CLZ7-CLK8 and CLZ7 to imply outright settlement: outright value(50.90) - spread value(-.40) = (51.30) * spread volume(6) / 5 month = spread volume(1.2)

Using CLX7-CLK8 and CLX7 to imply outright settlement: outright value(50.58) - spread value(-.71) = (51.29) * spread volume(25) / 6 month = spread volume(4.2)

Implying settlement using implied outright settlements prices and total spread volume 512; Blended VWAP of 51.30



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