S&P 500 Month-End Futures (SME)

This page describes normal daily settlements for BTICs on the S&P 500 Month-End Futures (SMET).

1 S&P 500 Month-End Futures Basis Trade at Index Close (BTIC) Daily Settlement Procedures
- 1.1 Normal Daily Settlement Procedure

S&P 500 Month-End Futures Basis Trade at Index Close (BTIC) Daily Settlement Procedures

Normal Daily Settlement Procedure

CME Group derives daily settlements for BTICs on the S&P 500 Month-End Futures (SMET) based on trading activity on CME Globex during the settlement period. The settlement period is from 14:15 to 14:45 CT.

Tier 1: Each contract month settles to its own volume-weighted average price (VWAP) of all CME Globex trades that occur during the settlement period, rounded to the nearest tradable tick.

Tier 2: In the absence of trading on CME Globex during the settlement period, the last traded price or prior day’s settlement price (in the event there is no last traded price) is used to determine settlements

a. If the last traded price or prior day’s settlement price is outside of the CME Globex bid/ask spread, then the contract month settles to the nearest bid or ask price.

b. If the last traded price or prior day’s settlement price is within the CME Globex bid/ask spread, or if a CME Globex bid/ask spread is not available, then the contract month settles to the last traded price or, in the event there is no last traded price, the prior day’s settlement price.

Daily Settlements for the S&P 500 Month-End futures (SME) will be derived using the following formula:

BTIC settlement price + S&P 500 Spot Index Close price = S&P 500 Month-End futures (SME) settlement price.