Spot Quoted Futures Daily Settlement Procedure

Normal Spot Quoted Futures Daily Settlement Procedure

Daily settlements of the Spot-Quoted S&P 500 (QSF), Spot Quoted Nasdaq-100 (QNF), Spot-Quoted Russell 2000 (QRF), Spot-Quoted DJIA (QDF), Spot-Quoted Bitcoin (QTF), Spot-Quoted Ether (QEF) futures are determined by CME Group staff based on the following formula:

The valuation of Spot Quoted Futures Contracts consists of two (2) components:

1. Underlying Spot Price

2. Financing Adjustment Value

Spot Quoted Futures Price = Underlying Spot Price + Financing Adjustment Value (ADJ)

The Financing Adjustment Value on a given day t is the sum of the previous day financing adjustment and the change in basis between the previous day basis and the basis on day t.

It is expressed as: ADJt = ADJt-1 + [(Future settle t – Index close t) – (Future settle t-1 – Index close t-1)]

Spot Quoted Futures Pricing Calculator:

https://www.cmegroup.com/markets/spot-quoted-futures.html