E-mini S&P MidCap 400 Futures Daily Settlement Procedure
Normal Daily Settlement Procedure
Daily settlement of E-mini S&P MidCap 400 futures (EMD) is determined by CME Group staff based on trading activity on CME Globex.
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 Globex between 14:59:30 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 on Globex between 14:59:30 and 15:00:00 CT, then the contract month settles to the midpoint of the Low Bid/High Ask between 14:59:30 and 15:00:00 CT, the settlement period.
Tier 3: If a two sided market is not available on Globex during the closing period, then the net change of the cash index will be applied to the prior day settlement.
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, then the second month is defined as the first expiring non-lead month.
Tier 1: If the lead month-second month spread trades on Globex between 14:59:30 and 15:00:00 CT, then 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 Globex between 14:59:30 and 15:00:00 CT, then 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 current bid and ask, then 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, then the prior-day spread relationship is used.
In each of these cases, after the spread differential is applied, the result is rounded to the outright’s nearest tradable tick to derive the second month settle.
Back Months
To derive settlements for all remaining months, the preceding contract month's net change is applied to the next contract month's prior-day settlement, provided that this value does not violate the low bid or high ask between 14:59:30 and 15:00:00 CT for the respective outrights.
Final Settlement
The Final Settlement Price shall be a special quotation of the Standard & Poor's MidCap 400 Stock Price Index based on the opening prices of the component stocks in the index, determined on the third Friday of the contract month.
If the Standard & Poor's MidCap 400 Stock Price Index is not scheduled to be published on the third Friday of the contract month, the Final Settlement Price shall be determined on the first earlier day for which the Index is scheduled to be published.
If the primary market for a component stock in the index does not open on the day scheduled for determination of the Final Settlement Price, then the price of that stock shall be determined, for the purposes of calculating the Final Settlement Price, based on the opening price of that stock on the next day that its primary market is open for trading.
If a component stock in the index does not trade on the day scheduled for determination of the Final Settlement Price while the primary market for that stock is open for trading, the price of that stock shall be determined, for the purposes of calculating the Final Settlement Price, based on the last sale price of that stock. However, if the President of the Exchange or his delegate determines that there is a reasonable likelihood that trading in the stock shall occur shortly, the President or his delegate may instruct that the price of stock shall be based, for the purposes of calculating the Final Settlement Price, on the opening price of the stock on the next day that it is traded on its primary market. Factors to be considered in determining whether trading in the stock is likely to occur shortly shall include the nature of the event and recent liquidity levels in the affected stock.
Additional Details
- Understand the SOQ
- Retrieving the SOQ on expiration day
- E-mini S&P MidCap 400 Index (EMD) futures are cash settled upon expiration. For additional details, please see the CME Rulebook (Chapter 362).
If you have any questions, please call the CME Global Command Center.