Fixing Prices
CME Group publishes fixing prices for several futures products offered across Equity Indices, Interest Rates, FX, and Cryptocurrencies. These fixing prices are typically calculated based on the volume-weighted average price (VWAP) of contracts traded during a pre-defined window of time.
These price references are used to determine the exercise and assignment of options positions at expiration and serve as an informational reference point for market participants. Fixing prices also can play an important role in determination of price limits during rapidly moving markets.
Market Data
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FX
FX futures fixing prices are used to determine the exercise and assignment of corresponding options positions at expiration. The prices are calculated on the VWAP of futures contracts traded in the 60-second window ending at 10:00:00 a.m. Eastern Time (New York /9:00 a.m. Central Time) with the exception of MXN, CNH and RUB which follow local conventions.
Calculation Details
For more information on how CME Group calculates FX fixing prices, please see CME Group FX Fixing Price Methodology Guide and to cmegroup.com/10am for more information.
The MXN/USD ZYM calculation occurs at 11:30 a.m. Central Time (12:30 pm Eastern Time/NY)
The RUB/USD ZRU calculation occurs at 12:30 p.m. Moscow (4:30 a.m. CT or 3:30 a.m. CST)
Interest Rates
In response to index valuation time changes being adopted in isolated areas of the fixed income index space, CME Group is now publishing unofficial fixings for Treasury futures and MAC Swap futures products as of 3:00 p.m. CT (4:00 p.m. ET) and Credit futures as of 2:00 p.m. CT (3:00 p.m. ET).
CME Group is not making any changes to current official daily settlement prices, times, or any variation margin calculation processes. Fixing prices are also available over the CME Data Insights Settlement and Valuation channels.
Calculation Details
Note: Use of fixing prices are dictated by the CME Data Terms of Use. CME Group disclaims liability and no representation or warranty, express or implied, is made concerning the fixing prices.
Equity Indices
Equity Index futures special fixing prices are used to determine whether corresponding weekly and end-of-month options positions are in the money at expiration. The prices are calculated on the VWAP of nearest expiring futures contracts traded in the 30-second window ending at 4:00 p.m. Eastern Time.
Calculation Details
ESF calculation*
On expiration days for end-of-month (EOM) and weekly options on E-mini S&P 500 futures, CME Group calculates a special fixing price based on the weighted average trading price of the nearest expiring month for the E-mini S&P 500 futures in the last 30 seconds (2:59:30 - 3:00:00 p.m.) of trading before the 3:00 p.m. (Central Time) options expiration. This calculation always uses the nearest contract until it is no longer available for trade.
EEF calculation*
The EEF is a fixing price based on a volume-weighted average price of the nearest expiry for the E-mini S&P 500 futures in the 30 seconds preceding 4:30 p.m. London time (4:29:30 p.m.-4:30:00 p.m.). This calculation always uses the nearest contract until it is no longer available for trade.
EJF calculation*
The EJF is a fixing price based on a volume-weighted average price of the nearest expiry for the E-mini S&P 500 futures in the 30 seconds preceding 3:00 p.m. Tokyo time (2:59:30 p.m. -3:00:00 p.m.). This calculation always uses the nearest contract until it is no longer available for trade.
NQF calculation*
On expiration days for weekly options on E-mini Nasdaq-100 futures, CME Group calculates a special fixing price based on the weighted average trading price of E-mini Nasdaq-100 futures in the last 30 seconds (2:59:30 p.m.- 3:00:00 p.m.) of trading before the 3:00 p.m. (Central Time) options expiration. This calculation always uses the nearest contract until it is no longer available for trade.
Note: *CME Group disclaims liability for the ESF, EEF, EJF, or NQF options fixing prices, and no representation or warranty, express or implied, is made concerning the ESF, EEF, EJF, or NQF fixing prices (including, without limitation, the methodology for its determination and its suitability for any particular use).
Cryptocurrencies
Bitcoin price fixing will be based on a notionally adjusted volume-weighted average traded price of Bitcoin futures and Micro Bitcoin futures during the 30 minutes prior to 4:00 pm London time. Ether price fixing will be based on a notionally adjusted volume-weighted average traded price of Ether futures and Micro Ether futures during the 30 minutes prior to 4:00 p.m. London time.
