End of Month Settlement Procedures

The following questions and answers relate to the U.S. Index Futures month-end settlement process.

Month-end settlement prices will be the same value currently calculated as the daily 3:00 p.m. Central Time (CT) "Fixing Price" for U.S. Equity Index futures.

Fixing Prices are based on CME Globex trading activity in the respective contracts between 2:59:30 p.m. and 3:00:00 p.m. CT.

S&P 500 has both an E-mini and Micro E-mini futures contract. The E-mini futures contract will determine the fixing price, rounded to the nearest E-mini tick size.

The fixing price methodology consists of three tiers:

Lead Month

The lead month is the anchor leg for “Fair Value” 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 Bid / 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 cash index will be used in the following Carry calculation to derive a settlement price.

Index price + [(Days to expiration/ 365) x Interest rate x Index price)]

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 Bid / 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 on Globex, then the cash index will be used in the following Carry calculation to derive a settlement price

Index price + [(Days to expiration/ 365) x Interest rate x Index price)]

Back Months

To derive settlements for all remaining months, the following Carry calculation will be used to derive a settlement prices provided that this value does not violate the bid or ask between 14:59:30 and 15:00:00 CT for the respective outrights.

Index price + [(Days to expiration/ 365) x Interest rate x Index price)]

Note that the Interest Rate component used in the Carry calculation in this methodology is derived by subtracting expected dividends from a normalized interest rate curve.

CME Group makes U.S. Equity Index futures fixing prices available shortly after 3:00 p.m. CT on its website.

• View fixing prices.

Futures prices used to calculate month-end settlement prices are based on CME Globex activity between 2:59:30 p.m. and 3:00:00 p.m. CT.

Trading in U.S. Equity index products closes at 4:00 p.m. CT the last business day of the month — consistent with practices applied on normal trading days.

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The following contracts currently have their daily settlement price determined at 3:15pm CT.  For month-end days, the settlement of the futures contract will be affected by this procedure:

• S&P 500 Futures (CME Rulebook Chapter 351)
• E-mini S&P 500 Futures (CME Rulebook Chapter 358)
• E-mini NASDAQ 100 Index Futures (CME Rulebook Chapter 359)
• E-mini Dow Jones Industrial Average Index Futures (CBOT Rulebook Chapter 27)
• E-mini Russell 2000 Index Futures (CME Rulebook Chapter 393)

The following contracts based on US indexes currently have their daily settlement price determined at 3:00pm CT.  As a result, the month-end days settlement procedure will be the same as on any other business days.

• S&P 500/Growth Index Futures  (CME Rulebook Chapter 355)
• S&P Master Limited Partnership Futures (CME Rulebook Chapter 375)
• E-mini NASDAQ Composite Index Futures (CME Rulebook Chapter 377)
• E-mini NASDAQ Biotechnology Index Futures (CME Rulebook Chapter 360 )
• Dow Jones U.S. Real Estate Index Futures (CBOT Rulebook Chapter 30)
• E-mini Consumer Discretionary Select Sector Futures (CME Rulebook Chapter 369)
• E-mini Consumer Staples Select Sector Futures (CME Rulebook Chapter 369)
• E-mini Energy Select Sector Futures (CME Rulebook Chapter 369)
• E-mini Financial Select Sector Futures (CME Rulebook Chapter 369)
• E-mini Health Care Select Sector Futures (CME Rulebook Chapter 369)
• E-mini Industrials Select Sector Futures (CME Rulebook Chapter 369)
• E-mini Materials Select Sector Futures (CME Rulebook Chapter 369)
• E-mini Technology Select Sector Futures (CME Rulebook Chapter 369)
• E-mini Utilities Select Sector Futures (CME Rulebook Chapter 369)
• E-mini S&P Midcap 400 Futures (CME Rulebook Chapter 362)
• E-mini S&P 600 Small Cap Futures (CME Rulebook Chapter 368)
• E-mini IPOX 100 U.S. Index Futures (CME Rulebook Chapter 392)
• S&P 500 Value Futures (CME Rulebook Chapter 356)
• E-mini Russell 1000 Index Futures (CME Rulebook Chapter 383)
• E-mini Russell 1000 Value Index Futures (CME Rulebook Chapter 385)
• E-mini Russell 1000 Growth Index Futures (CME Rulebook Chapter 384)
• E-mini S&P Real Estate Select Sector Index Futures (CME Rulebook Chapter 369)
• E-mini Russell 2000 Growth Index Futures (CME Rulebook Chapter 394)
• E-mini Russell 2000 Value Index Futures (CME Rulebook Chapter 395)

This procedure is not applicable to non-U.S. Equity Index Futures, including Nikkei Equity Average and Ibovespa.

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Equity Index products normally close and settle 15 minutes after the daily close of trading in cash equities. The cash/futures basis may be affected to the extent that futures may fluctuate, sometimes sharply, during those final 15 minutes. As such, this may become a difficulty for institutional traders practicing coordinated cash/futures strategies. Still, the opportunity to lay off equity market exposure during those 15 minutes subsequent to the cash close has proven quite beneficial.

The use of 3:00 p.m. settlement procedures at month-end is intended to address this so-called "tracking error" while still permitting trade to continue past the 3:00 p.m. cash close. Conceptually, the 3:00 p.m. settlement is determined at the same time as the cash market close at 3:00 p.m., since any new information following 3:00 p.m. will not affect the closing price of the Equities or the futures 3:00 p.m. fixing price. However, information or events subsequent to the cash market close may still impact futures prices. Market participants should be aware of the possibility that futures may trade at prices apart from the 3:00 p.m. fixing price based settlement prices between 3;00 p.m. and the close of the futures market at 4:00 p.m. on days on which end-of-month settlement procedures are applied.

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Consistent with normal practices, Regular Trading Hours (RTH) for Equity Index futures and options shall be conducted from 8:30 a.m. to 4:00 p.m., with a trading halt between 3:15 p.m. and 3:30 p.m. CT on the last day of each month – unless notified otherwise because of a holiday. As such, this procedure will permit trading to continue after the normal 3:00 p.m. cash close while ensuring that settlements will be tied closely to cash values.

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Options on futures end-of-month settlement values shall be established on the basis of the end-of-month futures fixing price settlements on days when fixing price settlement procedures are employed.

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Market-on-Close (MOC) orders shall be handled in the typical fashion on days when end-of-month settlement procedures are applied. In other words, an MOC order becomes a market order to be filled at prevailing prices during the last thirty seconds of the trading session, i.e., between 3:14:30 and 3:15:00 CT. The filled price may or may not resemble the settlement price.

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Trading shall be permitted during the post-close session on days when end-of-month settlement procedures are applied at prices within the 3:14:30-3:15:00 CT closing range – per normal practices. Note that these prices may depart from the end-of-month settlement price.

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