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If the final spread in NASDAQ emini trade is not within the current ask and bid of the spread, then it involves applying the ask or bid price closer to the to the lead month settlement's last spread trade. This way the second month settlement is derived. Daily settlement of the NASDAQ Emini futures or the E-Mini NASDAQ-100 futures is the equivalent of the daily settlement price of the standard NASDAQ-100 futures. The following procedure is followed in order to settle NASDAQ-100 futures. Normal Procedure For Daily Settlement Lead month: When it comes to settlements, the lead month is the final position and the contract that many expect to be most active. Tier 1: If the lead month is being traded in the pit from 15:14:30 to 15:15:00 Central Time, the settlement of the lead month occurs during this period to the high and low trade(s)’s midpoint. Tier 2: If the lead month has not been traded in the pit at all from 15:14:30 to 15:15:00 Central Time, then settling to either the current ask or the current bid depends on the last trade. In case a last trade price is not available, then it depends on the prior settlement price. If the last trade price or the prior settlement price is lower than the current bid, the settlement of the lead month is made to the bid. If the last trade price or the prior settlement price is higher than the current ask, then the lead month is made to the ask. If last trade price or the prior settlement price is equal to or between the current ask and the current bid, then the settlement of the lead month is made to the last trade price or the prior settlement price. Second month: If the expiry month is the lead month, then the second month directly after the lead month is referred to as the calendar month. If the expiry month is not the lead month, then the second month directly after the lead month is referred to as the first expiring non-lead month. Tier 1: If the spread of the lead month is being traded in the pit from 15:14:30 to 15:15:00 Central Time, then settlement involves calculating the spread VWAP and rounding it to the nearest tractable tick of the spread. Finally, the result is applied to the settlement of the lead month as a result of which the second month settlement is derived. Tier 2: If the spread of the lead month has not been traded in the pit at all from 15:14:30 to 15:15:00 Central Time, then it involves applying the final spread trade price to the lead month settlement as a result of which the second month settlement is derived. In case a last trade price is not available, then it depends on the prior settlement price. Tier 3: If there is no spread market information, it usually involves using the spread relationship of the day before. In either cases, after applying the spread differential, the result is rounded to the nearest tradable trick of the outright so that the second month settlement is derived. Back months: If a settlement is required for any back month NASDAQ Emini contract, it involves taking into consideration the outright as well as spread market information so that a daily settlement price can be derived. When no market activity is available, it involves applying the lead month net change to the prior-day settlement of the back month contract, thus, a daily settlement price is derived. Author of this article enjoys listening to the CFRN Emini Futures Live Market Commentary each day and also watching the CFRN Professional Emini Traders place live trades in their Live Emini Trading Room.
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