CME to change Comex gold, silver settlement procedure

The Wall Street Journal

NEW YORK — CME Group Inc. will switch the procedure for settling Comex gold and silver futures to a method based on average price and volume rather than a specific price point, the exchange said Monday.

As of Friday, staff will settle the most-actively traded month of each contract at the volume-weighted average price — which skews toward more heavily traded lots — of outright trades on the CME Globex electronic trading platform. This is a change from the current method of settlement, where the lead contract month for gold and silver are settled to the midpoint of Globex trades during the settlement time range.

The settlement time periods are 1:29 p.m. ET-1:30 p.m. for gold and 1:24 p.m.-1:25 p.m. for silver.

If there are no outright trades during the settlement periods, the settlement price will be the best bid or offer in the expiring contract at the close of the market that is closest to the last traded price.

If there is no bid or offer in the expiring contract at that time, the settlement price will be implied from the bid/offer in the active spread at the close of the market, at the price that is closest to the last outright trade price in the expiring contract.

Contract months other than the active month will be settled by staff in conjunction with market participants based on spread relationships on CME Globex and the trading floor.

The greatest weight will be given to spreads traded in larger volumes later in the trading day, either on the trading floor or on CME Globex. In the absence of trading activity, spread bids/offers actively represented either on the floor or Globex will determine the settlements.

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