The Chicago Mercantile Ex-change is revising daily settlement procedures for domestic stock index futures contracts to reflect a ‘fair value’ settlement price on the last day of each quarter.
Fair value is the level at which futures should theoretically be priced in relation to cash indices, in the absence of transaction costs. It is not necessarily the level where futures do trade.
Under the new procedure, settlement prices would be set according to their ‘fair value’ relative to the daily close of the underlying cash index, the exchange said. Fair values would be determined by a survey of market participants on the market's close.
On the final day of trading at each quarter's end, stock index futures and options would close earlier than usual -– five minutes after the close of cash equity trading instead of the usual 15 minutes after that market’s close, the CME says. This is to co-ordinate more closely with the close of index-related products on other exchanges.
o The tick size for the Nasdaq 100 index futures traded on the CME was increased last month to 0.50 index points from 0.05 index points. This makes it the same size as the E-mini Nasdaq 100. The increased size represents an underlying price movement of $50 instead of the current $5. But Nasdaq 100 index options remain unchanged at 0.05 or $5 per tick.