New enhancements have been made to the MGEX (Minneapolis Grain Exchange or Exchange) Hard Red Spring Wheat (HRSW) futures contract settlement process. As of Monday, September 15, the HRSW futures contract settles to a volume weighted average settlement price for each individual HRSW futures contract month.
The enhanced settlement process takes into consideration trades, bids and offers from both electronic and open outcry trading sessions. This is consistent with the minimum fluctuations of the contract. Each contract month’s settlement price is calculated by taking a combined volume weighted average of the outright trades (no spread legs) from both the open outcry and electronic markets during the closing period (last 60 seconds).
In addition to the outright trade activity in each contract month that occurs during the closing period, the enhanced settlement process now includes applicable bids and offers from both the open outcry market, and the bids and offers in existence at the close of the market on the electronic trading platform MGEXpress. This determines the most accurate settlement price possible.
The post-settlement session occurs after futures settlements have been posted. At the conclusion of the Spring Wheat futures settlement process, MGEX Trading Floor staff initiates the one minute warning bell which leads to the commencement of a three minute post-settlement session.
“Our goal is to find the most accurate settlement price possible,” Jim Facente, Director of Market Operations, Clearing and IT said, “With enhancements to the Hard Red Spring Wheat futures contract we are able to move closer to market transparency the market demands.”
