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I'm reading the docs on CME Metal's settlement methodology and looking at the examples section: https://www.cmegroup.com/confluence/display/EPICSANDBOX/Metals+Futures+Settlement+Algorithm+Examples

For the April contract, since no spreads traded during the 13:15-13:30 settlement window, they calculate an implied bid/ask using all of the calendar spread markets where the April was the deferred leg. Does this mean all spreads traded during the standard market session for this day? I don't understand what all means and how far it reaches.

Also, for the December (deferred) contract, they only use spreads Aug-Dec, June-Dec and Dec-Dec(deferred). What about Feb-Dec, Apr-Dec? Were they simply not traded during the window?

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  • $\begingroup$ They try to use trades, but if there are no trades during 13:15-13:30 window, then they use bid/asks (presumably as of 13:30) in those spread markets where April is the deferred month, and form a single bid ask from those. They don't look at trades before 13:15 for the same day. $\endgroup$
    – nbbo2
    Oct 20, 2020 at 14:39
  • $\begingroup$ (another term for bid/asks is quotes) $\endgroup$
    – nbbo2
    Oct 20, 2020 at 19:47

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