Post-Settlement Execution Restatements

Order Execution messages received at the time of the trade in Trade-At-Settlement (TAS) products (i.e. VXT, VXMT, etc.) should be considered initial notification of trade. In all of these products, information available only after the settlement time of the associated contract is required before the trade can be cleared. The following describes the post-settlement processing required for each applicable product:

TAS Execution prices of TAS trades represent an offset to the end-of-day settlement price of the associated futures contract. For example, a trade executed at 0.02 in a VXT contract is an agreement to buy and sell VX contracts of the same expiration at a price that is 2-cents above the end-of-day settlement price, which is available after 3:00 p.m. CT. When VX end-of-day settlements are available, TAS trades executed during the business date are resolved by updating the execution price and changing the symbol to the associated futures contract. TAS trades are cleared as regular futures contract (i.e. VX) trades.

Trades executed intraday are acknowledged back to participants using Order Execution messages. The Order Execution message received in these products is considered a Pending trade. As a convenience to customers, an optional value PendingStatus is provided on the Order Execution message. CFE follows up each initial (i.e., pending) TAS future execution with post-settlement TAS Restatement. The following summarizes the restatement details for each product:

TAS Trades in these symbols are restated with the same ExecId and ClOrdId as the original trade. The as-executed symbol, price and size are maintained in the Symbol, LastPx and LastShares fields of the TAS Restatement message, respectively. The symbol into which the TAS execution will clear (for example, the VX or VXM symbol with the same expiration as the as-executed VXT or VXMT symbol, respectively) is contained in the ClearingSymbol field. The price with which the TAS execution will clear (i.e., the execution price offset with the contract settlement price) is contained in the ClearingPrice field.

See TAS Restatement for details on the TAS Restatement messages used to restate TAS trades.