TAS (trade at settlement): GC and SI

R1234

R1234

Looks like the exchange is offering this type of trading on a few commodities.

Does anybody know which settlement time is implied by "TAS". Is it the open outcry settlement at 1:30 or the Globex settlement at 5:15?

Another concept I am unable to grasp is the TAS plus or minus ticks. For example, you can specify to buy gold at the settlement minus n ticks (or sell at settle + n ticks). Why would everybody not do this if you are guaranteed a fill? However, if the fill is not guaranteed then how is TAS any different from just placing a limit order around the settlement time?

And yes, I called and emailed the exchange but she did not know the answer and I got forwarded to some voice mail who never called me back.
 
Quote from R1234:

Looks like the exchange is offering this type of trading on a few commodities.

Does anybody know which settlement time is implied by "TAS". Is it the open outcry settlement at 1:30 or the Globex settlement at 5:15?
More...

You're talking about Gold and Silver on NYMEX (now CME Group).

There is no "Globex settlement". There is a settlement value for each delivery and this is different for each market. Sometimes it is based upon floor, sometimes upon globex, sometimes upon a VWAP of trades, someitmes upon midpoint of bid/ask.

This is detailed here:
http://www.cmegroup.com/market-data/files/CME_Group_Settlement_Procedures.pdf

The daily settlements are determined according to the time schedule here:
http://www.cmegroup.com/market-data/settlements/settlements-details.html

Gold is 13:29:00-13:30:00 ET
Silver is 13:24:00-13:25:00 ET

In the case of gold and silver, the spot month settlement is the VWAP of trades executed on Globex during the above period. Back months settlement values are determined by the exchange.
 
Quote from R1234:
Why would everybody not do this if you are guaranteed a fill? However, if the fill is not guaranteed then how is TAS any different from just placing a limit order around the settlement time?
More...
Hi R1234
TAS = Trading at settlement.
Simply put - you are guaranteed to execute at the settlement price.
http://www.variancefutures.com/resources/tas_futures.php

This is not a option contract - you will actually get filled if you hold the TAS at the settlement. If you don't want to enter the position at the settlement or you are afraid that the settlement price will be manipulated (like it happened with CL) - you need to close the TAS position before the settlement time.

For example - i attached a live order book of Jun10 CL TAS.

It's very similar to MOC order at the NYSE where you guarantee the closing price (if the order was entered on time). The difference is that with TAS you can "trade" that MOC order up to the last second of the settlement.

Some sophisticated traders actually do day trading with that contract for, including hedging with the outright for 1-2 ticks profit.
Most of the time during the day the TAS will be traded at zero +/- tick or two.

Quote from R1234:

And yes, I called and emailed the exchange but she did not know the answer and I got forwarded to some voice mail who never called me back.
More...
Sorry about that. Most brokers never heard on that product too, simply because not many clients trade TAS. Your best bet is to go to the NYMEX and ICE websites website. You can also call or email our trading desk and speak with a knowledgeable person that will be able to provide you with more information.
 

Attachments

It's my understanding that the TAS is basically another version of the regular contract.

For example I saw in CQG Trader if you want to trade regular Cocoa the symbol is 'CCE' but if you want to trade the Cocoa TAS contract the symbol is 'CCET'. Similarly for Cotton: 'CTE' versus 'CTET'. And for Dollar Index: 'DXE' versus 'DXET'.

So if they are different contracts with their own bid/ask spreads, are you going to get the settlement price of the TAS contract? Is the settlement price of the TAS contract identical to the settlement price of the regular contract?
 
Can someone explain the reasons people trade TAS futures ?
Why would someone pay the settlement price if he can pay
the price now which is cheaper?
Thanks
 
Quote from R1234:
So if they are different contracts with their own bid/ask spreads, are you going to get the settlement price of the TAS contract? Is the settlement price of the TAS contract identical to the settlement price of the regular contract?
More...
TAS contract don't have a settlement price.
If you bought CL TAS at +0.02 and the future contract settled at $100.25, you will actually buy it at $100.27.

Quote from benporat:
Why would someone pay the settlement price if he can pay
the price now which is cheaper?
Thanks
More...
Assuming that you are not a future teller - how can you know what will be the settlement price before it settled?

Quote from benporat:
Can someone explain the reasons people trade TAS futures ?
More...
Different reasons. Here are two examples:
1. You are a fund and for some reason you need to rebalance your portfolio at the end of the business day/month/quarter at the settlement price.
2. You need to roll 500 contracts from July to August at the settlement price. Executing both legs will take a lot of time when the market is moving and you will have the potential of significant slippage (though with a very large number of contracts - market players theoretically can take advantage of you and manipulate the settlement price of both legs)
 
You must log in or register to reply here.
Back
Top