Monthly Average Futures pricing explained

Calculation of daily closing Monthly Average Futures prices (Notional Average Prices)

When calculating Monthly Average Futures prices for the current month, each business day of the month is deemed a fixing date. All the known LME Official Settlement Prices in that month will be applied against fixing dates that have passed. For each of the remaining fixing dates in the month where LME Official Settlement Prices are not yet known, LME Closing Prices for the prompt dates two business days after the fixing date will be used. 

Notional Average Price (NAP)

This is the closing price for forward Monthly Average Futures months published at the end of each day. The NAP is made up of known LME Official Settlement prices and LME Closing Prices taken from each of the prompt dates for the pricing period. These prices are totalled and averaged over the number of business days in the calendar month. Where there are no LME Closing Prices for a date as when there are only weekly and monthly LME prices available, linear interpolation is used to derive a daily price for averaging. NAP is used by LME Clear in the margin calculations for LME Traded Average Price Options (TAPOs) and will be used for margining Monthly Average Futures.

Monthly Average Settlement Price (MASP)

This is based on LME Official Cash Settlement Prices available in the month which are totalled and averaged over the number of business days in the month. It is stated in US dollars per metric tonne. The settlement prices for Monthly Average Futures are in fact the same values as the MASP currently available for settling LME TAPO contracts. At the end of the current Monthly Average Future month, the MASP is equal to the MMAP above and will be published.

Monthly Moving Average Price (MMAP)

This is the moving average price for the current Monthly Average Futures month. The MMAP is made up of known LME Official Settlement Prices to date. These prices are totalled and averaged over the number of business days to date in the current month. On the last business day of the current calendar month after the Official Cash Settlement Price is known and included in the averaging calculation, the MMAP becomes the MASP.

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