In 2023, the LME announced it would be evolving the way Closing Prices were being calculated by expanding the use of volume-weighted average prices (VWAPs) for the most liquid contracts.
The phased changes, (which started with aluminium and lead on 22 January 2024, followed by copper, zinc and nickel on 18 March 2024) are designed to make the Closing Price Methodology more:
- deterministic
- transparent
- objective
The evolution followed a market-wide consultation (set out in notice 23/091) as part of the LME’s Action Plan to strengthen and modernise our markets.
Last Price Methodology
For those metals and prompt dates included in the implementation, the LME moved from using the Last Price Methodology – which used a VWAP for the most liquid 3-month contract, and a “last price” waterfall (combined with Expert Judgement from the LME’s Quotations Committee) for all other prompt dates – to the “Additional VWAP Closing Price Methodology”.
Additional VWAP Methodology
Today, the Additional VWAP Closing Price Methodology extends the VWAP to five additional prompt dates (CASH and the first four 3rd Wednesday monthly dates), for aluminium, lead, copper, zinc and nickel.
For further information please contact tradingoperations@lme.com.
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LME Closing Price methodology resources
Press releaseMember notice (PDF)
Blueprint (PDF)
Infographic (PDF)
VWAP methodology back-testing historic data (XLSX)
VWAP methodology back-testing parallel run data (XLSX)