Additional VWAP Methodology explained

What is the Additional VWAP Methodology?

Please note the following is an easy reference guide. Full details of the methodology for the determination of Closing Prices can be found here: LME Closing Prices Benchmark Methodology (PDF).

The Additional VWAP Methodology calculates the LME Closing Prices for cash, M1, M2, M3 and M4 (with 3M determined by its own, separate VWAP).
Cash-M1 is a singular VWAP calculation.

With M3 as the anchor, M1, M2, M3 and M4 are calculated using the following spread data in the VWAP window. 

A table showing which 3rd Wednesdays fall within the Additional VWAP Methodology can be found here VWAP Months (xlsx).

Please note where M3 and 3M are the same prompt date, the calculation continues as per the table. However, cash cannot roll to M1 and instead – where cash would be the same prompt date as M1 – M1, M2, M3 and M4 all roll forward to the next 3rd Wednesday prompt.

Example:

In this example, once cash becomes prompt JUL25 the VWAP months roll as follows:

Date 11/07/25

Date 14/07/25 (CASH = JUL25)

The minimum volume requirement (MVR) for a VWAP calculation is 5 lots. Where this is not met, a TWAP (Time Weighted Average Price) is used to calculate the relevant LME Closing Price.

The TWAP uses an Indicative Reference Price (IRP) as its starting point. The IRP is determined using a waterfall methodology, which looks at last trade, better bid/better offer, and the previous night’s valuation before the VWAP window opened.

For any questions about the Additional VWAP Methodology, please contact tradingoperations@lme.com.

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For any questions about the Additional VWAP methodology, please contact the Trading Operations team

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