Stats › Intraday and market microstructure › Oil settlement
WTI settled at minus $37.63 on a two minute average
| Parameter | NYMEX WTI (CL), CME Group | ICE Brent, ICE Futures Europe |
|---|---|---|
| Daily settlement window | 14:28:00 to 14:30:00 New York | 19:28:00 to 19:30:00 London |
| Front month method | Volume weighted average price of the outright, rounded to the nearest tradable tick | Weighted average price of trades during the settlement period |
| Second month | Implied from the front-to-second spread VWAP if 200 or more spread contracts trade, otherwise the midpoint of the spread | Not separately specified in the contract specification read |
| Months three to six | Implied from one and two month spreads, weighted 85% to the nearer spread and 15% to the two month spread, subject to volume thresholds | Not separately specified in the contract specification read |
| Contract size | 1,000 barrels | 1,000 barrels |
| Expiry settlement | Physical delivery at Cushing, Oklahoma, in the delivery month | Cash settlement against the ICE Brent Index, published the day after the last trading day |
| Expiry reference construction | The expiring month settles on the window like any other month, but if it is no longer the designated active month it settles off calendar spread VWAPs | ICE Brent Index averages five intraday sampling points at 10:30, 12:30, 14:30, 16:30 and 19:30 London |
| Trade at settlement limits | Plus or minus 0.10 for outright TAS, plus or minus 0.20 for spread TAS | The public ICE TAS FAQ I could reach covers ICE Futures US contracts and does not list Brent, so I am not asserting Brent's limits |
Sources: CME Group, NYMEX Energy Futures Daily Settlement Procedure; ICE Futures Europe Brent Crude futures contract specification and the ICE Brent Index paper dated August 2025; CFTC Interim Staff Report of 23 Nov 2020 for the WTI TAS limits; Bessembinder, Carrion, Tuttle and Venkataraman for the Cushing delivery term.
Oil futures have no closing price, only a settlement from a two minute window. On 20 April 2020 that window put the expiring WTI contract at minus $37.63, a fall of $58.05 in one session. It came from calendar spreads, not trades in that contract.
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