Settlement

The reference value

At a fixed cadence the exchange observes each underlying's book on its venue and records a reference value:

Bid and ask, spread within Δmax: the midpoint.
Spread wider than Δmax: the venue's last trade, confined to the bid and ask.
One side only, no book, a crossed book, or a wide book with no last trade: no value is recorded for that observation.

The midpoint is used rather than the last trade because a trade is a fact about the past, and these markets are often quiet between bursts. The midpoint rather than either side, because the price should favour neither the long nor the short.

The reference price

The reference price is the time-weighted average of the reference values over a trailing window W, each value weighted by how long it was the most recent. It is computed in integers and rounded once, half to even.

The window, Δmax, the observation cadence and the staleness tolerance are set per underlying and published with it. For illustration:

Parameter	Example
Observation cadence	1 second
Window `W`	5 minutes
Δmax	0.10 (`100000` micros)
Staleness tolerance	2 minutes

The reference price and every reference value are published as they change (see Market data and the WebSocket).

At expiry

Freeze. Orders are capped at their contract's expiry, so every resting order has expired by then. On the first instant at or after expiry, the exchange reads the reference price once. That is the settlement price for every contract at that expiry.
Drain. Each account's book at that expiry is then settled as one unit: a loss moves from the book's security into the settlement float, a gain moves from the float into free cash, and the remaining security is released. Books that owe settle first. It takes a few ticks, not a few minutes.

On chain

Your money is in the settlement contract, and the contract pays out an expiry on its own terms:

Once every fill before the expiry has executed on chain, the exchange's oracle signs the settlement price, and anyone may post it to the contract, no earlier than the expiry instant.
Anyone may then claim any book: the contract pays it its security plus the book's value at the settlement price. The exchange claims every book itself.

If no settlement price is posted within the contract's ORACLE_TIMEOUT, each book's security is returned and its value is forgone.

A stale price

If no reference value has been recorded within the staleness tolerance when an expiry arrives, the expiry is held: resting orders are cancelled and trading stops, positions and security stay, and the expiry freezes automatically on the first tick with a fresh price. A stale price never halts trading before expiry.

Delisting

If an underlying's venue stops quoting it, the exchange halts the expiry and then forces its settlement at the last reference price in effect, stale or not. It supplies no price of its own.