Futures TWAP definition
Futures TWAP or “FuturesTWAP(t,i)” means in respect of any date (t), and TWAP Observation Period (i), the result of applying the TWAP Process to the average “bid” and “ask” prices for the Relevant Futures Contract during the TWAP Observation Period(i).
Futures TWAP means, in respect of a Futures and an Index Calculation Date, the time- weighted average “bid” and “ask” prices for such Futures published by the Price Source calculated using the same TWAP Process as described above.
Futures TWAP means, in respect of a Futures and an Index Calculation Date, an amount calculated by the Index Calculation Agent as the arithmetic mean of the prices returned by the TWAP Delta Process (as defined in Annex 3 (Time-Weighted Average Price Observation process)) run on such Index Calculation Date using (i) the bid prices quoted for a size of 1 or more contracts of such Futures and (ii) the ask prices quoted for a size of 1 or more contracts of such Futures, in each case as published on the Price Source.