Instead of relying on physical delivery to achieve convergence, futures contracts employ a device called cash settlement. In the cash settlement procedure, all long contracts that remain outstanding after the last day of trading are automatically offset by CME Group.
All contracts are thus canceled and, via the normal performance bond system, money moves from losing accounts to profiting accounts, based on the final one-day price change – hence the term cash settlement. It’s as if all the remaining contracts were simply offset by open outcry on the last day of trading, and all at the value of the appropriate index.
Video: Settlement Options
Video: Last Trading Day file