Ford Focus Zetec 2011 - basic lug nuts question

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Okay, so this may be a dumb question as I don't have much mechanic in my DNA, but I would really prefer m wheel not to fall of while driving, so..

Previous vehicles I have had, the lug nuts were obviously either tight or not tight.

With this car, recently acquired (used) come to tightening the nuts for the first time and it seems that they are "loose" (or have a give either way of rotation of about 1cm). They then stop. My question is, is this normal for this vehicle and this type of nut? When I try to use the wrench on it, the nuts don't seem to tighten further. Is this some kind of swelling-prevention normal feature?
 
Hi there. This is what I'm seeing. Oddly, Halfords told me these were the actual nuts and not covers, but if they aren't covers or caps, then why is there so much jiggle on them.
If they are caps, is there a (painless) way to get them off?

https://imgur.com/a/V4pHTRt


V4pHTRt
 
Okay, so now I am completely confused. Are they nuts or are they covers? Two completely different answers!

I still have the problem that they jiggle under my fingers (though not ALL of them), yet I can't tighten them further. There's no tightening going on...if I try harder I will be standing full weight on the brace and into snapping territory?

The rusty one is a locking nut, entirely different from the others.
 
Okay guys, so I unscrewed one of the nuts completely using the wrench. The nut was in tight, and the "jiggle" (which is still there after removal) seems to be an integral part of the nut. Two parts of the nut move slightly with respect to each other, but I screwed the nut back in tight just to be sure. There is still that give, so seems to me just part of the design.

Weird design...to make your wheel nuts look like they might be loose when apparently they are not.
 
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