As the link will not show the values of Friday, June 17 2011 forever, I have attached the current day as PDF below. You will notice that there is a LAST and a SETTLEMENT value. The last value is the last price traded prior to 3:15 PM Central Time. The settlement price is determined according to the rules for settlement price, which are
Settlement Price: All days with the exception of the last business day of the month
You will note that the settlement price for E-minis is the volume weighted average price of all trades registered between 3:14:30 and 3:15:00 PM Central Time. In general the settlement price for the E-minis is very close to the last price traded. Yesterday's settlement for the front month 09-11 was 1266.00, the last price traded was 1265.75, so the difference was only one tick.
Settlement Price: Last business day of the month (specific rule for index futures)
The settlement price is calculated from the index at market close of the underlying, which is 4:00 PM EST, by applying a fair value procedure. Fair value procedure means that you take the index value, deduct expected dividends and add interest at the risk free rate until expiry of the futures contract. In rare cases the settlement value of the last business day of the month can well be outside the daily range of the future. I have just recently seen a settlement value for YM, which was below the low of the day, as it was calculated following the fair value procedure.
Because of the time difference of 15 minutes and the impact of the fair value procedure settlement and last prices will not match well on the last business day of the month.
I have to admit that I do not know how the open value is determined exactly. Some markets have an opening auction prior to the start of the continuous auction. In this case the open is the price resulting from the opening auction and not the first price traded during the continuous auction.
If you have a quality data provider such as DTN/IQ, the daily data will not include the first and last price traded, but you will get the official open value and the settlement price instead. High and low of the daily data should correspond with high and low of intraday data, if the same session (ETH or RTH) is selected.
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For ES you will find the official price data at CME website.
Open is the opening price at 6:00 PM Central.
High is the highest price over the entire trading day from 6:00 PM Central to 5:00 PM Central
Low is the lowest price over the entire trading day from 6:00 PM Central to 5:00 PM Central
Last is the last quoted price prior to 5:00 PM Central (it can be a transaction or a bid or an ask)
Settlement is the volume-weighted average price calculated over all transactions between 3:14:30 and 3:15:00 Central
On the last business day of the month, there is a different rule for determining the settlement price.
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