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Who can explain the settlement price of the large S&P on Tuesday?


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Who can explain the settlement price of the large S&P on Tuesday?

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  #1 (permalink)
 Fat Tails 
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On Tuesday, the large S&P settled at 1048.30 - the close was at 1052.10

Who can explain the discrepancy?

The settlement price for ES is defined as the settlement price of the large S&P, so this question affects all E-Mini traders.

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 vegasfoster 
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It's cause they switched to IB and NT on Monday.

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 CDesai13 
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Fat Tails View Post
On Tuesday, the large S&P settled at 1048.30 - the close was at 1052.10

Who can explain the discrepancy?

The settlement price for ES is defined as the settlement price of the large S&P, so this question affects all E-Mini traders.


Its the midpoint of the closing range (the last 30 seconds from 4:14:30 to 4:15:00 PM EST... The settlement is the price used by all the brokers and accountants for end of day tracking, margin, etc.

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 Fat Tails 
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CDesai13 View Post
Its the midpoint of the closing range (the last 30 seconds from 4:14:30 to 4:15:00 PM EST... The settlement is the price used by all the brokers and accountants for end of day tracking, margin, etc.


Thank you, I am aware of this definition. If I look at the close of the large S&P, it was at 1052.10. The settlement was at 1048.30. Assuming that 1048.30 is the midpoint, this would imply that the low of this range was smaller or equal than 1044.50.

Clearly, if I look at an intraday chart of the large S&P, it did not trade around 1044.50 prior to the close and by no means there was a range of 8 points during the last 30 seconds!

So your answer is correct, but does not allow me to solve the puzzle.

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 Snoop 
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As well, it seems to be a bit of a relic that the big contract still determines settlement price. When you see everyone at the CME floor watching the ES, it's clear the big contract volume is not what it used to be.


Fat Tails View Post
Thank you, I am aware of this definition. If I look at the close of the large S&P, it was at 1052.10. The settlement was at 1048.30. Assuming that 1048.30 is the midpoint, this would imply that the low of this range was smaller or equal than 1044.50.

Clearly, if I look at an intraday chart of the large S&P, it did not trade around 1044.50 prior to the close and by no means there was a range of 8 points during the last 30 seconds!

So your answer is correct, but does not allow me to solve the puzzle.


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 Fat Tails 
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Snoop View Post
As well, it seems to be a bit of a relic that the big contract still determines settlement price. When you see everyone at the CME floor watching the ES, it's clear the big contract volume is not what it used to be.


Well spoken, but it does not answer the question.

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 CDesai13 
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Fat Tails View Post
Well spoken, but it does not answer the question.

Its based on pit activity alone, no? We can't see that from our charts... Isn't that why we have to rely on the CME to publish the settlement prices after trading hours.

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 Fat Tails 
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CDesai13 View Post
Its based on pit activity alone, no? We can't see that from our charts... Isn't that why we have to rely on the CME to publish the settlement prices after trading hours.

No, we cannot see that from our charts. But CME publishes charts of the large S&P as well, and as you can see, the large contract did not trade anywhere near 1044.50 during the time prior to close.

I doubt that it traded at 1044.50 in the pits during the last 30 seconds.


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 Fat Tails 
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Because nobody answered my question, I will try to do so myself. After searching the web, I have found an interesting document that might explain, why Tuesday's settlement price was different from the midpoint of the closing range.

CME seems to use a different method to establish the settlement prices for index futures on the last business day of the month. The settlement price is derived from the cash index on a fair value basis, adding finance charges and substracting dividends. The cash index used as a reference is the cash index at the NYSE close, which is 3:00 PM.

In short, the daily settlement time for index futures on the last business day of the month is not 15:14:30 - 15:15:00 CT, but simply the close at 15:00 CT.

If you look at the chart below, you will see this explanation confirmed.

Thanks everybody who contributed, the answer is here. Thanks also to Yvan, who first noticed the abnormally low settlement value of ES for yesterday.

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Who can explain the settlement price of the large S&P on Tuesday?-fairvaluesettlement_031109.pdf   Click image for larger version

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 trendisyourfriend 
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Fat, Why is my 1min. chart so different than yours ? Data provideris Zen Fire.

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 Fat Tails 
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trendisyourfriend View Post
Fat, Why is my 1min. chart so different than yours ? Data provideris Zen Fire.

The market was moving fast and either your or my data has inaccurate time stamps. If the time stamps are a few seconds off, this can make up for the difference.

My data source is not Zenfire, but Interactive Brokers.

Is your system clock accurate? Did you try reloading data?

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 trendisyourfriend 
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Fat Tails View Post
The market was moving fast and either your or my data has inaccurate time stamps. If the time stamps are a few seconds off, this can make up for the difference.

My data source is not Zenfire, but Interactive Brokers.

Is your system clock accurate? Did you try reloading data?

Here it is again, i reloaded my data. On the included chart you'll see the 1min candlestick at 16:00 Eastern Time. The middle of this candle is exactly at 1048.25, ie, the settlement price as found on the CME web site. I also checked last month too and my settlement price is correct using the middle of range for the candle at 16:00. For July 30 i have 1098.25 at the middle of the range of the 1 min candle at 16:00.

Again, my chart shows different closes than yours (Tuesday 31, August) for the 1minute candlestick chart. I'd be curious to see other people 1min. chart for Tuesday 31, August. So Fat i think you have a problem on your end.






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 Fat Tails 
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Agree with the settlement prices. Still I do not know, whether they are based on

- the last calculated price of the day for the S&P 500 index
- or the midpoint of the calculated price for the S&P 500 index for the 30 seconds prior to close

Your data is different from mine. Same applies to July 30, where my close is a few ticks off your close.

So, at least one of our data sources is inaccurate. Need somebody with a different data feed to check. I would not be astonished, if Interactive Brokers is a few seconds late.

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 Snoop 
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You solved this yesterday - end of month settlement is FV of cash. (plus settlement is never the mid of the last min, it's the last 30 sec)
But to deal with the current discussion, iqfeed has the 4pm last trade at 1048.50

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 Fat Tails 
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Snoop View Post
You solved this yesterday - end of month settlement is FV of cash. (plus settlement is never the mid of the last min, it's the last 30 sec)
But to deal with the current discussion, iqfeed has the 4pm last trade at 1048.50

Let me compare the 4:00 PM bar closes on August 31.

Interactive Brokers 1048.25
DTN/IQFeed 1048.50
Zenfire 1049.50

Looks like the exchange does not provide for time stamps. So every data feed provider uses his own time stamps. Interactive Brokers possibly gets the data a bit delayed, so what they stamp is the data of the a past which is already a few seconds ago. This applies to their historical data, so no conclusions possible as to real-time data.

What is the difference between three datafeeds and three lawyers?

The datafeeds will give you only three different versions, the lawyers at least four.

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