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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?

  #1 (permalink)
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Who can explain the settlement price of the large S&P on Tuesday?

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

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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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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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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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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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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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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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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.

Attached Thumbnails
Who can explain the settlement price of the large S&P on Tuesday?-fairvaluesettlement_031109.pdf   Who can explain the settlement price of the large S&P on Tuesday?-es-09-10-1-min-31_08_2010.jpg  
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