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The point is that settlement on holidays follows peculiar rules.
Good Friday is a separate trading day on CME with trade date Friday, April 6. That is not obvious, as there are 6 holidays with trade date next day. However, this is not the case for Good Friday, which is considered a separate trading day, although the exchange already closes at 8:15 AM CT (local time of exchange).
The settlement period for ES - with the exception of the last business day of the month - is the last 30 seconds of trading between 3:14:30 and 3:15:00 PM CT. On Good Friday the exchange was closed at that time, which means that a special rule is applied for settlement on Friday.
CME has decided to apply the settlement price of the prior day, that is Thursday April 5, as the exchange is closed during the settlement period. See attachment.
Yes, but it this is true for every day. For futures there are different ways of building daily data:
(1) Official high, low and settlement from CME group
(2) Regular trading hours with settlement price
(3) High and low of the ETH session with last traded price
(4) High and low of the RTH session with last traded price of RTH session
For example Kinetick supplies (1), while daily data loaded from Zenfire / NinjaTrader servers supplies (4). My broker - Interactive Brokers - supplies (3).
