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CME settlement price calculation
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CME settlement price calculation

  #11 (permalink)
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I was unsure today what price to take to compute the pivots on the ES as Yesterday settlement on the CME web site was 1048,25 while the last price 1052.50. That's rare that we get such discrepancy between both. That's curious too that if i look at my chart i don't see any gap between yesterday's last price and the opening. It seems to me that with a settlement at 1048.25 i should see a GAP but i don't. Anyway, nothing major but was wondering.

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  #12 (permalink)
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Good question!


trendisyourfriend View Post
I was unsure today what price to take to compute the pivots on the ES as Yesterday settlement on the CME web site was 1048,25 while the last price 1052.50. That's rare that we get such discrepancy between both. That's curious too that if i look at my chart i don't see any gap between yesterday's last price and the opening. It seems to me that with a settlement at 1048.25 i should see a GAP but i don't. Anyway, nothing major but was wondering.


Excellent question! Thanks for putting this up. This made me search for more details on CME Group Settlement Procedures, and I found the document attahaced below. Right on top it reads:


Equity Futures: For S&P and NASDAQ, the settlement price of the lead month contract is the midpoint of the closing range determined based on pit trading activity between 15:14:30-15:15:00 Central Time ("CT"). For all other equity indices, the Volume Weighted Average Price (VWAP) of trades executed on Globex between 15:14:30-15:15:00 CT is used to determine the settlement prices for the lead month contracts. Back month contract months are settled to traded or quoted spread relationships. E-mini S&P and Nasdaq are settled to the value derived from the Big S&P and Nasdaq.

So E-mini settles to the value derived from the Big S&P, not the VWAP of all trades between 15:14:30 and 15:15:00. In particular the settlement is established as the midpoint of the range of the big S&P.

Now let us look at yesterday: The close of the large pit-traded S&P was 1052.10, the settlement price was 1048.30. As 1048.30 is the midpoint of the range, this means that some contracts of the large S&P must have traded as low as 1044.50 during the last 30 seconds.

I do not think that prices were that low, so there is another potential explanation:


The settlement price takes into account special order types such as orders that rely on the volume weighted average price of the session or crossed orders, and a single large order distorted the settlement price.


But actually I do not have any precise idea.

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CME settlement price calculation-cme_group_settlement_procedures.pdf   CME settlement price calculation-es-09-10-1-min-31_08_2010.jpg  
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  #13 (permalink)
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Thanks Harry, the least we can say about you is that you leave no stone unturned

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trendisyourfriend View Post
Thanks Harry, the least we can say about you is that you leave no stone unturned

I am just curious, are n't you? I also believe that all the little details have been laid down by the devil to take away our money, so we should better care. And I am happy, if somebody else asks the right question.

Asking a good question is the most difficult part. It is a collective task that nobody can assume alone. That is what this forum is all about.

So glad to have you here!


Last edited by Fat Tails; September 1st, 2010 at 04:31 PM.
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Puzzle solved



Here is the solution:

Daily settlement for index futures on the last business day of the month is dervied from the value of the cash index at 15:00 CT. So on the last business day of the month, settlement precedes the close by 15 minutes, on all other days it precedes the close by a few seconds only.

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CME settlement price calculation-fairvaluesettlement_031109.pdf  
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Fat Tails View Post
I am just curious, are n't you? I also believe that all the little details have been laid down by the devil to take away our money, so we should better care. And I am happy, if somebody else asks the right question.

Asking a good question is the most difficult part. It is a collective task that nobody can assume alone. That is what this forum is all about.

So glad to have you here!

I am glad you are here too as i have more questions than answers

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trendisyourfriend View Post
I am glad you are here too as i have more questions than answers

I think of @Fat Tails as the "Answer Man". His official user title (self-imposed) is "Hunter-Gatherer", which I think also is adept at describing his ability to be a fantastic researcher -- so if he doesn't already know the real answer, he knows where and how to find it (hunts, then gathers the answer)

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I think of @Fat Tails as the "Answer Man". His official user title (self-imposed) is "Hunter-Gatherer", which I think also is adept at describing his ability to be a fantastic researcher -- so if he doesn't already know the real answer, he knows where and how to find it (hunts, then gathers the answer)

Mike

I have obviously more questions than answers, but the interpretation of Hunter-Gatherer comes quite close to my own perception. I am not hunting money and gathering profits, also I am not hunting girls and gathering children, so it must be something else....

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Settlement prices of ES e-mini S&P


I can't seem to find the ftp side to download the daily settlement prices of ES.

Does anyone know the site address?

Thanks.

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