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Can someone please clarify the difference in RTH close versus settlement for the /ES contract?
Also, I have noticed FuturesTrader71 reference 1615 EST several times in his trader bites; is there significance to tracking price at 1615? Best regards.
Can you help answer these questions from other members on NexusFi?
The daily close is the last tick of the current day at 1700 EST.
The settlement price is a VWAP of the last minute before the cash-session close (1600 EST)
1615 EST is outdated, in the past Index-futures had a 15 min break at 1615 (and the settlement-price was calculated the last minute before the break) and thereafter it traded for still 30 min till the close. This break is history and the market trades till 1700 EST
CME agrees: "daily settlement price for the front month (index futures) is calculated using a volume weighted average price (VWAP) based on the last 30 seconds of the trading day (1559-1600)."
To determine settlement, I assume using an anchored VWAP attached to 1559 is the way to go? If there is a better way please let me know. Best regards.
I would just look at the CME Settlement page for the ES contract each morning before your trading day if you want the exact settlement price (or the quote board with a lot of charting packages has a "Settlement" column as well as a "Close").
Otherwise 4pm will be near enough most days if using a time based chart and using the close of that bar as an easy reference on your chart for previous settlements.
You do not win as a trader, you just get to play again the next day. If that game doesn’t appeal to you then you should not trade. Gary Norden
> Daily settlements found here
>> CTRL F: ES E-mini S&P 500 Futures
> For historical daily settlements (inaccurate but w/in 1pt or so), manually replay data for each day using anchored VWAP @ 1559 EST.
>> Will update if I find a better way-- w/o expensive data subscription.
>>> For 1-time purchase of 3 years /ES historical data from CME = $1440 = (36-months) x ($40)
>>>> or $2000 for 1997-present /ES historical data