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jharmon

Registered: Jun 2008
Posts: 60

09-11-12 11:29 AM

Very few traders hold until settlement time so the SOQ is probably irrelevant. Spreads get progressively worse as open interest drops.

Roll your position baby!

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PocketChange

Registered: Jul 2008
Posts: 2036

09-11-12 02:30 PM

SOQ is based on a calculation performed at 4pm and reported by CME.
This calc is used for cross margin purposes and assignments.
SOQ primarily applies to ES and NQ futures.

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jharmon

Registered: Jun 2008
Posts: 60

09-13-12 09:36 AM

I think you might have the terms mixed up.

SOQ refers to Special Opening Quotation which is the final settlement price used on contract expiry day since the contract expires at the open of the cash market. It is not used at other times.

If you don't hold to expiry (most traders don't) then the SOQ is irrelevant to you and pretty much out of your control anyway.

Are you confusing it with the daily settlement price? If so, pretty much all of the data vendors use the daily settlement as the close price although a few have separate close/last traded price variations for some markets.

Here is when the daily settlement price is determined:
http://www.cmegroup.com/market-data...ts-details.html

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PocketChange

Registered: Jul 2008
Posts: 2036

09-13-12 11:37 AM

My Bad:

Meant Special Fixing Prices (ESF, NQF)

http://www.cmegroup.com/trading/fix...ce.html?tabs=20

Thanks for clarifying.

Quote from jharmon:

I think you might have the terms mixed up.

SOQ refers to Special Opening Quotation which is the final settlement price used on contract expiry day since the contract expires at the open of the cash market. It is not used at other times.

If you don't hold to expiry (most traders don't) then the SOQ is irrelevant to you and pretty much out of your control anyway.

Are you confusing it with the daily settlement price? If so, pretty much all of the data vendors use the daily settlement as the close price although a few have separate close/last traded price variations for some markets.

Here is when the daily settlement price is determined:
http://www.cmegroup.com/market-data...ts-details.html

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jharmon

Registered: Jun 2008
Posts: 60

09-14-12 12:08 AM

None of the vendors I mentioned have the Special Fixing Prices in the data.

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