Registered: Jan 2005
Posts: 294

I noticed that intraday charts on any futures product have a "last trade" price at the close that is different from what ends up being the settlement price shown on a daily chart. Does anyone know how the exchange calculates or comes up with this settlement price? Thanks in advance.

Registered: Jan 2009
Posts: 5641

Read the official documentation made available by the exchange for every particular market. Here's an example:
http://www.cmegroup.com/trading/equ...t_Procedure.pdf

Registered: Jan 2005
Posts: 294

Thanks so much, that's exactly what I was looking for.

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