For example, a S&P futures contract expires on the third Thursday, making the valuation date the third Friday. How is the valuation price calculated? Why is it different from the closing price of the futures contract and the S&P index itself? Thanks!
Normally, value date (v/d) is the same thing as settlement date (s/d). V/D shouldn't have anything directly to do with the settlement price (EDSP), which is an official price published by the exchange (the rule to calculate the EDSP will differ depending on the exchange). However, this may or may not be the case here. If you want details, go to the exchange website and find the settlement procedures for your instrument (for instance, here: http://www.cmegroup.com/trading/equity-index/us-index/sandp-500_contract_specifications.html)
Thanks for the response! I'm looking at the 'Settlement Procedures' and it says: "The final settlement price is the Special Opening Quotation (SOQ) of the S&P 500 Index in the morning of the third Friday of the contract month.... The S&P 500 Index SOQ is calculated using the official opening prices of the indexâs component stocks on that day, except under the special conditions noted below." How is that different from the opening price of the S&P 500 Index? The reason why I'm asking about the Valuation Date price is because I'm trying to do some analysis and don't know if I should include that price. What is the importance of the Valudation Date price anyways? You can't trade at that price can you?
Probably not very, in an overwhelming majority of cases. It's the official price at which contracts are settled at maturity. And no, you probably can't trade there.
If I'm not mistaken, the SOQ is different from the opening price because not all stocks open exactly at the same time, i.e. 50 of the components may open at 9:30:07, as opposed to 9:30:00 or 9:30:01. SOQ would take the 9:30:07 prices into the final settlement price. Correct me if I'm wrong, no expert.